CA-6.4.12
As noted in the tables above, unrated securitisation exposures must be risk weighted at 1,250% with the following exceptions: (i) the most senior exposure in a securitisation, (ii) exposures that are in a second loss position or better in ABCP programmes and meet the requirements outlined in Paragraph CA-6.4.15, and (iii) eligible liquidity facilities.
January 2015