CA-2.4.25
The following items receive the following risk weights:
(a) Certain securitisation exposures outlined in Chapter CA-6: 1,250%;
(b) Non-payment/delivery on non-DvP and non-PvP transactions (see Appendix CA-4): 1,250%;
(c) The amount of any significant investments in commercial entities, as defined in Paragraph CM-5.11.4, which exceed the materiality thresholds is risk weighted at 800%. The materiality thresholds for these investments are: 15% of Total Capital for individual significant investments; and 60% of Total Capital for the aggregate of such investments; and
(d) Any exposures above the large exposures limits set by the CBB in Chapter CM-5 of the CBB Rulebook: 800%.
Amended: October 2016
Amended: July 2015
Amended: April 2015
January 2015
Amended: July 2015
Amended: April 2015
January 2015