Treatment of Credit Risk Mitigation for Securitisation Exposures
CA-6.4.25
The treatment below applies to a
conventional bank licensee that has obtained acredit risk mitigant on a securitisation exposure.Credit risk mitigants include guarantees, credit derivatives, collateral and on-balance sheet netting. Collateral in this context refers to that used to hedge thecredit risk of a securitisation exposure rather than the underlying exposures of the securitisation transaction.January 2015CA-6.4.26
When a
conventional bank licensee other than the originator provides credit protection to a securitisation exposure, it must calculate a capital requirement on the covered exposure as if it were an investor in that securitisation. If aconventional bank licensee provides protection to an unrated credit enhancement, it must treat the credit protection provided as if it were directly holding the unrated credit enhancement.January 2015
