SA-CCR — Wrong-way risk (Art. 291)¶

Wrong-way risk (WWR) is the regulatory recognition that the SA-CCR exposure formula EAD = α · (RC + PFE) understates the loss-given-default whenever the future exposure to a counterparty and that counterparty's probability of default move together. Article 291 splits the phenomenon into two qualitatively different cases and prescribes a distinct treatment for each:

• General wrong-way risk (Art. 291(1)(a)) — a portfolio-level correlation between counterparty creditworthiness and broad market risk factors. Identification is qualitative (stress-testing, monitoring, senior-management reporting under Art. 291(3) and (6)); the SA-CCR engine flags affected netting sets but does not numerically adjust the EAD because the regulatory uplift for general WWR lives inside the IMM α re-estimation per Art. 284(9). For SA-CCR the general-WWR branch is therefore diagnostic only — the netting set continues through the standard α = 1.4 chain.
• Specific wrong-way risk (Art. 291(1)(b)) — a transaction-level legal connection between the counterparty and the issuer of the derivative's underlying (canonically, a single-name CDS where the reference entity is the counterparty itself). Identification is operational and the treatment is mechanical: the affected trade is carved out into its own single-trade synthetic netting set (Art. 291(5)(a)) and downstream LGD is overridden to 100% (Art. 291(5)(c)).

This page documents:

• the Art. 291(1)(a)/(b) definitions and the Art. 291(2)–(4) identification process;
• the Art. 291(5)(a)/(c) specific-WWR carve-out and LGD = 100% override the engine implements;
• the Art. 291(4) general-WWR demarcation (out of scope for SA-CCR numerical impact — handled in IMM via the modified α);
• the engine entry point and the pipeline position of apply_wwr_gate relative to the legal-enforceability gate and the SA-CCR calculator chain;
• a worked example for a single-name CDS sold against the counterparty itself.

Regulatory citation¶

Primary source: PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 291 (Wrong-Way Risk). The UK regime is a verbatim re-export of the onshored CRR text; PRA PS1/26 does not amend Article 291, so the specific-WWR LGD = 100% override and the general-WWR identification duties carry forward unchanged into the Basel 3.1 regime effective 1 January 2027.

Verbatim text — PRA Rulebook Art. 291(1)¶

"For the purposes of this Article:

• (a) 'General Wrong-Way risk' arises when the likelihood of default by counterparties is positively correlated with general market risk factors;
• (b) 'Specific Wrong-Way risk' arises when future exposure to a specific counterparty is positively correlated with the counterparty's PD due to the nature of the transactions with the counterparty. An institution shall be considered to be exposed to Specific Wrong-Way risk if the future exposure to a specific counterparty is expected to be high when the counterparty's probability of a default is also high."

— PRA Rulebook, Counterparty Credit Risk (CRR) Part, Art. 291(1) (source PDF: docs/assets/crr.pdf, p. 289).

Verbatim text — PRA Rulebook Art. 291(5)¶

"Institutions shall calculate the own funds requirements for CCR in relation to transactions where Specific Wrong-Way risk has been identified and where there exists a legal connection between the counterparty and the issuer of the underlying of the OTC derivative or the underlying of the transactions referred to in points (b), (c) and (d) of Article 273(2)), in accordance with the following principles:

• (a) the instruments where Specific Wrong-Way risk exists shall not be included in the same netting set as other transactions with the counterparty, and shall each be treated as a separate netting set;
• (b) within any such separate netting set, for single-name credit default swaps the exposure value equals the full expected loss in the value of the remaining fair value of the underlying instruments based on the assumption that the underlying issuer is in liquidation;
• (c) LGD for an institution using the approach set out in Chapter 3 shall be 100% for such swap transactions;
• (d) for an institution using the approach set out in Chapter 2 of this Regulation and Articles 132a to 132c of Chapter 3 of the Standardised Approach and Internal Ratings Based Approach to Credit Risk (CRR) Part of the PRA Rulebook, the applicable risk weight shall be that of an unsecured transaction;
• (e) for all other transactions referencing a single name in any such separate netting set, the calculation of the exposure value shall be consistent with the assumption of a jump-to-default of those underlying obligations where the issuer is legally connected with the counterparty…"

— PRA Rulebook, Counterparty Credit Risk (CRR) Part, Art. 291(5) (source PDF: docs/assets/crr.pdf, p. 290).

