BANK 4.6.25 Treatment of second loss position in ABCP programmes
(1) This rule applies to an unrated securitisation exposure in an ABCP programme if:
(a) the exposure is economically in a second loss position or better and the first loss position provides significant credit protection to the second loss position;
(b) the associated credit risk is the equivalent of investment grade or better; and
(c) the banking business firm holding the exposure does not retain or provide the first loss position.
(2) An unrated securitisation exposure arising from a second loss position (or better position) is subject to a risk-weight of the higher of:
(a) 100%; and
(b) the highest risk-weight applicable to an underlying exposure covered by the facility.
|Inserted by QFCRA RM/2017-2 (as from 1st April 2017).|