(a) General requirement. A Board-regulated institution must assign
a 1,250 percent risk weight to all securitization exposures to which
the Board-regulated institution does not apply the SSFA or the gross-up
approach under section 217.43, except as set forth in this section.
(b) Eligible ABCP liquidity
facilities. A Board-regulated institution may determine the risk-weighted
asset amount of an eligible ABCP liquidity facility by multiplying
the exposure amount by the highest risk weight applicable to any of
the individual underlying exposures covered by the facility.
(c) A securitization exposure
in a second loss position or better to an ABCP program.
(1) Risk weighting. A Board-regulated institution may determine the risk-weighted asset
amount of a securitization exposure that is in a second loss position
or better to an ABCP program that meets the requirements of paragraph
(c)(2) of this section by multiplying the exposure amount by the higher
of the following risk weights:
(i) 100 percent; and
(ii) The highest risk
weight applicable to any of the individual underlying exposures of
the ABCP program.
(2) Requirements.
(i) The exposure is not an eligible
ABCP liquidity facility;
(ii) The exposure must be economically in a second
loss position or better, and the first loss position must provide
significant credit protection to the second loss position;
(iii) The exposure qualifies
as investment grade; and
(iv) The Board-regulated institution
holding the exposure must not retain or provide protection to the
first loss position.
