+1. Calculation of the IRC should include all long and short positions subject to a modelled charge …

1. Calculation of the IRC should include all long and short positions subject to a modelled charge …

Calculation of the IRC should include all long and short positions subject to a modelled charge for specific interest rate risk, with the exception of the items referred to at point 5 below.

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

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