Minimum Capital Requirements for Credit Risk

In the event that banks have securitization exposures where the IAA treatment applies, banks shall notify SAMA of the transactions and seek approval to apply the IAA treatment. Subject to SAMA approval, a bank may use its internal assessments of the credit quality of its securitization exposures extended to ABCP programmes (e.g. liquidity facilities and credit enhancements) provided that the bank has at least one approved IRB model (which does not need to be applicable to the securitized exposures) and if the bank's internal assessment process meets the operational requirements set out below. Internal assessments of exposures provided to ABCP programmes must be mapped to equivalent external ratings of an ECAI. Those rating equivalents are used to determine the appropriate risk weights under the SECERBA for the exposures.