Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 68

Credit-linked notes

An authorized institution which has an exposure in respect of a
credit-linked note held by the institution shall allocate a risk-weight to the
exposure which is the greater of—

   (a)  the risk-weight attributable to the reference obligation of the note
        as determined in accordance with sections 55, 56, 57, 58, 59, 60, 61,
        62, 63, 64, 65, 66 and 67 as if the institution had a direct exposure
        to the reference obligation; and

   (b)  the attributed risk-weight of the issuer of the note.