(vii) Liquidity Facilities
CA-6.4.82
Liquidity facilities are treated as any other securitisation exposure and receive a CCF of 100% unless specified differently in paragraphs CA-6.4.83 to CA-6.4.86. If the facility is externally rated, the bank may rely on the external rating under the RBA. If the facility is not rated and an inferred rating is not available, the bank must apply the SF, unless the IAA can be applied.
Apr 08CA-6.4.83 [Deleted]
[This Paragraph was deleted in January 2012].
Deleted: January 2012CA-6.4.84
When it is not practical for the bank to use either the bottom-up approach or the top-down approach for calculating KIRB, the bank may, on an exceptional basis and subject to CBB consent, temporarily be allowed to apply the following method. If the liquidity facility meets the definition in paragraph CA-6.4.19 or CA-6.4.22, the highest risk weight assigned under the standardised approach to any of the underlying individual exposures covered by the liquidity facility can be applied to the liquidity facility. If the liquidity facility meets the definition in paragraph CA-6.4.19, the CCF must be 50% for a facility with an original maturity of one year or less, or 100% if the facility has an original maturity of more than one year. If the liquidity facility meets the definition in paragraph CA-6.4.22, the CCF must be 20%. In all other cases, the notional amount of the liquidity facility must be deducted.
Apr 08