(a) Specific WWR — Art. 291(1)(b), 291(4), 291(5)¶

Definition (Art. 291(1)(b))¶

Specific WWR arises when the future exposure to a specific counterparty is positively correlated with the counterparty's PD due to the nature of the transactions with the counterparty — i.e. the legal connection between the underlying of the derivative (or SFT) and the counterparty makes default of the counterparty mechanically destroy the value of the bank's protection. The regulatory wording is deliberately tight: it is not enough that exposure and PD are merely correlated; the correlation must arise from a legal relationship between the issuer of the underlying and the counterparty.

The archetypal case is a single-name CDS where the reference entity is (or is legally connected to) the counterparty: the bank has bought protection on Entity X from Entity X itself (or from a parent / subsidiary of X). The protection is worthless precisely when it is needed — at default of the reference entity, which is the counterparty's own default.

Other patterns that satisfy Art. 291(1)(b) include:

• A put option sold on the counterparty's own equity (equity falls → option is in-the-money → counterparty owes more, exactly when it is least able to pay).
• A total return swap on the counterparty's own debt.
• A repo with the counterparty's own equity as the collateral asset and the counterparty's affiliate as the trade counterparty (the Art. 291(5)(b) jump-to-default treatment in particular applies to the SFT case via Art. 273(2)(b)–(d)).

Identification process (Art. 291(2)–(4))¶

Article 291 imposes an operational identification gate, not a statistical test. The institution must:

• (Art. 291(2)) give due consideration to exposures that give rise to a significant degree of WWR;
• (Art. 291(4)) maintain procedures to identify, monitor and control cases of Specific Wrong-Way risk for each legal entity, beginning at the inception of a transaction and continuing through the life of the transaction; and
• (Art. 291(6)) provide regular reports to senior management and the appropriate committee of the management body on both specific and general WWR and the steps being taken to manage those risks.

The engine treats the outcome of this process as an input: each trade carries a Boolean is_specific_wwr flag (TRADE_SCHEMA.is_specific_wwr, default False). Setting that flag is the firm's responsibility — the WWR gate consumes it but does not derive it. This mirrors the legal-enforceability flag on NETTING_SET_SCHEMA.is_legally_enforceable and keeps the legal-determination work where it belongs (with the firm's risk-and-legal functions).

Carve-out + LGD override (Art. 291(5)(a)/(c))¶

When is_specific_wwr = True on a trade, the SA-CCR engine performs a two-step transformation:

1. Netting-set partition (Art. 291(5)(a)). The trade is removed from its original netting set and placed into its own single-trade synthetic netting set whose id is <original_ns_id>__wwr__<trade_id>. Non-WWR trades in the original netting set continue in a residual netting set keyed by the original id. This is the regulatory expression of "shall not be included in the same netting set… and shall each be treated as a separate netting set" — the WWR trade cannot benefit from netting against any of the bank's other positions with the counterparty, because at the counterparty's default the WWR trade jumps to its full loss-given-default while the other positions remain in their pre-default mark.

2. LGD = 100% override (Art. 291(5)(c)). The synthetic netting set carries wwr_lgd_override = 1.0 on the NETTING_SET_SCHEMA.wwr_lgd_override field. Downstream IRB consumption (Art. 153 K-formula) must use this override in place of the bank's own LGD estimate for the exposure carved out. The override scalar is the cited pack param ccr_wwr_specific_lgd_override in src/rwa_calc/rulebook/packs/common.py, read in engine/ccr/wwr.py via _PACK.scalar_param('ccr_wwr_specific_lgd_override').

The SA-CCR EAD calculation itself is unchanged by the carve-out — the synthetic single-trade netting set is processed through the same adjusted_notional → supervisory_delta → maturity_factor → hedging_set → addon → multiplier → EAD chain as any other netting set, with α = 1.4 and the same supervisory factor for the asset class. What changes is the downstream IRB LGD lookup: the synthetic NS carries wwr_lgd_override = 1.0 which the IRB Calculator substitutes for the bank's own LGD estimate when computing K (Art. 153). The specific-WWR treatment is therefore purely a partitioning step in SA-CCR and a downstream LGD override, not a multiplier on the SA-CCR EAD formula.

