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Chapter: | 155L
 | Title: | Banking (Capital) Rules | Gazette Number: | E.R. 1 of 2012 |
| Section: | 60 | Heading: | Securities firm exposures | Version Date: | 09/02/2012 |
(1) Subject to subsection (2), where a securities firm has an ECAI issuer rating, or an ECAI issue specific rating assigned to a debt obligation issued or undertaken by the firm, an authorized institution shall map the ECAI issuer rating or ECAI issue specific rating, as the case may be, to a scale of credit quality grades represented by the numerals 1, 2, 3, 4 and 5 in accordance with Table B in Schedule 6.
(2) Where an ECAI issue specific rating referred to in subsection (1) is a short-term ECAI issue specific rating as referred to in subsection (6), then subsections (6) and (7) apply.
(3) Subject to subsections (4), (5), (6), (7), (8) and (9) and section 69, an authorized institution shall allocate a risk-weight to a securities firm exposure in accordance with Table 5.
Table 5
Risk-weights for Securities Firm Exposures
Credit quality grade (securities firms) | Risk-weight |
1 | 20% |
2 | 50% |
3 | 50% |
4 | 100% |
5 | 150% |
(4) Subject to subsections (8) and (9), where an authorized institution has an exposure to a securities firm which has none of the following¡X
- (a) an ECAI issuer rating;
(b) a long-term ECAI issue specific rating assigned to a debt obligation issued or undertaken by the firm;
(c) a short-term ECAI issue specific rating assigned to the exposure,
(5) Where a securities firm falls within subsection (4)¡X
- (a) subject to paragraph (b), an authorized institution shall not allocate a risk-weight to an exposure to the firm which is lower than the risk-weight applicable to the credit quality grade allocated to the sovereign of the jurisdiction in which the firm is incorporated in accordance with section 55 on the basis of an ECAI issuer rating assigned to the sovereign;
(b) if the sovereign referred to in paragraph (a) does not have an ECAI issuer rating, an authorized institution shall allocate a risk-weight of 100% to the exposure.
(7) Subject to section 69, where a securities firm has a short-term ECAI issue specific rating assigned to an exposure of an authorized institution to the firm, the institution shall allocate a risk-weight to the exposure in accordance with Table 6.
Table 6
Risk-weights for Securities Firm Exposures with Short-term
ECAI Issue Specific Ratings
Credit quality grade (securities firms) | Risk-weight for exposures to securities firms with a short-term ECAI issue specific rating |
1 | 20% |
2 | 50% |
3 | 100% |
4 | 150% |
(8) Where¡X
- (a) pursuant to subsections (6) and (7), an authorized institution allocates a risk-weight of 150% to an exposure to a securities firm; or
(b) the institution knows that¡X
- (i) another person (including another authorized institution) has an exposure to the securities firm which has a short-term ECAI issue specific rating; and
(ii) if subsections (6) and (7) applied to the exposure referred to in subparagraph (i), it would be allocated a risk-weight of 150% pursuant to those subsections,
(9) Where¡X
- (a) pursuant to subsections (6) and (7), an authorized institution allocates a risk-weight of 50% or 100% to an exposure to a securities firm; or
(b) the institution knows that¡X
- (i) another person (including another authorized institution) has an exposure to the securities firm which has a short-term ECAI issue specific rating; and
(ii) if subsections (6) and (7) applied to the exposure referred to in subparagraph (i), it would be allocated a risk-weight of 50% or 100% pursuant to those subsections,
- (c) subject to paragraph (d), allocate a risk-weight of 100% to each other exposure it has to the securities firm which¡X
- (i) does not have an ECAI issue specific rating; and
(ii) has a residual maturity of not greater than¡X
- (A) the original maturity of the exposure referred to in paragraph (a); or
(B) the original maturity of the exposure referred to in paragraph (b),