OSFI BASEL 8.1.2.4.0 : Risk Weight For Covered Bonds Not As Per Regulation Par 48 In Rule RLINV248 (Doc ID 3036133.1)

Last updated on JULY 24, 2024

Applies to:

Goal

For the below regulation,

" Par. 48. In order to be eligible for the risk weights set out in paragraph 52, the underlying assets (the cover pool) of covered bonds as defined in paragraph 46 shall meet the requirements set out in paragraph 51 and shall include any of the following:
• Exposures to, or exposures guaranteed by, sovereigns, their central banks, public sector entities or multilateral development banks; 248???
• Exposures secured by residential real estate that meet the criteria set out in paragraph 89 and with a loan-to-value ratio of 80% or lower;
• Exposures secured by commercial real estate that meets the criteria set out in paragraph 89 and with a loan-to-value ratio of 60% or lower; or
• Exposures to, or exposures guaranteed by banks that qualify for a 30% or lower risk weight. However, such assets cannot exceed 15% of the cover pool. "

We see that the risk weight assignment in Rule RLINV248 is not matching the RW that needs to per table provided in Par.52

Example for Rating AAA to AA- Equivalent needs to have a RW of 20% not 10%.

Please let us know if this was fixed.

Solution

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