Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

Article 325y Calculation of the own funds requirements for the default risk

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 the WtS, the long pos