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CA-5.6.10

If protection against dilution risk has been purchased, and the conditions of paragraphs CA-5.3.38 and CA-5.3.39 are met, the double default framework may be used for the calculation of the risk-weighted asset amount for dilution risk. In this case, paragraphs CA-5.3.12 to CA-5.3.16 apply with PDo being equal to the estimated EL, LGDg being equal to 100 percent, and effective maturity being set according to paragraph CA-5.6.6.

Apr 08