1. Net JTD amounts, irrespective of the type of counterparty, shall be multiplied by the default risk weights that correspond to their credit quality, as specified in Table 2:
Table 2
|
Credit quality category |
Default risk weight |
|---|---|
|
Credit quality step 1 |
0,5 % |
|
Credit quality step 2 |
3 % |
|
Credit quality step 3 |
6 % |
|
Credit quality step 4 |
15 % |
|
Credit quality step 5 |
30 % |
|
Credit quality step 6 |
50 % |
|
Unrated |
15 % |
|
Defaulted |
100 % |
2. Exposures which would receive a 0 % risk-weight under the Standardised Approach for credit risk in accordance with Chapter 2 of Title II shall receive a 0 % default risk weight for the own funds requirements for the default risk.
3. The weighted net JTD shall be allocated to the following buckets: corporates, sovereigns, and local governments/municipalities.
4. Weighted net JTD amounts shall be aggregated within each bucket, in accordance with the following formula:
For the purposes of calculating the DRCb and
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