Diagnostic warning (CCR010)¶

The gate emits one CalculationError per original netting set that contained at least one WWR trade:

The warning is a regulatory trace, not a blocking error — SA-CCR EAD calculation continues with the partitioned frame.

(b) General WWR — Art. 291(1)(a), 291(3), 291(6)¶

Definition (Art. 291(1)(a))¶

General WWR arises when the likelihood of default by counterparties is positively correlated with general market risk factors — i.e. a broad-market correlation rather than a transaction-level legal connection. The canonical example is a long-dated USD interest-rate swap with a US-dollar-funded counterparty: an upward shock to USD rates simultaneously lifts the swap's positive market value (so the counterparty owes more) and tightens the counterparty's funding position (so its PD rises).

General WWR is portfolio-level, not trade-level: it is identified by stress-testing risk factors that are adversely related to counterparty creditworthiness (Art. 291(3)) and by monitoring by product, region, industry or other categories.

Demarcation — SA-CCR vs IMM (Art. 291(4) / Art. 284(9))¶

The numerical adjustment for general WWR lives in the IMM α re-estimation that Art. 284(9) permits — institutions with IMM permission may use their own estimates of α (subject to a floor of 1.2), and the estimation methodology must internalise general WWR. SA-CCR does not have an α re-estimation hook: α is fixed at 1.4 per Art. 274(2), with the only carve-out being the non-financial / pension α = 1.0 reduction on ead-composition.md. The SA-CCR engine therefore handles general WWR diagnostically only — the affected netting set is flagged but no numerical adjustment is applied.

This is the regulatory demarcation that distinguishes SA-CCR from IMM in the WWR context:

The "diagnostic only" SA-CCR treatment is not an engine shortcut — it is the regulation: Art. 291(4) imposes monitoring, control and senior-management reporting duties (Art. 291(6)) but does not impose any numerical EAD uplift for general WWR outside the IMM α re-estimation hook. The engine's CCR011 warning fulfils the identification leg of those duties; the monitoring and reporting legs sit outside the calculator and belong to the firm's risk-management function.

Diagnostic warning (CCR011)¶

The gate emits one CalculationError per netting set with has_general_wwr_flag = True:

Like CCR010, the warning is a regulatory trace, not a blocking error. The flag is read from NETTING_SET_SCHEMA.has_general_wwr_flag (default False).

Engine entry point¶

The WWR identification gate is implemented by a single function operating on the aggregate RawCCRBundle:

from rwa_calc.engine.ccr.wwr import apply_wwr_gate

def apply_wwr_gate(raw_ccr: RawCCRBundle) -> RawCCRBundle:
    """Partition netting sets to isolate specific-WWR trades; tag general WWR.

    Specific WWR (Art. 291(1)(b) / 291(5)(a)/(c)): every trade with
    ``is_specific_wwr=True`` is broken out into its own single-trade
    synthetic netting set ``<original>__wwr__<trade_id>`` carrying
    ``wwr_lgd_override = 1.0`` for downstream IRB LGD substitution.

    General WWR (Art. 291(1)(a) / 291(6)): netting sets with
    ``has_general_wwr_flag=True`` emit a CCR011 WARNING but are not
    partitioned — α stays at 1.4."""

Source: src/rwa_calc/engine/ccr/wwr.py::apply_wwr_gate.

#: Regulatory citation attached to CCR011 warnings (general WWR flag).
CCR_WWR_GENERAL_REG_REF = "CRR Art. 291(1)(a), 291(6)"

#: Synthetic netting-set id separator: ``<original>__wwr__<trade_id>``.
_WWR_NS_ID_SEPARATOR = "__wwr__"


@cites("CRR Art. 291")
def apply_wwr_gate(raw_ccr: RawCCRBundle) -> RawCCRBundle:
    """Partition netting sets to isolate specific-WWR trades; tag general WWR.

