# Commission Delegated Regulation (EU) 2016/2251 of 4 October 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards for risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty (Text with EEA relevance), Annex I: Correspondence of Probability of default (‘PD’) to Credit quality steps for the purposes of Articles 6 and 7

Extent: E+W+S+N.I.

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 %

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Source: https://www.legislation.gov.uk/eur/2016/2251/annex/I (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2251/annex-I
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.