Securitization exposures to which the SSFA and gross-up approach do not apply.

CFR · 2024-01-01 · US · Title 12

(a) (b) (c) (i) 100 percent; and (ii) The highest risk weight applicable to any of the individual underlying exposures of the ABCP program. (2) (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.

official document · source cfr-2024 · id 12:§ 217.44