BANK 4.6.27 Treatment of off-balance-sheet retained securitisation exposures

A 100% credit conversion factor must be applied to an off-balance-sheet retained securitisation exposure unless the exposure qualifies as:

(a) an eligible liquidity facility, or
(b) an eligible servicer cash advance facility.

Note 1 For risk-weighting of eligible liquidity facilities, see rules 4.6.29 and 4.6.30. For risk-weighting of eligible servicer cash advance facility, see rule 4.6.31.
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).