ANNEX I
Correspondence of Probability of default (‘PD’) to Credit quality steps for the purposes of Articles 6 and 7
An internal rating with a PD equal to or lower than the value in Table 1 shall be associated to the corresponding credit quality step.
Table 1
|
Credit Quality Step |
Probability of default, as defined in Article 4(54) of Regulation (EU) 575/2013 lower than or equal to: |
|
1 |
0,10 % |
|
2 |
0,25 % |
|
3 |
1 % |
|
4 |
7,5 % |