Specific Risk Rules for Non-qualifying Issuers
CA-9.2.9
Instruments issued by a non-qualifying issuer will receive the same specific risk charge as a non-investment grade corporate borrower under the standardised approach for credit risk under chapter CA-4.
Apr 08CA-9.2.10
However, since this may in certain cases considerably underestimate the specific risk for debt instruments which have a high yield to redemption relative to government debt securities, CBB will have the discretion, on a case by case basis:
(a) To apply a higher specific risk charge to such instruments; and/or(b) To disallow offsetting for the purposes of defining the extent of general market risk between such instruments and any other debt instruments.Amended: April 2011
Apr 08CA-9.2.11
In that respect, securitisation exposures that would be subject to a deduction treatment under the securitisation framework set forth in chapter CA-6 (e.g. equity tranches that absorb first loss), as well as securitisation exposures that are unrated liquidity lines or letters of credit must be subject to a capital charge that is no less than the charge set forth in the securitisation framework.
Apr 08
