CA-6.4.15
Deduction is not required for those unrated securitisation exposures provided by sponsoring banks 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 bank holding the unrated securitisation exposure does not retain or provide the first loss position.
Apr 08