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CM-2.3.35

When the LTA is required, the exposure value to a counterparty is measured for each tranche within the structure, assuming a pro rata distribution of losses amongst investors in a single tranche. To compute the exposure value to the underlying asset, the licensee must:

(a) Consider the lower of the value of the tranche in which the licensee invests and the nominal value of each underlying asset included in the underlying portfolio of assets; and
(b) Apply the pro rata share of the licensee’s investment in the tranche to the value determined in the first step above.
Added: June 2022