A firm must2 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 (6).222
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.
The credit assessment must be available publicly to the market. Credit assessments may only be treated as publicly available if:
they have been published in a publicly accessible forum, and
they are included in the ECAI's transition matrix.
Credit assessments that are made available only to a limited number of entities may not be treated as publicly available.
In the case of a credit assessment referred to in (5), the firm must consider the relevant position as if it were not rated and must apply the relevant treatment of unrated positions as set out in BIPRU 9.11 and BIPRU 9.12.2
[Note: BCD Article 97(5) and Annex IX Part 3 point 1]
2The requirements in BIPRU 9.7.2R (5) and (6) apply to situations where a firm holds securitisation positions which receive a lower risk weight by virtue of unfunded credit protection provided by the firm itself acting in a different capacity in the securitisation transaction. The assessment of whether a firm is providing unfunded support to its securitisation positions should take into account the economic substance of that support in the context of the overall transaction and any circumstances in which the firm could become exposed to a higher credit risk in the absence of that support.
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.
2Where BIPRU 9.7.2R (5) applies to securitisation positions in an ABCP programme, the firm may be granted a waiver which allows it to use the risk weight assigned to a liquidity facility in order to calculate the risk weighted exposure amount for the positions in the ABCP programme, provided that the liquidity facility ranks pari passu with the positions in the ABCP programme so that they form overlapping positions and 100% of the commercial paper issued by the ABCP programme is covered by liquidity facilities. For the purposes of this provision, overlapping positions means that the positions represent, wholly or partially, an exposure to the same risk such that, to the extent of the overlap, there is a single exposure.
[Note: BCD, Annex IX, Part 4, Point 5]