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CA-6.4.15

A 1,250% risk weighting is not required for those unrated securitisation exposures provided by sponsoring conventional bank licensees to ABCP programmes that satisfy the following requirements:

(a) The exposure is economically in a second loss position or better and the first loss position provides significant credit protection to the second loss position;
(b) The associated credit risk is the equivalent of investment grade or better; and
(c) The conventional bank licensee holding the unrated securitisation exposure does not retain or provide the first loss position.
January 2015