(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,
conventional bank licensees 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.Long term rating36 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 1,250% 1,250% 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 1,250% 1,250%
36 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.
January 2015CA-6.4.9
The capital treatment of positions retained by originators, liquidity facilities,
credit risk mitigants, and securitisations of revolving exposures are identified separately. The treatment of clean-up calls is provided in Paragraphs CA-6.3.5 to CA-6.3.7.January 2015Recognition of Ratings on Below-Investment Grade Exposures
CA-6.4.10
Only third-party investors, as opposed to
conventional bank licensees that serve as originators, may recognise external credit assessments that are equivalent to BB+ to BB- for risk weighting purposes of securitisation exposures.January 2015Originators to Apply 1,250% Risk Weight to all Below-Investment Grade Exposures
CA-6.4.11
Originating banks as defined in paragraph CA-6.2.1 must risk weight all retained securitisation exposures rated below investment grade (i.e. BBB-) at 1,250%.
January 2015
