CA-6.4.21
Banks may apply a 0% CCF to eligible liquidity facilities that are only available in the event of a general market disruption (i.e. whereupon more than one SPSV across different transactions are unable to roll over maturing commercial paper, and that inability is not the result of an impairment in the SPSVs' credit quality or in the credit quality of the underlying exposures).
Apr 08