PRU 4.14.23

An Authorised Person must treat any securitisation Exposure as an unrated Exposure where:

(a) the external credit assessment incorporates the credit protection provided directly to the SPE by a protection provider which is not an eligible protection provider;
(b) the external credit assessment is at least partly based on unfunded support provided by the Authorised Person itself (e.g. if an Authorised Person buys ABCP) where it provides an unfunded securitisation Exposure extended to the ABCP Programme, such as a liquidity facility or Credit Enhancement, and that Exposure plays a role in determining the credit assessment on the ABCP, the Authorised Person must treat the ABCP as if it were not rated and continue to hold capital against the other securitisation Exposures it provides);
(c) the Credit Risk mitigant is not obtained by the SPE but is separately obtained and applied to a specific securitisation Exposure (e.g. a particular tranche); or
(d) the CRM does not meet the eligibility criteria for mitigation specified in Section 4.13.