CA-9.2.10
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.
January 2015