    Implements CRR Art. 291(4)-(5):

    - **Specific WWR** (Art. 291(1)(b) / 291(5)(a)/(c)): every trade with
      ``is_specific_wwr=True`` is broken out into its own single-trade
      synthetic netting set whose id is
      ``<original_ns_id>__wwr__<trade_id>``. The synthetic NS inherits all
      attributes from the original and additionally carries
      ``wwr_lgd_override = 1.0`` so downstream IRB consumption applies
      LGD = 100% (Art. 291(5)(c)). A residual NS keyed by the original
      ``netting_set_id`` retains the non-WWR trades with
      ``wwr_lgd_override = null``.
    - **General WWR** (Art. 291(1)(a) / 291(6)): netting sets with
      ``has_general_wwr_flag=True`` are not partitioned but emit a
      diagnostic CCR011 WARNING.

    Pipeline position:
        apply_legal_enforceability_gate -> apply_wwr_gate -> CCR calculators

    Args:
        raw_ccr: Aggregate CCR input bundle.

    Returns:
        A new ``RawCCRBundle`` (frozen dataclass) with:

        - ``trades`` remapped: each specific-WWR trade carries its new
          synthetic ``netting_set_id``.
        - ``netting_sets`` partitioned: each affected original NS is
          replaced by (1) a residual row (non-WWR trades, override null)
          plus (2) one synthetic row per WWR trade (override = 1.0).
        - ``errors`` extended with one CCR010 WARNING per original NS
          containing >=1 WWR trade, plus one CCR011 WARNING per NS with
          ``has_general_wwr_flag=True``.

        Netting sets with no WWR trades and ``has_general_wwr_flag=False``
        pass through unchanged.

    References:
        CRR Art. 291(1)(a)/(1)(b)/(4)/(5)(a)/(5)(c)/(6).
    """
    # Backfill the schema-declared WWR columns when the loader/fixture has
    # not yet populated them. ``ensure_columns`` is a no-op when the columns
    # are already present.
    netting_sets_lf = ensure_columns(raw_ccr.netting_sets.netting_sets, _WWR_NS_DEFAULTS)
    trades_lf = ensure_columns(raw_ccr.trades.trades, _WWR_TRADE_DEFAULTS)

    # Materialise the small NS and trade frames to drive partition logic.
    # Netting-set and trade frames are at firm scale (hundreds to low
    # thousands of rows), so collecting is acceptable — mirrors the
    # apply_legal_enforceability_gate precedent.
    netting_sets_df = netting_sets_lf.collect()
    trades_df = trades_lf.collect()

    new_errors: list[CalculationError] = list(raw_ccr.errors)

    # --- General WWR (Art. 291(1)(a), 291(6)): diagnostic only --------------
    general_wwr_mask = netting_sets_df["has_general_wwr_flag"].fill_null(False)
    general_wwr_rows = netting_sets_df.filter(general_wwr_mask)
    for ns_row in general_wwr_rows.iter_rows(named=True):
        new_errors.append(
            CalculationError(
                code=CCR_WWR_GENERAL_ERROR_CODE,
                message=(
                    f"Netting set {ns_row['netting_set_id']} carries "
                    "has_general_wwr_flag=True per Art. 291(1)(a); "
                    "general WWR identified for downstream review."
                ),
                severity=ErrorSeverity.WARNING,
                category=ErrorCategory.CCR_WWR_GENERAL,
                counterparty_reference=ns_row.get("counterparty_reference"),

Inputs (RawCCRBundle)¶

ensure_columns backfills the WWR columns with their schema defaults when the loader has not yet populated them — the gate stays independent of upstream column-presence quirks.

Outputs (RawCCRBundle)¶

The partition is idempotent on a frame that has already been gated: re-running apply_wwr_gate on its own output is a no-op because the synthetic rows carry is_specific_wwr = False after the carve-out (the trades are kept tagged at the trade level, but the synthetic netting-set id is already in place so a second invocation re-emits CCR010 against the synthetic id rather than re-partitioning). The engine treats apply_wwr_gate as a one-pass stage.

