ANNEX
Table 1
Credit quality | Sector | Maturity | |||||||||
less or equal to 0,375 years | greater than 0,375 years and less or equal to 0,75 years | greater than 0,75 years and less or equal to 1,5 year | greater than 1,5 year and less or equal to 2,5 years | greater than 2,5 years and less or equal to 4 years | greater than 4 years and less or equal to 7,5 years | greater than 7,5 years and less or equal to 12,5 years | greater than 12,5 years and less or equal to 17,5 years | greater than 17,5 years and less or equal to 25 years | greater than 25 years | ||
All | Central government, including central banks, of Member States | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate |
Credit quality step 1 to 3 | Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of Regulation (EU) No 575/2013 | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate | Risk-free rate |
Regional or local authority and public sector entities | Risk-free rate | Risk-free rate | Risk-free rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Consumer goods and services, transportation and storage, administrative and support service activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Technology, telecommunications | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Health care, utilities, professional and technical activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Covered bonds issued by credit institutions established in Member States | Risk-free rate | Risk-free rate | Risk-free rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Credit quality step 1 | Covered bonds issued by credit institutions in third countries Credit quality step 1 | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate |
Credit quality steps 2 to 3 | Covered bonds issued by credit institutions in third countries Credit quality step 2 to 3 | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate |
Credit quality step 4 to 6 and unrated | Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of Regulation (EU) No 575/2013 | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate |
Regional or local authority and public sector entities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Consumer goods and services, transportation and storage, administrative and support service activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Technology, telecommunications | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Health care, utilities, professional and technical activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Other sector | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Listed credit indices with a majority of its individual constituents being investment grade | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Listed credit indices with a majority of its individual constituents being non-investment grade or unrated | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Table 2
Credit quality | Sector | Maturity | |||||||||
less or equal to 0,375 years | greater than 0,375 years and less or equal to 0,75 years | greater than 0,75 years and less or equal to 1,5 year | greater than 1,5 year and less or equal to 2,5 years | greater than 2,5 years and less or equal to 4 years | greater than 4 years and less or equal to 7,5 years | greater than 7,5 years and less or equal to 12,5 years | greater than 12,5 years and less or equal to 17,5 years | greater than 17,5 years and less or equal to 25 years | greater than 25 years | ||
All | Central government, including central banks, of Member States | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate |
Credit quality step 1 to 3 | Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of Regulation (EU) No 575/2013 | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate |
Regional or local authority and public sector entities | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | |
Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Consumer goods and services, transportation and storage, administrative and support service activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Technology, telecommunications | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Health care, utilities, professional and technical activities | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | |
Covered bonds issued by credit institutions established in Member States | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | |
Credit quality step 1 | Covered bonds issued by credit institutions in third countries Credit quality step 1 | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate |
Credit quality steps 2 to 3 | Covered bonds issued by credit institutions in third countries Credit quality step 2 to 3 | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate |
Credit quality step 4 to 6 and unrated | Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of Regulation (EU) No 575/2013 | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate |
Regional or local authority and public sector entities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Consumer goods and services, transportation and storage, administrative and support service activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Technology, telecommunications | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Health care, utilities, professional and technical activities | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Other sector | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |
Listed credit indices with a majority of its individual constituents being investment grade | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | Inflation rate | |
Listed credit indices with a majority of its individual constituents being non-investment grade or unrated | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | Issuer credit spread rate | |