(ii) Risk Weights
CA-6.4.8
The risk-weighted asset amount of a securitisation exposure is computed by multiplying the amount of the position by the appropriate risk weight determined in accordance with the following tables. For off-balance sheet exposures, banks must apply a CCF and then risk weight the resultant credit equivalent amount. If such an exposure is rated, a CCF of 100% must be applied. For positions with long-term ratings of B+ and below and short-term ratings other than A-1/P-1, A-2/P-2, A-3/P-3, deduction from capital as defined in paragraph CA-6.4.2 is required. Deduction is also required for unrated positions with the exception of the circumstances described in paragraphs CA-6.4.12 to CA-6.4.16.
The following risk weights are applied in the standardised approach.
Long term rating50 Securitisation Exposure Re-securitisation Exposure AAA to AA- 20% 40% A+ to A- 50% 100% BBB+ to BBB- 100% 225% BB+ to BB- 350% 650% B+ and below or unrated Deduction Deduction
Short term rating Securitisation Exposure Re-securitisation Exposure A-1/P-1 20% 40% A-2/P-2 50% 100% A-3/P-3 100% 225% All other ratings or unrated Deduction Deduction
50 The rating designations used in the following tables are for illustrative purposes only and do not indicate any preference for, or endorsement of, any particular external assessment system.
Amended: January 2012
Apr 08
