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. Panoramica

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati

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