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(b)

Text with EEA relevance.

for tranches of a synthetic securitisation and a nth-to-default credit derivative, institutions shall use the following formula: where: sign = | | + 1 where credit protection has been obtained through the transaction – 1 where credit protection has been provided through the transaction A | = | the attachment point of the tranche; for a nth-to-default credit derivative transaction based on reference entities k, A = (n – 1)/k; and D | = | the detachment point of the tranche; for a nth-to-default credit derivative transaction based on reference entities k, D = n/k;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.