58.Banks may apply a “look-through” approach to senior securitisation exposures, whereby the risk weight for the senior securitisation exposure is at most equal to the exposure-weighted average risk weight applicable to the underlying pool exposures. To apply a maximum risk weight from this look-through approach, the bank must be able to know the composition of the underlying exposures at all times. For an originating or sponsor bank, capital requirements on securitisation exposures are capped at what the capital requirement would have been on the underlying exposures if they had not been securitized.

59.The maximum required capital ratio for the aggregate of a bank’s securitisation exposures to a given securitisation shall be computed as K_SA multiplied by P, where P is the largest proportion of interest the bank holds.

• •For a bank that has one or more securitisation exposures that reside in a single tranche of a given pool, P equals the proportion (expressed as a percentage) of securitisation exposure that the bank holds in that given tranche (calculated as the bank’s total exposure in the tranche) divided by the total nominal amount of the tranche.
• •For a bank that has securitisation exposures that reside in different tranches of a given securitisation, P equals the maximum proportion of interest across tranches, where the proportion of interest for each of the different tranches should be calculated as described above.

60.Where this risk-weight cap results in a lower risk weight than the floor risk weight of 15%, the bank should use the risk weight resulting from the cap.

61.In applying the capital charge cap, banks must deduct the entire amount of any gain on sale, and the amount of credit-enhancing interest-only strips arising from the securitisation transaction.

62.The caps described here do not apply to resecuritisation exposures.