Document ID: chunk:federal_register_of_legislation:F2024L01519:body:0:p14
Version: federal_register_of_legislation:F2024L01519
Segment Type: other
Provision Reference: 
Character Range: 39462–43771

long-term ratings of B+ and below and short-term ratings other than A-1/P-1, A-2/P-2, A-3/P-3. An ADI must also apply a risk-weight of 1250 per cent i.e. a 100 per cent risk capital charge, to the value of unrated positions, other than in the circumstances described in paragraph 6 of Attachment C to APS 120. The operational requirements for the recognition of external credit assessments outlined in Attachment B to APS 120 apply.

    Table 2: Specific risk capital charges for securitisation exposures and resecuritisation exposures (long term ratings)

External credit assessment   AAA to AA-  A+ to A-  BBB+ to BBB-  BB+ to BB-  Below BB- or unrated

Securitisation exposures     1.6%        4%        8%            28%         100%
Resecuritisation exposures   3.2%        8%        18%           52%         100%

    Table 3: Specific risk capital charges for securitisation exposures and resecuritisation exposures (short term ratings)

External credit assessment   A-1/P-1  A-2/P-2  A-3/P-3  Below A-3/P-3 or unrated
Securitisation exposures     1.6%     4%       8%       100%
Resecuritisation exposures   3.2%     8%       18%      100%

     1.          An ADI which has approval to use both the IRB approach for credit risk and the internal models approach for market risk must calculate the specific risk capital charges for rated securitisation and resecuritisation exposures positions according to Tables 4 and 5, depending on whether or not the positions are granular and/or senior[14]. The operational requirements for the recognition of external credit assessments outlined in Attachment B to APS 120 apply.

    Table 4: Specific risk capital charges based on external credit assessments (long term ratings)

External credit assessment   Securitisation exposures   Resecuritisation exposures
Senior, granular             Non-senior, granular       Non-granular                 Senior   Non-senior
AAA                          0.56%                      0.96%                        1.60%    1.60%        2.40%
AA                           0.64%                      1.20%                        2.00%    2.00%        3.20%
A+                           0.80%                      1.44%                        2.80%    2.80%        4.00%
A                            0.96%                      1.60%                        3.20%    5.20%
A-                           1.60%                      2.80%                        4.80%    8.00%
BBB+                         2.80%                      4.00%                        8.00%    12.00%
BBB                          4.80%                      6.00%                        12.00%   18.00%
BBB-                         8.00%                      16.00%                       28.00%
BB+                          20.00%                     24.00%                       40.00%
BB                           34.00%                     40.00%                       52.00%
BB-                          52.00%                     60.00%                       68.00%
Below BB- and unrated        100.00%

    Table 5: Specific risk capital charges based on external credit assessments (short term ratings)

External credit assessment   Securitisation exposures   Resecuritisation exposures
Senior, granular             Non-senior, granular       Non-granular                 Senior   Non-senior
A-1/P-1                      0.56%                      0.96%                        1.60%    1.60%        2.40%
A-2/P-2                      0.96%                      1.60%                        2.80%    3.20%        5.20%
A-3/P-3                      4.80%                      6.00%                        6.00%    12.00%       18.00%
Below A-3/P-3                100.00%

     1.          An ADI may, if APRA approves, calculate the specific risk capital charges for unrated securitisation and resecuritisation positions as follows.

        1.           An ADI with approval for the IRB approach for the asset classes which include the underlying exposures may apply the supervisory formula approach (refer to paragraphs 18 to 38 of Attachment D to APS 120). When estimating PDs and LGDs for calculating KIRB, the ADI must meet the minimum requirements for the IRB approach.

        2.           An ADI which has approval for using a