CA-9.2.15
Past version: Effective from 01 Apr 2008 to 31 Dec 2011
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In each of these cases in paragraphs CA-9.2.12 to CA-9.2.14, the following rule applies. Rather than adding the specific risk capital requirements for each side of the transaction (i.e. the credit protection and the underlying asset) only the higher of the two capital requirements will apply.
Apr 08