CA-9.2.11D
The specific risk capital charges for unrated positions under the securitisation framework as defined in Paragraphs CA-6.1.1 to CA-6.1.6 will be calculated as set out below, subject to CBB approval:
(a) If a bank has approval for the internal ratings-based approach for the asset classes which include the underlying exposures, the bank may apply the supervisory formula approach (Paragraphs CA-6.4.66 to CA-6.4.81). When estimating PDs and LGDs for calculating KIRB, the bank must meet the minimum requirements for the IRB approach;
(b) To the extent that a bank has approval to apply the internally developed approach referred to in CA-14.11.1B to the underlying exposures and the bank derives estimates for PDs and LGDs from the internally developed approach specified in Paragraphs CA-14.11.7 and CA-14.11.8 that are in line with the quantitative standards for the internal ratings-based approach, the bank may use these estimates for calculating KIRB and, consequently, for applying the supervisory formula approach (Paragraphs CA-6.4.66 to CA-6.4.81); and
(c) In all other cases the capital charge can be calculated as 12% of the weighted average risk weight that would be applied to the securitised exposures under the standardised approach, multiplied by a concentration ratio. If the concentration ratio is 12.5 or higher the position has to be deducted from capital as defined in Paragraph CA-6.4.2. This concentration ratio is equal to the sum of the nominal amounts of all the tranches divided by the sum of the nominal amounts of the tranches junior to or pari passu with the tranche in which the position is held including that tranche itself.
The resulting specific risk capital charge must not be lower than any specific risk capital charge applicable to a rated more senior tranche. If a bank is unable to determine the specific risk capital charge as described above or prefers not to apply the treatment described above to a position, it must deduct that position from capital.
Added: January 2012