625-A BANK’S EXPOSURES TO STRUCTURED PRODUCTS
a. Banking book
(1) Risk weights. Capital charge for structured products held in the banking book shall depend on the rating of the issuing entity, or rating of the collateral in case of structured products issued by special purpose vehicles (SPVs), given by the following Bangko Sentral-recognized international credit rating agencies:
(b) Standard & Poor’s;
(c) Fitch Ratings; and
(d) Such other international rating agencies as may be approved by the Monetary Board.
In cases where there are two (2) or more types of collateral, capital charge shall depend on the lowest rated collateral.
The mapping of ratings to the corresponding risk weights shall be a follows:
|Moody’s||Standard & Poor’s||Fitch Ratings|
|50%||Aaa to Aa3||AAA to AA-||AAA to AA-|
|100%||A1 to A3||A+ to A-||A+ to A-|
|150%||Baa1 to Baa3||BBB+ to BBB-||BBB+ to BBB-|
|Deduction from total of Tier 1 and Tier 2 Capital||Below Baa3||Below BBB-||Below BBB-|
(2) Use of ratings. If an issuer of a structured product has only one (1) rating by any of the Bangko Sentral-recognized international rating agencies, that rating shall be used to determine the risk weight of the product; in cases where there are two (2) or more ratings which map into different risk weights, the higher of the lowest two (2) risk weights should be used.
b. Trading book. Capital charge for structured products held in the trading book shall be determined in accordance with Appendix 42.