Pipeline ordering¶

apply_wwr_gate sits between the legal-enforceability gate and the SA-CCR calculator chain. The legal-enforceability gate runs first because Art. 291(5)(a) requires the WWR carve-out to operate on netting sets — the carve-out cannot be applied before the legally-enforceable netting-set boundaries are settled:

RawCCRBundle (loader output)
  │
  ├─ apply_legal_enforceability_gate    (Art. 272(4), 295–297)
  │     ↓ resolves single-trade synthetic NSes for unenforceable agreements
  │
  ├─ apply_wwr_gate                     (Art. 291(1)(a)/(b), 291(4)–(5))   ← this page
  │     ├─ Art. 291(5)(a) — partition WWR trades into single-trade NSes
  │     ├─ Art. 291(5)(c) — wwr_lgd_override = 1.0 on synthetic rows
  │     ├─ Art. 291(1)(a) — CCR011 WARNING per has_general_wwr_flag=True NS
  │     └─ Art. 291(1)(b) — CCR010 WARNING per original NS w/ ≥1 WWR trade
  │
  └─ ccr_rows_to_exposures              (Art. 274–278)
        ↓ standard SA-CCR chain (adjusted notional → δ → MF → HS → add-on
        ↓                        → multiplier → RC → PFE → EAD)
        ↓ — α stays at 1.4 throughout; α adjustment is an IMM-only hook
        ↓
        synthetic exposure rows → Classifier → CRM → SA/IRB Calculator
                                                       │
                                                       └─ IRB consumes
                                                          wwr_lgd_override
                                                          on the synthetic
                                                          NS rows → LGD = 100%
                                                          per Art. 153 K-formula

Engine status note. apply_wwr_gate is now wired into the ccr_sa_ccr registry stage (engine/stages/ccr.py::run), applied immediately after the legal-enforceability gate and before the SA-CCR EAD chain (apply_wwr_gate(apply_legal_enforceability_gate(data.ccr))). apply_wwr_gate is also pinned by tests/unit/ccr/test_wwr.py. What remains pending is the downstream IRB-LGD-override consumer leg — the IRB Calculator does not yet substitute wwr_lgd_override into the Art. 153 K-formula — alongside the credit / equity / commodity add-on engines in engine batches P8.35–P8.38. The placeholder CCR-A10 acceptance scenario in docs/specifications/crr/ccr/index.md is reserved for the end-to-end worked example.

Worked example — single-name CDS where the reference entity is the counterparty¶

The simplest concrete trigger of Art. 291(1)(b): the bank has bought single-name CDS protection on Entity X from Entity X itself. The protection's payoff at default of X is mechanically destroyed by X's default — Art. 291(5) carves the trade out, overrides LGD to 100%, and emits the CCR010 warning. The same arithmetic generalises to puts sold on the counterparty's own equity and TRS on the counterparty's own debt; the regulatory mechanic is identical (Art. 291(1)(b) ⇒ 291(5)(a) ⇒ 291(5)(c)).

Input data¶

counterparty:
  CP_X                       — Entity X (the CDS reference entity)

netting set:
  netting_set_id           = "NS_X_01"
  counterparty_reference   = "CP_X"
  is_legally_enforceable   = True
  is_margined              = False
  has_general_wwr_flag     = False

trades (single-name CDS):
  trade_id                 = "T_CDS_X_01"
  netting_set_id           = "NS_X_01"
  asset_class              = "credit"
  reference_entity         = "CP_X"           ← legal connection to counterparty
  notional                 = 10,000,000 GBP
  protection_position      = "buyer"          ← bank bought protection
  is_specific_wwr          = True             ← firm-determined per Art. 291(4)

  trade_id                 = "T_IRS_X_01"
  netting_set_id           = "NS_X_01"
  asset_class              = "interest_rate"
  notional                 = 50,000,000 GBP
  is_specific_wwr          = False            ← normal IR swap, no Art. 291(1)(b) connection

After apply_wwr_gate¶

trades:
  T_CDS_X_01    → netting_set_id = "NS_X_01__wwr__T_CDS_X_01"   (synthetic, single-trade)
  T_IRS_X_01    → netting_set_id = "NS_X_01"                    (residual, unchanged)

netting_sets:
  NS_X_01                        — wwr_lgd_override = null   (residual; carries IRS only)
  NS_X_01__wwr__T_CDS_X_01       — wwr_lgd_override = 1.0    (synthetic; carries CDS only)
                                   has_general_wwr_flag = False (inherited)
                                   is_legally_enforceable = True (inherited)
                                   counterparty_reference = "CP_X" (inherited)

errors:
  1 × CCR010 (WARNING, CCR_WWR_SPECIFIC, "CP_X",
              regulatory_reference = "CRR Art. 291(4)-(5)",
              message references NS_X_01)
  0 × CCR011 (has_general_wwr_flag = False on the original NS)

