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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.


Status: This chapter was amended on 31 December 2020 as a result of Brexit. However, it is subject to the FCA Prudential Transitional Direction , which means that firms should not comply with these provisions yet. Instead, firms must follow this link and continue to comply with pre-IP completion day requirements https://www.handbook.fca.org.uk/handbook?date=31-12-2020&timeline=True (unless specified otherwise in the Direction). To see a full list of Handbook modules affected, please see Section B of the Annex to the Direction.


You are viewing the version of the document as on 2019-12-09.

Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

BIPRU 9.7 Recognition of credit assessments of ECAIs

BIPRU 9.7.1RRP

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)]

BIPRU 9.7.2RRP

  1. (1)

    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).2

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  2. (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. (3)

    The credit assessment must be available publicly to the market. Credit assessments may only be treated as publicly available if:

    1. (a)

      they have been published in a publicly accessible forum, and

    2. (b)

      they are included in the ECAI's transition matrix.

  4. (4)

    Credit assessments that are made available only to a limited number of entities may not be treated as publicly available.

  5. (5)

    The credit assessment must not be based, or partly based, on unfunded support provided by the firm itself.2

  6. (6)

    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]

BIPRU 9.7.2AGRP

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.

BIPRU 9.7.3GRP

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.

BIPRU 9.7.4GRP

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]