F1ANNEX IXSECURITISATION

Annotations:

F1PART 4Calculation

F13.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED APPROACH

F13.1.Hierarchy of methods

F13.1.1.Use of inferred ratings

F142.When the following minimum operational requirements are satisfied, an institution shall attribute to an unrated position an inferred credit assessment equivalent to the credit assessment of those rated positions (the ‘reference positions’) which are the most senior positions which are in all respects subordinate to the unrated securitisation position in question:

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