Downstream consequences¶

• SA-CCR EAD chain. Both netting sets — the residual NS_X_01 with the IRS and the synthetic NS_X_01__wwr__T_CDS_X_01 with the CDS — run through ccr_rows_to_exposures with α = 1.4. The partition prevents the IRS from netting against the CDS even though both were originally legally enforceable under the same ISDA — the IRS and CDS were under the same Master, but Art. 291(5)(a) overrides the netting recognition for the WWR trade.
• IRB LGD substitution. The downstream IRB Calculator reads wwr_lgd_override on the synthetic NS row and substitutes LGD = 1.0 for the bank's own LGD estimate (Art. 153 K-formula) — the Art. 291(5)(c) LGD = 100% override. The residual NS_X_01 row carries wwr_lgd_override = null and the bank's own LGD estimate applies as normal.
• SA branch (Art. 291(5)(d)). Where the synthetic NS is routed to the SA calculator (rather than IRB), the applicable risk weight is that of an unsecured transaction (no collateral or guarantee recognition on the WWR carve-out). The SA branch implementation remains pending engine batches P8.35–P8.38.
• Senior-management reporting. The CCR010 warning surfaces in the pipeline error frame for the Art. 291(6) reporting leg. The bank's risk-management function is expected to consume the error frame and fold the CCR010 / CCR011 records into the WWR section of the Art. 291(6) management report.

Asset-class scope of worked examples¶

The carve-out and LGD override mechanic is asset-class-independent — it operates on the is_specific_wwr trade flag and the netting-set partition only. The asset-class engine deferrals affect only the worked-example arithmetic on the synthetic NS's EAD, not the partition or the LGD override.

Status¶

References¶

• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 291 — wrong-way risk definitions, identification process, specific-WWR carve-out and LGD = 100% override.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 272(4) — netting set definition; supplies the netting-set boundary on which the WWR carve-out operates.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 273(2) — scope of "transactions" referenced by Art. 291(5) (OTC derivatives, long-settlement transactions, SFTs).
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 274(2) — the SA-CCR EAD formula consuming the carved-out netting sets; α stays at 1.4.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 284(9) — IMM hook for α re-estimation that internalises general WWR (out of scope for SA-CCR).
• PRA PS1/26 — does not amend Article 291; the WWR treatment carries forward unchanged into the Basel 3.1 regime from 1 January 2027.
• BCBS CRE53.2–53.8 — Basel-level methodology for specific and general WWR identification and treatment.
• src/rwa_calc/engine/ccr/wwr.py — engine implementation of apply_wwr_gate, including the synthetic netting-set id format <original>__wwr__<trade_id> and the CCR010 / CCR011 warning emission.
• src/rwa_calc/rulebook/packs/common.py — cited pack param ccr_wwr_specific_lgd_override (Art. 291(5)(c)), read in engine/ccr/wwr.py via _PACK.scalar_param('ccr_wwr_specific_lgd_override').
• src/rwa_calc/data/schemas.py — TRADE_SCHEMA.is_specific_wwr, NETTING_SET_SCHEMA.has_general_wwr_flag, NETTING_SET_SCHEMA.wwr_lgd_override.
• tests/unit/ccr/test_wwr.py — pinned partition behaviour and CCR010 / CCR011 warning emission for the P8.27 fixture.
• tests/fixtures/ccr/wwr_builder.py — fixture builder for the worked example structure.

Cross-references¶

• CCR index — full SA-CCR specification index, the per-stage status table, and the CCR-A10 placeholder acceptance scenario for end-to-end specific-WWR.
• RC calculation — replacement cost composition; the synthetic single-trade netting set runs through the same Art. 275(1) RC = max(V − C, 0) formula as any other unmargined netting set, but with the LGD = 100% override applied at the downstream IRB lookup.
• EAD composition — α · (RC + PFE) consumer of the carved-out netting sets; α stays at 1.4, the LGD override is a downstream IRB concern.
• SA risk weights — downstream lookup the carved-out netting set flows through when routed to the SA branch (Art. 291(5)(d) "risk weight of an unsecured transaction"; pending engine batches P8.35–P8.38).