1. Institutions may choose any of the approaches available to convert simulated rating variations …

Institutions may choose any of the approaches available to convert simulated rating variations into price variations, including using either absolute or relative differences between average spreads by rating class. The methodology used should be consistently applied and documented. In all cases, the relevant spread data should be as differentiated as possible according to the different categories of positions. The approach should be shown to differentiate sufficiently between positions with different pricing characteristics to the satisfaction of the competent authorities. For example, a credit default swap (CDS) and the underlying bond would have to be valued separately.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.