Effect of Credit Risk Mitigation techniques

(24) The description, operational requirements, eligibility criteria, terms and conditions, procedures, formulae, parameters and the methods for considering the effect of providing Credit Risk Mitigation to a securitisation in the calculation of RWAs are detailed in Section H of Chapter 5 of the BPG. In order to calculate the RWAs appropriately in such cases, a Bank must fully comply with the relevant paragraphs in Section H of Chapter 5 of the BPG. Failure to do so, would be seen by the AFSA as attempts to overstate the capital position of the Bank.