CA-6.4.49
If the bank is applying the IRB approach for some exposures and the standardised approach for other exposures in the underlying pool, it should generally use the approach corresponding to the predominant share of exposures within the pool. The bank must consult with the CBB on which approach to apply to its securitisation exposures. To ensure appropriate capital levels, there may be instances where the CBB requires a treatment other than this general rule.
Apr 08