Article 175
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:
where
(a)
SCRbonds denotes the capital requirement for spread risk on bonds and loans;
(b)
SCRsecuritisation denotes the capital requirement for spread risk on securitisation positions;
(c)
SCRcd denotes the capital requirement for spread risk on credit derivatives.