CA-9.2.11C
The specific risk capital charges for rated positions covered under the internal ratings-based approach for securitisation exposures are defined in the table below. For positions with long-term ratings of B+ and below and short-term ratings other than A-1/P-1, A-2/P-2, A-3/P-3, deduction from capital as defined in Paragraph CA-6.4.2 is required. The operational requirements for the recognition of external credit assessments outlined in Paragraph CA-6.4.6 apply:
(a) For securitisation exposures, banks may apply the capital charges defined in the table below for senior granular positions if the effective number of underlying exposures (N, as defined in CA-6.4.77) is 6 or more and the position is senior as defined in CA-6.4.55. When N is less than 6, the capital charges for non-granular securitisation exposures of the table below apply. In all other cases, the capital charges for non-senior granular securitisation exposures of the table below apply; and
(b) Re-securitisation exposures as defined in Paragraph CA-6.1.5 are subject to specific risk capital charges depending on whether or not the exposure is senior as defined in Paragraph CA-6.4.55.
| Specific risk capital charges based on external credit ratings (IRB) | |||||
|
External rating (illustrative) |
Securitisation exposures | Re-securitisation exposures | |||
| Senior, granular | Non-senior, granular | Non-granular | Senior | Non-senior | |
| AAA/A-1/P-1 | 0.56% | 0.96% | 1.60% | 1.60% | 2.40% |
| AA | 0.64% | 1.20% | 2.00% | 2.00% | 3.20% |
| A+ | 0.80% | 1.44% | 2.80% | 2.80% | 4.00% |
| A/A-2/P-2 | 0.96% | 1.60% | 3.20% | 5.20% | |
| A- | 1.60% | 2.80% | 4.80% | 8.00% | |
| BBB+ | 2.80% | 4.00% | 8.00% | 12.00% | |
| BBB/A-3/P-3 | 4.80% | 6.00% | 12.00% | 18.00% | |
| BBB- | 8.00% | 16.00% | 28.00% | ||
| BB+ | 20.00% | 24.00% | 40.00% | ||
| BB | 34.00% | 40.00% | 52.00% | ||
| BB- | 52.00% | 60.00% | 68.00% | ||
| Below BB-/ A-3/P-3 | Deduction | ||||
Added: January 2012