caption: 52 Most senior exposures (¶¶ ) If the most senior tranche is unrated, the bank that holds or guarantees that position may look through to the underlying pool to determine the risk weight (and may assign a risk weight equal to average of risk weight assigned to exposures in underlying pool), provided that the composition of the pool is known at all times Second loss positions or better (¶¶ ) Qualifying exposures provided by sponsor banks in ABCP programs that are in second loss position or better may apply a risk weight equal to the greater of (x) 100% and (y) the highest risk weight assigned to any exposure in underlying pool, but only if: The first loss position provides significant credit protection The associated credit risk is investment grade or better The bank holding the exposure does not hold the first loss position Eligible liquidity facilities (¶ 576) Banks may apply risk weight to eligible liquidity facilities equal to highest risk weight assigned to any exposure in underlying pool Source: Text Basel II -- Securitisation Capital Charges Securitisation -- Standardised Banks Except as provided below, unrated securitisation exposures must be deducted (¶ 567)
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