+7. Positions in the institution’s own debt
---+1. Long positions in the institution‟s own debt, which may arise from trading or market-making …
---+2. Short positions in the institution‟s own debt, which may arise from the inclusion in the trading …

7. Positions in the institution’s own debt

7. Positions in the institution’s own debt

1. Overview

,
Summary Regulation
1. Long positions in the institution‟s own debt, which may arise from trading or market-making …

Long positions in the institution‟s own debt, which may arise from trading or market-making activity in its own bonds, should be included within the scope of the IRC model but only migration risk should be taken into account for the calculation of the charge.

2. Short positions in the institution‟s own debt, which may arise from the inclusion in the trading …

Short positions in the institution‟s own debt, which may arise from the inclusion in the trading book of own-debt issues (e.g. structured bonds or money market trades) or from buying protection on the institution‟s own name (e.g. via an index) should be included within the scope of the IRC model but only migration risk should be taken into account for the calculation of the charge. The default risk of short positions in own debt should not be modelled in the IRC approach.

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

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