20.For regulatory capital purposes, the exposure amount of a securitisation exposure shall be calculated as the sum of the on-balance sheet amount of the exposure, or carrying value – taking into account purchase discounts and write-downs or specific provisions the bank took on this securitisation exposure – and any off-balance sheet exposure amount as applicable, in accordance with the requirements in the following paragraphs.

21.For credit risk mitigants sold or purchased by the bank, the exposure amount should be determined using the treatment of credit risk mitigation set out below in the section on treatment of credit risk mitigation in this Standard. For all off-balance-sheet facilities that are not credit risk mitigants, the bank should apply a credit conversion factor (CCF) of 100%.

22.For securitisation-related derivatives other than credit risk derivatives (such as interest rate or currency swaps sold or purchased as part of the securitisation), the Central Bank’s Standard on Counterparty Credit Risk should be used to calculate the exposure amount.

23.Banks shall compute the risk-weighted asset amount for a securitisation exposure by multiplying the exposure amount as defined in this section by the appropriate risk weight determined under one of the approaches discussed below in this Standard. Risk weight caps may apply, as described in the this Standard on risk-weight caps for securitisation.

24.Banks may adjust risk weights for overlapping exposures. An exposure A overlaps another exposure B if in all circumstances the bank can avoid any loss on exposure B by fulfilling its obligations with respect to exposure A. A bank may also recognize overlap between relevant capital charges for exposures in the trading book and securitisation exposures in the banking book, provided that the bank is able to calculate and compare the capital charges for the relevant exposures.

25.Banks must deduct from Common Equity Tier 1 any increase in equity capital resulting from a securitisation transaction, such as a gain on a sale associated with expected future margin income.