IBANK 10.4.5 Treatment of credit enhancement provided by structure

(1) An exposure in a credit enhancement structure must be risk-weighted as set out in table 10.4.5.

Table 10.4.5 Risk-weights for exposures arising from structure

Note In the table, the ratings are given according to Standard & Poor's conventions. If a claim or asset is not rated by Standard & Poor's, its ratings must be mapped to the equivalent Standard & Poor's rating.

AAA to AA- A+ to A- BBB+ to BBB- BB+ to BB- B+ and below or unrated
20 50 100 350 As directed by the Regulatory Authority, apply 1,250% risk-weight or deduct the amount of the exposure from the firm's regulatory capital (see rule 10.4.5 (2))
(2) If an exposure is to be deducted from the firm's regulatory capital, the amount of the deduction may be calculated net of any specific provision taken against the exposure.
Inserted by QFCRA RM/2017-1 (as from 1st April 2017).