anx_I__cpt_3__text_1

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

For the party who transfers credit risk (the ‘protection buyer’), the positions are determined as the mirror image of the protection seller, with the exception of a credit linked note (which entails no short position in the issuer). If at a given moment there is a call option in combination with a step‐up, such moment is treated as the maturity of the protection. In the case of n^(th) to default credit derivatives, protection buyers are allowed to off‐set specific risk for n-1 of the underlyings (i.e., the n-1 assets with the lowest specific risk charge).

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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.