BANK 4.6.23 Exceptions to treatment of unrated securitisation exposures

The rule that the treatment of unrated securitisation exposures is as directed by the Regulatory Authority (to either apply 1,250% risk-weight or deduct the amount) does not apply to:

(a) the most senior exposure in a securitisation;
(b) exposures:
(i) that are in a second loss position or better in ABCP programmes; and
(ii) that meet the requirements in rule 4.6.25; and
(c) eligible liquidity facilities.

Note For the treatment of the exceptions, see:
•    rule 4.6.24 for most senior exposure
•    rule 4.6.25 for second loss positions or better
•    rule 4.6.30 for eligible liquidity facilities
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).