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