BANK 4.3.10 Using foreign currency and domestic currency ratings
If an issuer rating is assigned to a counterparty and a banking business firm applies a risk-weight to an unrated position based on the rating of an equivalent exposure to the same counterparty:
(a) the firm must use that counterparty’s domestic-currency rating for any exposure denominated in the currency of the counterparty’s place of residence or incorporation; and
(b) the firm must use that counterparty’s foreign-currency rating for any exposure denominated in a foreign currency.
|Derived from QFCRA RM/2014-2 (as from 1st January 2015).|