Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p12
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 29849–32823

to calculate regulatory capital for the other exposure.
52.         Overlap may also be recognised between relevant capital charges for exposures in the trading book and capital charges for exposures in the banking book, provided the ADI is able to calculate and compare the regulatory capital charges for the relevant exposures.

Operational requirements for the use of external credit assessments
53.         Where an ADI has exposures to a securitisation, for the purpose of determining the regulatory capital requirement, the ADI may only use an external credit assessment that takes into account all amounts, both principal and interest, and any other amounts, owed to it.
54.         For regulatory capital purposes, an ADI may only use external credit assessments of ECAIs that are published in a form accessible to Australian wholesale clients[20] and foreign entities and that are included in the ECAI's transition matrix. An eligible credit assessment, procedures, methodologies, assumptions and the key elements underlining the assessments by the ECAIs must be available to Australian wholesale clients and foreign entities, on a non-selective basis and free of charge. Also, loss and cash-flow analysis as well as sensitivity of ratings to changes in the underlying ratings assumptions must be available from ECAIs to Australian wholesale clients and foreign entities.
55.         An ADI must apply the external credit assessments of an ECAI consistently across a securitisation. Where ECAIs assess the credit risk of the same securitisation exposure differently, Attachment F to APS 112 applies. An ADI must not use the external credit assessments issued by one ECAI for some tranches and those of another ECAI for other tranches within the same securitisation.
56.         Where CRM is used on a securitisation exposure and this protection is reflected in the external credit assessment, an ADI must treat the exposure as if it is an unrated exposure and then apply the relevant CRM treatment detailed in APS 112 to recognise the credit protection for regulatory capital purposes.
57.         An ADI must not use any external credit risk assessment for risk-weighting purposes where the assessment is at least partly based on unfunded support (e.g. a liquidity facility or credit enhancement) provided by the ADI.[21] In such cases, the ADI:
(a)          must continue to hold regulatory capital against the other securitisation exposures it provides (e.g. against the liquidity facility or credit enhancement);
(b)          must ensure the capital charge for such exposures held in the trading book is no less than the amount required under the banking book treatment; and
(c)          may recognise any overlap in its exposures consistent with paragraphs 51 and 52.

Operational requirements for inferred ratings
58.         In accordance with Attachment C, an ADI may infer a rating for an unrated securitisation exposure, provided the following operational