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CA-9.2.11

In that respect, securitisation exposures that would be subject to a deduction treatment under the securitisation framework set forth in chapter CA-6 (e.g. equity tranches that absorb first loss), as well as securitisation exposures that are unrated liquidity lines or letters of credit must be subject to a capital charge that is no less than the charge set forth in the securitisation framework.

Apr 08