CA-6.4 Treatment of Securitisation Exposures
- Calculation of Capital Requirements
- Operational Requirements for Use of External Credit Assessments
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Standardised Approach for Securitisation Exposures
- (i) Scope
- (ii) Risk Weights
- (iii) Exceptions to General Treatment of Unrated Securitisation Exposures
- (iv) Credit Conversion Factors for Off-Balance Sheet Exposures
- (vi) Capital Requirement for Early Amortisation Provisions
- (vii) Determination of CCFs for Controlled Early Amortisation Features
- (viii) Determination of CCFs for Non-Controlled Early Amortisation Features