Division 66 F1
United Kingdom
‘ nth ’ to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘ Other items ’ exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for ‘ Other risk weights ’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR.