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. Apžvalga

1.1 Nuorodos

1.2 Nustatyti reikalavimai

1.3 Susiję standartai

2. Nustatyti reikalavimai

3. Susiję standartai

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