2. With regard to point 18 of these Guidelines, an institution may consistently assume an …

With regard to point 18 of these Guidelines, an institution may consistently assume an instantaneous rating change, implying that market conditions at the time determine prices after migration, taking into account any idiosyncratic valuation impact that would be expected when a migration event occurs (see point 20.5 below), ignoring all time effects on the price of an instrument whose rating changed.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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