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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 %