BIPRU 9.8 Use of ECAI credit assessments for the determination of applicable risk weights
The use of ECAIs' credit assessments for the calculation of a firm's risk weighted exposure amounts under BIPRU 9 must be consistent and in accordance with BIPRU 9.8.2 RBIPRU 9.8.7 R. Credit assessments must not be used selectively.
[Note: BCD Article 99]
A firm may nominate one or more eligible ECAIs the credit assessments of which must be used in the calculation of its risk weighted exposure amounts under BIPRU 9 (a nominated ECAI).
[Note: BCD Annex IX Part 3 point 2]
Subject to BIPRU 9.8.5 RBIPRU 9.8.7 R, a firm must use credit assessments from nominated ECAIs consistently in respect of its securitisation positions.
[Note: BCD Annex IX Part 3 point 3]
Subject to BIPRU 9.8.5 R and BIPRU 9.8.6 R, a firm must not use an ECAI's credit assessments for its positions in some tranches and another ECAI's credit assessments for its positions in other tranches within the same structure that may or may not be rated by the first ECAI.
[Note: BCD Annex IX Part 3 point 4]
Where a position has two credit assessments by nominated ECAIs, the firm must use the less favourable credit assessment.
[Note: BCD Annex IX Part 3 point 5]
Where a position has more than two credit assessments by nominated ECAIs, the two most favourable credit assessments must be used. If the two most favourable assessments are different, the least favourable of the two must be used.
[Note: BCD Annex IX Part 3 point 6]
- (1)
Where credit protection eligible under BIPRU 5 (Credit risk mitigation) and, if applicable, BIPRU 4.10 (Credit risk mitigation under the IRB approach) is provided directly to the SSPE, and that protection is reflected in the credit assessment of a position by a nominated ECAI, the risk weight associated with that credit assessment may be used.
- (2)
If the protection is not eligible under BIPRU 5 (Credit risk mitigation) and, if applicable, BIPRU 4.10 (Credit risk mitigation under the IRB approach), the credit assessment must not be recognised.
- (3)
In the situation where the credit protection is not provided to the SSPE but rather is provided directly to a securitisation position, the credit assessment must not be recognised.
[Note: BCD Annex IX Part 3 point 7]