(b)

for the credit reference entity k established in accordance with point (b) of paragraph 1: where a risk position l assigned to the credit reference entity k is a credit index listed on a recognised exchange, shall be mapped to one of the two supervisory factors set out in Table 4 of this paragraph on the basis of the credit quality of the majority of its individual constituents; where a risk position l assigned to the credit reference entity k is not referred to in point (i) of this point, shall be the weighted average of the supervisory factors mapped to each constituent in accordance with the method set out in point (a), where the weights are defined by the proportion of notional of the constituents in that position. Table 3 Table 4 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 % Dominant credit quality | Supervisory factor for quoted indices Investment grade | 0,38 % Non-investment grade | 1,06 %

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.