IBANK 10.4.2 Treatment of on-balance sheet retained securitisation exposures

(1) The risk-weighted asset amount of an on-balance sheet retained securitisation exposure is calculated by multiplying the exposure by the applicable risk-weight in table 10.4.2.

Table 10.4.2 Risk-weights based on ECRA rating

Note In the table, the ratings are given according to Standard & Poor's conventions. If a claim or asset is not rated by Standard & Poor's, its ratings must be mapped to the equivalent Standard & Poor's rating.

long-term rating securitisation exposure % re-securitisation exposure %
AAA to AA- 20 40
A+ to A- 50 100
BBB+ to BBB- 100 225
BB+ to BB- 350 650
B+ and below or unrated As directed by the Regulatory Authority, apply 1,250% risk-weight or deduct the amount of the exposure from the firm's regulatory capital (see rule 10.4.2 (2))


short-term rating securitisation exposure % re-securitisation exposure %
A-1 20 40
A-2 50 100
A-3 100 225
Below A-3 As directed by the Regulatory Authority, apply 1,250% risk-weight or deduct the amount of the exposure from the firm's regulatory capital (see rule 10.4.2 (2))
(2) If an exposure is to be deducted from the firm's regulatory capital, the amount of the deduction may be calculated net of any specific provision taken against the exposure.
Inserted by QFCRA RM/2017-1 (as from 1st April 2017).