• Credit Risk mitigation — Guarantees

    • PRU A4.12.16

      An Authorised Person may recognise guarantees provided by the following eligible guarantors:

      (a) the Bank for International Settlements, the International Monetary Fund, the European Central Bank, and the European Commission;
      (b) the MDBs referred to in Rule 4.12.8;
      (c) PSEs; and
      (d) other entities eligible for a CRW of 20% or better and with a lower risk weight than the Counterparty.

    • PRU A4.12.17

      For the purpose of calculating the risk weight of a guaranteed Exposure, an Authorised Person must assign the guaranteed portion the risk weight of the eligible guarantors. The uncovered portion of the Exposure must be assigned the risk weight of the underlying Counterparty.

    • PRU A4.12.18

      An Authorised Person can apply a 0% risk weight to any portions of Exposures guaranteed by central governments or Central Banks of a GCC member country where the guarantee is denominated in the domestic currency of that country, and the Exposure is funded in that same domestic currency.

    • PRU A4.12.19

      An Authorised Person must treat any materiality thresholds on payments below which no payment will be made in the event of loss as retained First Loss Positions and must deduct the full amount from its Capital Resources.