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(b)

Text with EEA relevance.
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (Text with EEA relevance.) · European Union

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.