Entire Section
Calculation of Credit RWA Arising from Securitisations
PIB 4.14.8 PIB 4.14.8
An
Authorised Firm must calculate theCredit RWA amounts forExposures arising from securitisations according to the requirements in this section.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.8 Guidance
1. AnAuthorised Firm should apply the securitisation framework set out in this section for determining the regulatoryCapital Requirements onExposures arising from traditional andSynthetic Securitisations or similar structures that contain features common to both.2. This section sets out the requirements forOriginators ,Authorised Firms which transferCredit Risk from their balance sheets andSponsors in a securitisation transaction involvingNon-Trading Book Exposures . This section also sets out the methodologies for calculation ofRWA amounts for securitisationExposures . TheRules setting out the methodologies for calculation ofMarket Risk Capital Requirement amounts for securitisationExposures held in theTrading Book are specified in PIB chapter 5 and PIB App5 of this module.3. As securitisations may be structured in many different ways, anAuthorised Firm engaging in the activities relating to securitisations (whether traditional orSynthetic ) must ensure that the economic substance of the transaction is fully considered, and reflected, in determining the capital treatment of a securitisation, rather than relying on the legal form of theSecuritisation .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.9
An
Authorised Firm is required, subject to PIB Rule 4.14.12, to include all securitisationExposures in its calculation ofCredit RWAs relating to securitisations, including the following:(a) those arising from the provision ofCredit Risk mitigants to a securitisation;(b) investments in asset backedSecurities ;(c) retention of a subordinated tranche;(d) extension of a liquidity facility; and(e) extension ofCredit Enhancement .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.10
An
Authorised Firm must include in its calculation ofCredit RWA all of its securitisationExposures held in theNon-Trading Book , except for those securitisationExposures which theAuthorised Firm is required to include as deductions from T1 Capital and deductions from T2 Capital.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.14.11
Repurchased securitisation transactions must be treated as retained securitisation
Exposures .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]