Scope of the spread risk sub-module

The capital requirement for spread risk referred to in point (d) of the second subparagraph of Article 105(5) of Directive 2009/138/EC shall be equal to the following:

SCR spread= SCR bonds + SCR securitisation + SCR cd

where

(a) SCR bonds denotes the capital requirement for spread risk on bonds and loans;

(b) SCR securitisation denotes the capital requirement for spread risk on securitisation positions;

(c) SCR cd denotes the capital requirement for spread risk on credit derivatives.