Division Specific risk

United Kingdom Repealed

1. 14The institution shall assign its net positions in the trading book in instruments that are not securitisation positions as calculated in accordance with point 1 to the appropriate categories in Table 1 on the basis of their issuer/obligor, external or internal credit assessment, and residual maturity, and then multiply them by the weightings shown in that table. It shall sum its weighted positions resulting from the application of this point (regardless of whether they are long or short) in order to calculate its capital requirement against specific risk. It shall calculate its capital requirement against specific risk for positions that are securitisation positions in accordance with point 16a.
2. 14aBy way of derogation from point 14, an institution may determine the larger of the following amounts as the specific risk capital charge for the correlation trading portfolio:
3. 14bThe correlation trading portfolio shall consist of securitisation positions and n-th-to-default credit derivatives that meet the following criteria:
4. 14cPositions which reference either of the following shall not be part of the correlation trading portfolio:
5. 15For the purposes of point 14 qualifying items shall include:
6. 16Division 16
7. 16aFor instruments in the trading book that are securitisation positions, the institution shall weight with the following its net positions as calculated in accordance with point 1: