1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. FR2052a and FR2052b Related Calculations
  4. Intermediate Calculations
  5. CDS Spread

4.5.1.6 CDS Spread

CDS spread is reported in FR 2052b template is the spread associated with the legal entity itself. This is not the instrument level spread of the counterparty. Currently the spread is taken at an instrument level. This is taken at a legal entity and tenor (in days) combination. In consolidated reporting, the spread associated with the consolidation entity is reported. If the 5 year CDS spread is unavailable, the spread for the tenor closest to 5 years must be reported.