Table:
This table belongs to BIPRU 9.12.10 R
44Credit Quality Step |
Securitisation positions |
Resecuritisation positions |
||||
Credit assessments other than short term |
Short-term credit assessments |
A |
B |
C |
D |
E |
1 |
1 |
7% |
12% |
20% |
20% |
30% |
2 |
8% |
15% |
25% |
25% |
40% |
|
3 |
10% |
18% |
35% |
35% |
50% |
|
4 |
2 |
12% |
20% |
40% |
65% |
|
5 |
20% |
35% |
60% |
100% |
||
6 |
35% |
50% |
100% |
150% |
||
7 |
3 |
60% |
75% |
150% |
225% |
|
8 |
100% |
200% |
350% |
|||
9 |
250% |
300% |
500% |
|||
10 |
425% |
500% |
650% |
|||
11 |
650% |
750% |
850% |
|||
all other, unrated |
1250% |
|||||
[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: http://www.fca.org.uk/your-fca/documents/fsa-ecais-securitisation for the FCA and http://www.bankofengland.co.uk/publications/Documents/other/pra/policy/2013/ecaissecuritisation.pdf for the PRA.]