Regulatory Alerts2021-05-12
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Illustrations on Reporting of Recognized Credit Risk Mitigation
The document provides illustrative calculations for reporting recognized credit risk mitigation under the Simple and Comprehensive Approaches for on-balance sheet loans, off-balance sheet commitments, and collateralized derivative contracts. It specifies the application of risk weights, credit conversion factors, and supervisory haircuts for currency mismatches and holding periods to determine risk-weighted amounts. The examples demonstrate how to calculate exposure after credit risk mitigation and assign the resulting risk-weighted amounts to specific reporting divisions.
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