Entire Section

(a) any credit assessments used for the purposes of risk weighting must be publicly available;

(b) the external credit rating agencies must have expertise and market acceptance in rating securitisations of the nature being used for risk weighting purposes;

(c) Authorised Firms must apply external credit rating agency ratings consistently to all tranches of securitisations;

(d) where an Exposure has two ratings from external credit rating agencies the less favourable rating must be used; and

(e) where an Exposure has more than two assessments by external credit rating agencies the two most favourable ratings can be selected, the review of these assessments is then determined in line with (d).

(a) the external credit assessment incorporates the credit protection provided directly to the SPE by a protection provider which is not an eligible protection provider;

(b) the external credit assessment is at least partly based on unfunded support provided by the Authorised Firm itself (e.g. if an Authorised Firm buys ABCP) where it provides an unfunded securitisation Exposure extended to the ABCP Programme, such as a liquidity facility or Credit Enhancement, and that Exposure plays a role in determining the credit assessment on the ABCP, the Authorised Firm must treat the ABCP as if it were not rated and continue to hold capital against the other securitisation Exposures it provides);

(c) the Credit Risk mitigant is not obtained by the SPE but is separately obtained and applied to a specific securitisation Exposure (e.g. a particular tranche); or

(d) the Credit Risk mitigation does not meet the eligibility criteria for mitigation specified in PIB section 4.13.