CA-9.2.10
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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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.
Apr 08