art_1__point_202__table__4

rhc | = the supervisory correlation factor between the credit spread risk of counterparty c and the credit spread risk of a single-name instrument recognised as an eligible hedge h for counterparty c, determined in accordance with Table 2; | = the residual maturity of a single-name instrument recognised as an eligible hedge; | = the notional of a single name instrument recognised as an eligible hedge; | = the supervisory discount factor for a single name instrument recognised as an eligible hedge, calculated as follows: | = the supervisory risk weight of a single-name instrument recognised as an eligible hedge; those risk weights shall be based on a combination of sector and credit quality of the reference credit spread of the hedging instrument and determined in accordance with Table 1; | = the residual maturity of one or more positions in the same index instrument recognised as an eligible hedge; in the case of more than one position in the same index instrument, shall be the notional-weighted maturity of all those positions; | = the full notional of one or more positions in the same index instrument recognised as an eligible hedge; | = the supervisory discount factor for one or more positions in the same index instrument recognised as an eligible hedge, calculated as follows: | = the supervisory risk weight of an index instrument recognised as an eligible hedge; shall be based on a combination of sector and credit quality of all index constituents, calculated as follows: (a) where all index constituents belong to the same sector and have the same credit quality, as determined in accordance with Table 1, shall be calculated as the relevant risk weight of Table 1 for that sector and credit quality multiplied by 0,7; (b) where all index constituents do not belong to the same sector or do not have the same credit quality, shall be calculated as a weighted average of the risk weights of all index constituents, as determined in accordance with Table 1, multiplied by 0,7;

← art_1__point_202__table__3 · All articles · art_1__point_202__table__5 →

Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.