OSFI BASEL: RW Rule For Land ADC Subordinated Mezzanine Tranche Not Found
(Doc ID 3030098.1)
Last updated on JULY 23, 2024
Applies to:
Oracle Financial Services Basel Regulatory Capital Basic - Version 8.0.0 and laterInformation in this document applies to any platform.
Goal
As per Accord guide , what is the Risk Weight rule metadata designed for the below requirement.
Accord Guide
https://www.osfi-bsif.gc.ca/sites/default/files/documents/CAR24-chpt4-eng.pdf
In the event the institution holds the exposure in a subordinated or a mezzanine tranche of an ADC loan structure, the exposure should be risk-weighted at 300%.
If an institution holds both the senior and the subordinated/mezzanine tranche(s) in the same ADC loan structure, the institution may treat the entire risk exposure as a single loan and use the risk weights in this
section.
[Basel Framework, CRE 20.91]
Solution
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