Entire Section
Exceptions to Deduction of Unrated Securitisation Exposures
PIB 4.14.36
In accordance with the tables under PIB Rule 4.14.31, all unrated securitisation positions must be deducted or risk weighted at 1000% with the following exceptions:
(a) most seniorExposure in a securitisation;(b)Exposures that are in a second loss position or better of anABCP and meet the requirements of PIB Rule 4.14.41; and(c) eligible liquidity positions.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]