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

(iv) A securitization exposure subject to §§ 628.41 through 628.45; 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 §§ 628.41 through 628.45.

(b) A System institution's total risk-weighted assets for securitization exposures equals the sum of the risk-weighted asset amount for securitization exposures that the System institution risk weights under paragraph (a)(1) of this section, §§ 628.41(c), and 628.43, 628.44, or § 628.45, except as provided in paragraphs (e) through (j) of this section, as applicable.

(1) A System institution 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 §§ 628.44 and 628.45.