(1) Where an
Authorised Firm has two or more overlapping Exposures to a securitisation, the firm must, to the extent that the positions overlap, include in its calculation of Credit RWA amounts only the Exposure, or portion of the Exposure, producing the higher Credit RWA amounts.
(2) For the purposes of (1), overlapping
Exposures result where an Authorised Firm provides two or more facilities (whether they are liquidity facilities or Credit Enhancements) in relation to a securitisation that can be drawn under various conditions with different triggers, with the result that the Authorised Firm provides duplicate coverage to the underlying Exposures. The facilities provided by the Authorised Firm may overlap since a draw on one facility may preclude (in part) a draw on the other facility.
(3) Where the overlapping
Exposures are subject to different conversion factors the Authorised Firm must apply the higher of the conversion factors to the Exposure.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]