§217.45. Recognition of credit risk mitigants for securitization exposures. — Inbound Citations

(iv) A securitization exposure subject to §§ 217.41 through 217.45; or

(3) Exposures on which there is a tranching of credit risk (reflecting at least two different levels of seniority) generally are securitization exposures subject to §§ 217.41 through 217.45.

(b) A Board-regulated institution's total risk-weighted assets for securitization exposures equals the sum of the risk-weighted asset amount for securitization exposures that the Board-regulated institution risk weights under §§ 217.41(c), 217.42(a)(1), and 217.43, 217.44, or 217.45, and paragraphs (e) through (j) of this section, as applicable.

(1) A Board-regulated institution that is not subject to subpart F of this part may apply the gross-up approach set forth in this section instead of the SSFA to determine the risk weight of its securitization exposures, provided that it applies the gross-up approach to all of its securitization exposures, except as otherwise provided for certain securitization exposures in §§ 217.44 and 217.45.