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  • Specific Risk Capital Charges under the Standardised Approach Based on External Credit Ratings

    External Credit Assessment AAA to AA- A-1/P-1 A+ to A- A-2/P-2 BBB+ BBB- A-3/P-3 BB+ to BB- Below BB- and below A-3/P-3 or unrated
    Securitisation Exposures 1.6% 4% 8% 28% Deduction
    Re-securitisation Exposures 3.2% 8% 18% 52% Deduction
    January 2015

    • CA-9.2.11C

      The specific risk capital charges for unrated positions under the securitisation framework as defined in Paragraphs CA-6.1.1 to CA-6.1.6 must be calculated as set out below, subject to CBB approval. The capital charge can be calculated as 12% of the weighted average risk weight that would be applied to the securitised exposures under the standardised approach, multiplied by a concentration ratio. If the concentration ratio is 12.5 or higher the position has to be deducted from capital as defined in Paragraph CA-6.4.2. This concentration ratio is equal to the sum of the nominal amounts of all the tranches divided by the sum of the nominal amounts of the tranches junior to or pari passu with the tranche in which the position is held including that tranche itself.

      The resulting specific risk capital charge must not be lower than any specific risk capital charge applicable to a rated more senior tranche. If a conventional bank licensee is unable to determine the specific risk capital charge as described above or prefers not to apply the treatment described above to a position, it must deduct that position from capital.

      January 2015

    • CA-9.2.11D

      A position subject to deduction according to Paragraphs CA-9.2.11B to CA-9.2.11C may be excluded from the calculation of the capital charge for general market risk.

      January 2015

    • CA-9.2.11E

      [This Paragraph was deleted in January 2015.]

      January 2015