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  • CA-14.11 CA-14.11 Treatment of Specific Risk

    • CA-14.11.1

      The conventional bank licensee is allowed to include its securitisation exposures and n-th-to-default credit derivatives in the trading book in its value-at-risk measure. Notwithstanding, it is still required to hold additional capital for these products according to the standardised measurement methodology.

      [Paragraphs CA-14.11.1A to CA-14.11.12 were deleted in January 2015.]

      January 2015