7.5.3.11 Ratings Downgrade

Ratings downgrade caters to the downgrade of a legal entity’s rating. This option identifies the downgrade level for the purpose of triggering the need for additional collateral. This parameter identifies the downgrade specified for a legal entity.

This downgrade can be specified as follows:

• • Rating Based
  • Notches Based

Note:

This is applicable only on the selection of the subcategory Encumbrance and Ratings Downgrade as part of the assumption categories Incremental Cash Flow or Encumbrance.