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  • Retained Securitisation Exposures

    • CA-8.4.1

      An Islamic bank licensee taking the role of an originator is required to hold regulatory capital against all of its retained securitisation exposures. Repurchased securitisation exposures must be treated as retained securitisation exposures.

      January 2015

    • CA-8.4.2

      The risk-weighted asset amount of a retained securitisation exposure is computed by multiplying the amount of the exposure by the appropriate risk weight in accordance with the table in CA-8.4.3.

      January 2015

    • CA-8.4.3

      The following credit risk weights are applied for retained securitisation exposures where the Islamic bank licensee is the originator.

      Long term rating45 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%

      45 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 2015