BIPRU 9.7 Recognition of credit assessments of ECAIs
An ECAI's credit assessment may be used to determine the risk weight of a securitisation position in accordance with BIPRU 9.9 only if the ECAI is an eligible ECAI.
[Note: BCD Article 97(1)]
- (1)
A firm may not use a credit assessment of an eligible ECAI to determine the risk weight of a securitisation position in accordance with BIPRU 9.9 unless it complies with the principles of credibility and transparency as elaborated in (2) to (4).
- (2)
There must be no mismatch between the types of payments reflected in the credit assessment and the types of payment to which the firm is entitled under the contract giving rise to the securitisation position in question.
- (3)
The credit assessment must be available publicly to the market. Credit assessments may only be treated as publicly available if:
- (a)
they have been published in a publicly accessible forum, and
- (b)
they are included in the ECAI's transition matrix.
- (a)
- (4)
Credit assessments that are made available only to a limited number of entities may not be treated as publicly available.
[Note: BCD Article 97(5) and Annex IX Part 3 point 1]
The guidance in BIPRU 3.3 (Recognition of ratings agencies) applies for the purposes of BIPRU 9 as it does to exposure risk weighting in BIPRU 3, save that the reference in BIPRU 3.3 to the regulation 221 of the Capital Requirements Regulations 20061 should be read as a reference to regulation 231 of the Capital Requirements Regulations 20061 for the purposes of BIPRU 9.