2. CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

2.

CRR

REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

Positions which reference any of the following shall not be part of the correlation trading portfolio: an underlying that is capable of being assigned to the exposure class 'retail exposures' or to the exposure class 'exposures' secured by mortgages on immovable property' under the Standardised Approach for credit risk in an institution's non-trading book; a claim on a special purpose entity, collateralised, directly or indirectly, by a position that would itself not be eligible for inclusion in the correlation trading portfolio in accordance with paragraph 1 and this paragraph.

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.