Principles for recognising the effect of credit risk mitigation techniques - CRD Provision
Regulatory Capital Anatomy™
The JC’s untutored thoughts on how bank capital works. Full text of Art 193: Principles for recognising the effect of credit risk mitigation techniques1. No exposure in respect of which an institution obtains credit risk mitigation shall produce a higher risk-weighted exposure amount or expected loss amount than an otherwise identical exposure in respect of which an institution has no credit risk mitigation.
6. When an institution calculating risk-weighted exposure amounts under the Standardised Approach covers a single exposure with credit protection provided by a single protection provider and that protection has differing maturities, it shall do both of the following:
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