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  • Treatment of Exposures in a Second Loss Position or Better in ABCP Programmes

    • CA-6.4.15

      Deduction is not required for those unrated securitisation exposures provided by sponsoring banks to ABCP programmes that satisfy the following requirements:

      (a) The exposure is economically in a second loss position or better and the first loss position provides significant credit protection to the second loss position;
      (b) The associated credit risk is the equivalent of investment grade or better; and
      (c) The bank holding the unrated securitisation exposure does not retain or provide the first loss position.
      Apr 08

    • CA-6.4.16

      Where these conditions are satisfied, the risk weight is the greater of (i) 100% or (ii) the highest risk weight assigned to any of the underlying individual exposures covered by the facility.

      Apr 08