1. The probability of default on a single name exposure shall be equal to the average of the probabilities of default on each of the exposures to counterparties that belong to the single name exposure, weighted by the loss-given-default in respect of those exposures.
2. Single name exposure i for which a credit assessment by a nominated ECAI is available shall be assigned a probability of default PDi in accordance with the following table.
|
Credit quality step |
0 |
1 |
2 |
3 |
4 |
5 |
6 |
|---|---|---|---|---|---|---|---|
|
Probability of default PDi |
0,002 % |
0,01 % |
0,05 % |
0,24 % |
1,20 % |
4,2 % |
4,2 % |
3. Single name exposures i to an insurance or reinsurance undertaking for which a credit assessment by a nominated ECAI is not available and where this undertaking meets its Minimum Capital Requirement, shall be assigned a probability of default PDi depending on the undertaking's solvency ratio, in accordance with the following table:
|
Solvency ratio |
196 % |
175 % |
150 % |
125 % |
122 % |
100 % |
9 |
|---|