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,
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