CA-6.4.51

The Ratings-Based Approach (RBA) must be applied to securitisation exposures that are rated, or where a rating can be inferred as described in paragraph CA-6.4.60. Where an external or an inferred rating is not available, either the Supervisory Formula (SF) or the Internal Assessment Approach (IAA) must be applied. The IAA is only available to exposures (e.g. liquidity facilities and credit enhancements) that banks (including third-party banks) extend to ABCP programmes. Such exposures must satisfy the conditions of paragraphs CA-6.4.62 and CA-6.4.63. For liquidity facilities to which none of these approaches can be applied, banks may apply the treatment specified in paragraph CA-6.4.84. Exceptional treatment for eligible servicer cash advance facilities is specified in paragraph CA-6.4.86. Securitisation exposures to which none of these approaches can be applied must be deducted.