CA-9.2.11B
The specific risk capital charges for positions covered under the standardised approach for securitisation exposures are defined in the table below. These charges must be applied by banks using the standardised approach for credit risk. For positions with long-term ratings of B+ and below and short-term ratings other than A-1/P-1, A-2/P-2, A-3/P-3, deduction from capital as defined in Paragraph CA-6.4.2 is required. Deduction is also required for unrated positions with the exception of the circumstances described in Paragraphs CA-6.4.12 to CA-6.4.16. The operational requirements for the recognition of external credit assessments outlined in Paragraph CA-6.4.6 apply.
Specific Risk Capital Charges under the Standardised Approach Based on External Credit Ratings
| External Credit Assessment |
AAA to AA- A-1/P-1 |
A+ to A- A-2/P-2 |
BBB+ to BBB- A-3/P-3 |
BB+ to BB- |
Below BB- and below A-3/P-3 or unrated |
| Securitisation Exposures | 1.6% | 4% | 8% | 28% | Deduction |
| Re-securitisation Exposures | 3.2% | 8% | 18% | 52% | Deduction |