1.Credit risk of underlying exposures
 

At the cut-off date for addition of exposures to the pool, the underlying exposures must meet the conditions to be assigned a risk weight equal to or smaller than:

• •40% on a value-weighted average exposure basis for a portfolio where the exposures are loans secured by residential mortgages or fully guaranteed residential loans;
• •50% on an individual exposure basis where the exposure is a loan secured by a commercial mortgage;
• •75% on an individual exposure basis where the exposure is a retail exposure; or
• •100% on an individual exposure basis for any other exposure.

These risk weights should be after taking into account any eligible credit risk mitigation. The thresholds as set are based on the current Standardized Approach to credit risk, and may be revisited if the Standardized Approach for credit risk is subsequently revised.

2.Granularity of the pool
 

At the portfolio cut-off date, the aggregate value of all exposures to a single obligor shall not exceed 1% of the aggregated outstanding exposure value of all exposures in the portfolio.