Entire Section
Eligible Liquidity Positions
PIB 4.14.42
An
Authorised Firm providing an unrated eligible liquidity facility may assign to the resulting securitisationExposure the highest risk weight that would be applied to any of the underlyingExposures covered by the facility.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.43
(1) An off balance sheet SEExposure will receive a 100% CCF unless:(a) theExposure qualifies as an eligible liquidity facility, or(b) theExposure is an eligibleServicer cash advance facility.(2) In relation to (1), an eligibleServicer cash advance facility is a facility provided to a securitisation in order to ensure uninterrupted flow of payments to investors. As long as theServicer is entitled to full reimbursement and this right is senior to all other claims on cash flows from the underlying pool ofExposures , and where these facilities meet the requirements of PIB 4.14.44 and are unconditionally cancellable at any time, any undrawn commitments can then have a 0% CCF applied.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.44
(1) For the purposes of PIB Rule 4.14.42, anAuthorised Firm may treat anExposure as an eligible liquidity facility provided the following requirements are met:(a) the liquidity facility documentation must clearly identify and limit the circumstances under which it may be drawn;(b) draws must be limited to the amount that is likely to be repaid from the liquidation of the underlyingExposures and any seller providedCredit Enhancements ;(c) the facility must not provide credit support by covering for any losses incurred in the underlying pool ofExposures prior to drawdown;(d) the facility must not be structured to provide regular or permanent funding;(e) the facility must be subject to an asset quality test to preclude it being used to coverCredit Risk Exposures that are in default;(f) where the facility is used to fund externally ratedSecurities the facility can only be used to fundSecurities that are externally ratedInvestment Grade at the time of funding;(g) the facility cannot be drawn after allCredit Enhancements from which the liquidity facility would benefit have been exhausted; and(h) repayment of draws of the facility cannot be subordinated to any interests of any note holder in the programme or be subject to deferral or waiver.(2) Where theExposure meets the requirements as set out in (1), the following CCF will apply:(a) 50% to the eligible liquidity facility regardless of maturity; and(b) 100% if an external rating of the liquidity facility is used for the risk weighting.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.45
(1) AnAuthorised Firm which provides credit protection for a basket of referenceExposures through an unrated first-to-defaultCredit Derivative may apply to the securitisationExposure the aggregate of the risk weights that would be assigned to the referenceExposures , provided that the resultingCapital Requirement does not exceed the notional amount of the credit protection.(2) AnAuthorised Firm which provides credit protection for a basket of referenceExposures through an unrated second-to-defaultCredit Derivative may apply the treatment referred to in (1), except that in aggregating the risk weights, the referenceExposure with the lowest risk-weighted amount may be excluded.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]