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CA-5.3.33

Where partial coverage exists, or where there is a currency mismatch between the underlying obligation and the credit protection, it is necessary to split the exposure into a covered and an uncovered amount. The treatment in this approach follows that outlined in the standardised approach in paragraphs CA-4.5.10 to CA-4.5.12, and depends upon whether the cover is proportional or tranched.

Apr 08