Back Custom print Link Text Only Rich Text Print

  • Specific Risk Rules for Non-qualifying Issuers

    • CA-9.2.9

      Instruments issued by a non-qualifying issuer receive the same specific risk charge as a non-investment grade corporate borrower under the standardised approach for credit risk under Chapter CA-4.

      January 2015

    • CA-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.
      January 2015

    • CA-9.2.11

      In that respect, securitisation exposures subject to 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.

      January 2015