• Default risk weights are assigned to net JTD by credit quality categories (i.e. rating bands), irrespective of the type of counterparty, as in the following table:

  Credit Quality Category	Default Risk Weight
  AAA	0.5%
  AA	2%
  A	3%
  BBB	6%
  BB	15%
  B	30%
  CCC	50%
  Unrated	15%
  Defaulted	100%

Excel

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