CA-14.11.1A
For interest rate risk positions other than securitisation exposures and n-th-to-default credit derivatives, the bank will not be required to subject these positions to the standardised capital charge for specific risk, as specified in Paragraphs CA-9.1.4 to CA-9.3.1, when all of the following conditions hold:
(a) The bank has a value-at-risk measure that incorporates specific risk and the CBB has determined that the bank meets all the qualitative and quantitative requirements for general market risk models, as well as the additional criteria and requirements set out in Paragraphs CA-14.11.2 to CA-14.11.6 below; and
(b) The CBB is satisfied that the bank's internally developed approach adequately captures incremental default and migration risks for positions subject to specific interest rate risk according to the standards laid out in Paragraphs CA-14.11.7 and CA-14.11.8 below.
The bank is allowed to include its securitisation exposures and n-th-to-default credit derivatives in its value-at-risk measure. Notwithstanding, it is still required to hold additional capital for these products according to the standardised measurement methodology, with the exceptions noted in Paragraphs CA-14.11.9 to CA-14.11.12 below.
Added: January 2012