BANK 4.6.29 Treatment of certain liquidity facilities
(1) This rule applies in relation to a liquidity facility that is not an eligible servicer cash advance facility.
(2) If a banking business firm that is an originator or sponsor of a securitisation also provides such a liquidity facility to the securitisation, the risk-weight of the exposure from the facility must be calculated by:
(i) a 50% credit conversion factor (regardless of the maturity of the facility) if the facility is an eligible liquidity facility; or
(ii) a 100% credit conversion factor if the facility is not an eligible liquidity facility; and
(b) multiplying the resulting credit equivalent amount by the applicable risk-weight in table 4.6.22, depending on the credit rating of the firm (or by 100% if the firm is unrated).
However, if an ECRA rating of the facility is itself used for risk-weighting the facility, a 100% credit conversion factor must be applied.
|Inserted by QFCRA RM/2017-2 (as from 1st April 2017).|