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- TITLE I > CHAPTER V > SECTION 5 > SUBSECTION 5
Article number: 175
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.
Metadata
RULEBOOK TOPIC: SUBSECTION 5 - Spread risk sub-module
RULEBOOK CATEGORY: DELEGATED REGULATION (EU) 2015/35
Last update on: 27 Mar 2024