5. Positions not subject to calculation of the IRC

The following items should be excluded from the calculation of the IRC:

• a. securitisations;
• b. n-th-to-default credit derivatives; and

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• c. positions subject to the specific interest rate risk charge and different from securitisations or n-th-to-default credit derivatives if they are positions of the correlation trading portfolio (CTP).

1. Přehled

1.1 Odkazy

1.2 Identifikované požadavky

1.3 Související standardy

2. Identifikované požadavky

3. Související standardy

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/