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PIB 4.11.6

Where a CR Exposure has an issue-specific external credit assessment from a recognised ECAI, an Authorised Firm must use such assessment. Where a CR Exposure does not have an issue-specific external credit assessment, an Authorised Firm must:

(a) if there is an issue-specific external credit assessment for another Exposure to the same obligor, use the issue-specific assessment for the other Exposure only if the Exposure without an issue-specific assessment ranks pari passu with or is senior to the Exposure with the issue-specific assessment;
(b) if the obligor has an Issuer external credit assessment, use the Issuer assessment of the obligor only if the Exposure without an issue-specific assessment ranks pari passu with or is senior to any unsecured claim that is not subordinated to any other claim on the obligor; or
(c) in all other cases, apply a risk weight equal to the higher of the risk weight that is applicable to an unrated Exposure and the risk weight associated with the external credit assessment, if any, of the obligor or another Exposure to the same obligor.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]