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