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CA-6.4.58

Banks may apply the risk weights for senior positions if the effective number of underlying exposures (N, as defined in paragraph CA-6.4.77) is 6 or more and the position is senior as defined above. When N is less than 6, the risk weights in column 4 of the first table below apply. In all other cases, the risk weights in column 3 of the first table below apply.

RBA risk weights when the external assessment represents a long-term credit rating and/or an inferred rating derived from a long-term assessment
External Rating (Illustrative) Risk weights for senior positions and eligible senior IAA exposures Base risk weights Risk weights for tranches backed by non-granular pools
AAA 7% 12% 20%
AA 8% 15% 25%
A+ 10% 18% 35%
A 12% 20%
A- 20% 35%
BBB+ 35%   50%
BBB 60%   75%
BBB- 100%
BB+ 250%
BB 425%
BB- 650%
Below BB- and unrated Deduction
Apr 08