CA-2.4.25
Past version: Effective from 01 Jan 2015 to 31 Mar 2015
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The following items receive the following risk weights:
(a) Certain securitisation and Sukuk exposures outlined in Chapter CA-8: 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 which exceed the materiality thresholds. 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. Appendix CA-10 gives an example of the way to aggregate such investments to see the effect of the two thresholds. Please refer to Paragraph CA-2.4.20 for the threshold for individual 'significant' investments for the purpose of this Paragraph (i.e. a holding of 10% or more of the equity in a commercial entity): 800%; and
(d) Any exposures above the large exposures limits set by the CBB in Chapter CM-4 of the CBB Rulebook: 800%.
January 2015