1. The capital requirement SCRcd for spread risk on credit derivatives other than those referred to in paragraph 3 shall be equal to the higher of the following capital requirements:
(a) the loss in the basic own funds that would result from an instantaneous increase in absolute terms of the credit spread of the instruments underlying the credit derivatives;
(b) the loss in the basic own funds that would result from an instantaneous relative decrease of the credit spread of the instruments underlying the credit derivatives by 75 %.
For the purposes of point (a), the instantaneous increase of the credit spread of the instruments underlying the credit derivatives for which a credit assessment by a nominated ECAI is available shall be calculated according to the following table.
|
Credit quality step |
0 |
1 |
2 |
3 |
4 |
5 |
6 |
|---|---|---|---|---|---|---|---|
|
Instantaneous increase in spread (in percentage points) |
1,3 |
1,5 |
2,6 |
4,5 |
8,4 |
16,20 |
16,20 |
2. For the purposes of point (a) of paragraph 1, th
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