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  • 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 senior Exposure in a securitisation;
      (b) Exposures that are in a second loss position or better of an ABCP 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]