Article 186
Risk factor for market risk concentration
1.
Each single name exposure i shall be assigned, in accordance with the following table, a risk factor gi for market risk concentration depending on the weighted average credit quality step of the single name exposure i, calculated in accordance with Article 182(4).
|
Weighted average credit quality step of single name exposure i |
0 |
1 |
2 |
3 |
4 |
5 |
6 |
|
Risk factor gi |
12 % |
12 % |
21 % |
27 % |
73 % |
73 % |
73 % |