Risk weight linkage to bond ratings: rating-differentiated capital charges specified for corporate bond investments for short and long term instruments The circular mandates that risk weights for corporate bond investments by SPDs be linked to the bond's external credit rating: a graded scale applies to short term instruments ( one year) with lower weights for top short term ratings and higher weights for lower or unrated ratings, and a corresponding graded scale applies to long term instruments (> one year). The revision replaces a uniform risk weight and is effective immediately for capital adequacy calculations.
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Provisions expressly mentioned in the judgment/order text.
Risk weight linkage to bond ratings: rating-differentiated capital charges specified for corporate bond investments for short and long term instruments
The circular mandates that risk weights for corporate bond investments by SPDs be linked to the bond's external credit rating: a graded scale applies to short term instruments ( one year) with lower weights for top short term ratings and higher weights for lower or unrated ratings, and a corresponding graded scale applies to long term instruments (> one year). The revision replaces a uniform risk weight and is effective immediately for capital adequacy calculations.
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