+Article 280c 5.

Article 280c 5.

Institutions shall calculate the supervisory factor applicable to the credit reference entity k as follows:

(a) 
for the credit reference entity k established in accordance with point (a) of paragraph 1,

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shall be mapped to one of the six supervisory factors set out in Table 3 of this paragraph on the basis of an external credit assessment by a nominated ECAI of the corresponding individual issuer; for an individual issuer for which a credit assessment by a nominated ECAI is not available:
(i) 

an institution using the approach referred to in Chapter 3 shall map the internal rating of the individual issuer to one of the external credit assessments;

(ii) 
an institution using the approach referred to in Chapter 2 shall assign

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to that credit reference entity; however, where an institution applies Article 128 to risk weight counterparty credit risk exposures to that individual issuer,

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shall be assigned to that credit reference entity;
(b) 

for the credit reference entity k established in accordance with point (b) of paragraph 1:

(i) 
where a risk position l assigned to the credit reference entity k is a credit index listed on a recognised exchange,

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shall be mapped to one of the two supervisory factors set out in Table 4 of this paragraph on the basis of the credit quality of the majority of its individual constituents;
(ii) 
where a risk position l assigned to the credit reference entity k is not referred to in point (i) of this point,

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shall be the weighted average of the supervisory factors mapped to each constituent in accordance with the method set out in point (a), where the weights are defined by the proportion of notional of the constituents in that position.



Table 3

Credit quality step

Supervisory factor for single-name transactions

1

0,38 %

2

0,42 %

3

0,54 %

4

1,06 %

5

1,6 %

6

6,0 %



Table 4

Dominant credit quality

Supervisory factor for quoted indices

Investment grade

0,38 %

Non-investment grade

1,06 %

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards