anx_II__cpt_3__point_7__text_5

Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) · European Union

Where the credit derivative provides protection in relation to ‘n^(th) to default’ amongst a number of underlying obligations, which of the percentage figures prescribed above is to be applied is determined by the obligation with the n^(th) lowest credit quality determined by whether it is one that if incurred by the institution would be a qualifying item for the purposes of Annex I.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.