Where an
institution provides credit protection for a number of
exposures subject to the condition that the nth default among the
exposures shall trigger payment and that this credit event shall terminate the contract, the risk weights of the
exposures included in the basket will be aggregated, excluding n-1
exposures, up to a maximum of 1 250 % and multiplied by the nominal amount of the protection provided by the credit derivative to obtain the risk-weighted
exposure amount. The n-1
exposures to be excluded from the aggregation shall be determined on the basis that they shall include those
exposures each of which produces a lower risk-weighted
exposure amount than the risk-weighted
exposure amount of any of the
exposures included in the aggregation.