Instruments Subject to the Default Risk Capital Requirement
| Versions (5 versions) |
Effective from Dec 28 2022 - Dec 31 2022
To view other versions open the versions tab on the right
| 8.2 | The DRC requirement must be calculated for instruments subject to default risk: | ||||
| (1) | Non-securitisation portfolios | ||||
| (2) | Securitisation portfolio (non-correlation trading portfolio, or non-CTP) | ||||
| (3) | Securitisation (correlation trading portfolio, or CTP) | ||||