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  • Guarantees and Credit Derivatives

    • CA-6.4.28

      Credit protection provided by the entities listed in Paragraph CA-4.5.7 may be recognised. SPSVs cannot be recognised as eligible guarantors. A conventional bank licensee must not recognise any support provided by itself (see also Paragraph CA-6.4.6).

      January 2015

    • CA-6.4.29

      Where guarantees or credit derivatives fulfil the minimum operational conditions as specified in Paragraphs CA-4.5.1 to CA-4.5.6, conventional bank licensees can take account of such credit protection in calculating capital requirements for securitisation exposures.

      January 2015

    • CA-6.4.30

      Capital requirements for the guaranteed/protected portion will be calculated according to CRM for the standardised approach as specified in Paragraphs CA-4.5.8 to CA-4.5.13.

      January 2015