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CA-6.4.8

The risk-weighted asset amount of a securitisation exposure is computed by multiplying the amount of the position by the appropriate risk weight determined in accordance with the following tables. For off-balance sheet exposures, conventional bank licensees must apply a CCF and then risk weight the resultant credit equivalent amount. If such an exposure is rated, a CCF of 100% must be applied.

Long term rating36 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%

36 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