+Article 383a 2.

Article 383a 2.

For the purposes of paragraph 1, point (b), where the credit default swap spreads of the counterparty are observable in the market, an institution shall use those spreads. Where such credit default swap spreads are not available, an institution shall use one of the following:

(a) 

credit spreads from other instruments issued by the counterparty reflecting current market conditions;

(b) 

proxy spreads that are appropriate considering the rating, industry and region of the counterparty.

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards