General requirement. A national bank or Federal savings association must assign a 1,250 percent risk weight to all securitization exposures to which the national bank or Federal savings association does not apply the SSFA or the gross-up approach under § 3.43, except as set forth in this section.

Eligible ABCP liquidity facilities. A national bank or Federal savings association may determine the risk-weighted asset amount of an eligible ABCP liquidity facility by multiplying the exposure amount by the highest risk weight applicable to any of the individual underlying exposures covered by the facility.

A securitization exposure in a second loss position or better to an ABCP program—(1) Risk weighting. A national bank or Federal savings association may determine the risk-weighted asset amount of a securitization exposure that is in a second loss position or better to an ABCP program that meets the requirements of paragraph (c)(2) of this section by multiplying the exposure amount by the higher of the following risk weights:

100 percent; and

The highest risk weight applicable to any of the individual underlying exposures of the ABCP program.

Requirements. (i) The exposure is not an eligible ABCP liquidity facility;

The exposure must be economically in a second loss position or better, and the first loss position must provide significant credit protection to the second loss position;

The exposure qualifies as investment grade; and

The national bank or Federal savings association holding the exposure must not retain or provide protection to the first loss position.