+5. Positions not subject to calculation of the IRC

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

10

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. Overview

,

Summary	Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source	Requirement

3. Related Standards

Standards
Source	Requirement

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