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  • Risk Weights

    • CA-4.5.8

      The protected portion is assigned the risk weight of the protection provider. The uncovered portion of the exposure is assigned the risk weight of the underlying counterparty.

      January 2015

    • CA-4.5.9

      Materiality thresholds on payments below which no payment is made in the event of loss are equivalent to retained first loss positions and must be deducted in full from the Total Capital of the conventional bank licensee purchasing the credit protection.

      January 2015