Version in force , Modified +8 −69§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
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The only visible difference in paragraph 3 is that the formula text following the introductory sentence has been removed from the AFTER version, leaving the 'where:' explanatory list otherwise identical.
Cited: Art. 280c, v1 (external, EUR-Lex) · Art. 280c, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 June 2021 02013R0575-20210629 → this version, in force 30 September 2021 02013R0575-20210930
Article 280c
Credit risk category add-on
1. For the purposes of paragraph 2, institutions shall establish the relevant credit reference entities of the netting set in accordance with the following:
(a) there shall be one credit reference entity for each issuer of a reference debt instrument that underlies a single-name transaction allocated to the credit risk category; single-name transactions shall be assigned to the same credit reference entity only where the underlying reference debt instrument of those transactions is issued by the same issuer;
(b) there shall be one credit reference entity for each group of reference debt instruments or single-name credit derivatives that underlie a multi-name transaction allocated to the credit risk category; multi-names transactions shall be assigned to the same credit reference entity only where the group of underlying reference debt instruments or single-name credit derivatives of those transactions have the same constituents.
2. For the purposes of Article 278, institution shall calculate the credit risk category add-on for a given netting set as follows:AddOnCreditjAddOnCreditj
where:
AddOnCredit
credit risk category add-on;
j
the index that denotes all the credit risk hedging sets established in accordance with point (c) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnCreditj
the credit risk category add-on for hedging set j calculated in accordance with paragraph 3.
3. Institutions shall calculate the credit risk category add-on for hedging set j as follows:AddOnCreditjєjk ρCreditkAddOnEntityk2k1ρCreditk2AddOnEntityk2 follows:
where:
AddOnCreditj
the credit risk category add-on for hedging set j;
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
k
the index that denotes the credit reference entities of the netting set established in accordance with paragraph … 391 unchanged words … 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 %