CA-5.3.29
CRM in the form of guarantees and credit derivatives must not reflect the effect of double default (see paragraph CA-5.8.93). As such, to the extent that the CRM is recognised by the bank, the adjusted risk weight will not be less than that of a comparable direct exposure to the protection provider. Consistent with the standardised approach, banks may choose not to recognise credit protection if doing so would result in a higher capital requirement.
Apr 08