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  • Specific Risk Rules for Unrated Debt Securities

    • CA-9.2.8

      Unrated securities may be included in the "qualifying" category when they are (subject to CBB's approval) unrated, but deemed to be of comparable investment quality by the reporting bank, and the issuer has securities listed on a recognised stock exchange. This will remain unchanged for banks applying the standardised approach. For banks applying the IRB approach for a portfolio, unrated securities can be included in the "qualifying" category if both of the following conditions are met:

      (a) The securities are rated equivalent65 to investment grade under the reporting bank's internal rating system, which the CBB has confirmed complies with the requirements for an IRB approach; and
      (b) The issuer has securities listed on a recognised stock exchange.
      Amended: April 2011
      Apr 08