• Exceptions to deduction of unrated securitisation Exposures

    • PRU 4.14.36

      In accordance with the tables under 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 Rule 4.14.41; and
      (c) eligible liquidity positions.