BANK 4.6.33 Treatment of CRM techniques provided by firm
(1) If a banking business firm provides a CRM technique to a securitisation exposure, the calculation of its risk-weighted assets for credit risk must be in accordance with Part 4.5. The firm must calculate the capital requirement as if it were an investor in the securitisation.
(2) If a banking business firm provides a CRM technique to an unrated credit enhancement, it must treat the protection provided as if it were directly holding the unrated credit enhancement.
|Inserted by QFCRA RM/2017-2 (as from 1st April 2017).|