— Treatment of Unsecured Claims and Non-recognised Collateral
CA-5.3.18
Under the foundation approach, senior claims on corporates, sovereigns and banks not secured by recognised collateral will be assigned a 45% LGD.
Apr 08CA-5.3.19
All subordinated claims on corporates, sovereigns and banks must be assigned a 75% LGD. A subordinated loan is a facility that is expressly subordinated to another facility. This also includes economic subordination, such as cases where the facility is unsecured and the bulk of the borrower's assets are used to secure other exposures. CBB will review subordinated claims on a case by case basis. In case the subordinated claim (i) is on a banking, securities or other financial entity and (ii) exceeds (when combined with other investments in regulatory capital instruments of the investee) 20% of the concerned investee's eligible regulatory capital, such holding must be treated as described in Prudential Consolidation and Deduction Requirements Module.
Apr 08
