Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 16

Authorized institution using IRB(S) approach shall use ratings-based method or supervisory formula method to calculate its credit risk for securitization exposures

An authorized institution which uses the IRB(S) approach to calculate its
credit risk for securitization exposures—

   (a)  shall use the ratings-based method to calculate the
        risk-weighted amount of its rated securitization exposures;

   (b)  subject to paragraph (c), shall, with the prior consent of the
        Monetary Authority, use the supervisory formula method to calculate
        the capital charge factor for its unrated securitization exposures;

   (c)  subject to paragraph (d), shall deduct from its core capital and
        supplementary capital any unrated securitization exposures in respect
        of which the supervisory formula method cannot be used because the
        institution lacks the consent referred to in paragraph (b);

   (d)  may, with the prior consent of the Monetary Authority, apply the
        method specified in section 277(3) to calculate the risk-weighted 
        amount of—

        (i)    liquidity facilities provided by the institution which fall
               within section 252(1) and are unrated; and

        (ii)   servicer cash advance facilities provided by the institution
               which fall within section 252(2), are unrated and satisfy the
               requirements set out in section 252(1) as if the facilities
               were liquidity facilities provided by the institution.