Treatment of Unrated Most Senior Securitisation Exposures
CA-6.4.13
If the most senior exposure in a securitisation of a traditional or synthetic securitisation is unrated, a
conventional bank licensee that holds or guarantees such an exposure may determine the risk weight by applying the "look-through" treatment, provided the composition of the underlying pool is known at all times.Conventional bank licensees are not required to consider interest rate or currency swaps when determining whether an exposure is the most senior in a securitisation for the purpose of applying the "look-through" approach.January 2015CA-6.4.14
In the look-through treatment, the unrated most senior position receives the average risk weight of the underlying exposures subject to CBB review. Where the
conventional bank licensee is unable to determine the risk weights assigned to the underlyingcredit risk exposures, the unrated position must be risk-weighted at 1,250%.January 2015
