ANNEX VIIINTERNAL RATINGS BASED APPROACH

PART 4Minimum requirements for IRB Approach

1.RATING SYSTEMS

1.8.Stress tests used in assessment of capital adequacy

42.

Credit institutions using the treatment set out in Part 1, point 4 shall consider as Part of their stress testing framework the impact of a deterioration in the credit quality of protection providers, in particular the impact of protection providers falling outside the eligibility criteria.