CA-6.4.61
The following operational requirements must be satisfied to recognise inferred ratings:
(a) The reference securitisation exposure (e.g. ABS) must be subordinate in all respects to the unrated securitisation exposure. Credit enhancements, if any, must be taken into account when assessing the relative subordination of the unrated exposure and the reference securitisation exposure. For example, if the reference securitisation exposure benefits from any third-party guarantees or other credit enhancements that are not available to the unrated exposure, then the latter may not be assigned an inferred rating based on the reference securitisation exposure;
(b) The maturity of the reference securitisation exposure must be equal to or longer than that of the unrated exposure;
(c) On an ongoing basis, any inferred rating must be updated continuously to reflect any changes in the external rating of the reference securitisation exposure; and
(d) The external rating of the reference securitisation exposure must satisfy the general requirements for recognition of external ratings as delineated in paragraph CA-6.4.6.
Amended: April 2011
Apr 08
Apr 08