Jun 25 , 2009
Risk Weighting Downgraded SecuritiesOTS memo offering explanation of how to risk weight downgraded securities in light of recent ratings downgrades.
Many institutions have utilized the optional RBA to risk weight senior and mezzanine positions in securitizations rated by one of the nationally recognized statistical rating organizations (NRSRO). In light of the large number of recent rating downgrades, the attachment to this memorandum offers further explanation and examples of how to risk weight downgraded securities.
Link: http://files.ots.treas.gov/25307.pdf
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