BANK 4.6.24 Treatment of most senior exposure
(1) If the most senior exposure in a securitisation is unrated and the composition of the underlying pool is known at all times, a banking business firm that holds or guarantees such an exposure may determine the risk weight by applying a "look-through" treatment. The firm need not consider any interest rate or currency swap when determining whether an exposure is the most senior in a securitisation.
(2) In the look-through treatment, the unrated most senior position receives, subject to the Regulatory Authority's review, the average risk-weight of the underlying exposures.
|Inserted by QFCRA RM/2017-2 (as from 1st April 2017).|