The capital requirement for spread risk referred to in point (d) of the second subparagraph of Article 105(5) of Directive 2009/138/EC shall be equal to the following:
\mathrm{SCR}_{\text{spread}} = \mathrm{SCR}_{\text{bonds}} + \mathrm{SCR}_{\text{securitisation}} + \mathrm{SCR}_{\text{cd}}
where
(a)
SCRbonds denotes the capital requirement for spread risk on bonds and loans;
(b)
SCRsecuritisation denotes the capital requirement for spread risk on securitisation positions;
(c)
SCRcd denotes the capital requirement for spread risk on credit derivatives.