Where an Authorised Firm uses multiple Credit Risk mitigation for a single Exposure, the Authorised Firm must divide the Exposure into portions covered by each mitigation and must calculate the Credit Risk-weighted Exposure amount of each portion separately. An Authorised Firm must apply the same approach when recognising eligible credit protection by a single protection provider where the eligible credit protection has differing maturities.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]