BANK 4.6.30 Treatment of unrated eligible liquidity facility

A banking business firm providing an eligible liquidity facility that is unrated, or that is treated as unrated, must apply to the resulting securitisation exposure the highest risk weight that would be applied to an underlying exposure covered by the facility.

Examples when facility must be treated as unrated

•    when the facility's rating is not publicly available (see rule 4.6.12)
•    when the facility is provided to a particular securitisation exposure (such as a particular tranche) and the resulting mitigation is reflected in the ECRA rating of the securitisation (see rule 4.6.35 (5))
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).