Entire Section
Requirements in Order for a Traditional Securitisation to be Excluded from the Calculation of RWA
PIB 4.14.17
(1) AnAuthorised Firm which is anOriginator or aSponsor of a TraditionalSecuritisation may exclude SecuritisedExposures from the calculation ofCredit RWA amounts only if all of the conditions detailed in PIB Rule A4.10.1 have been complied with.(2) AnAuthorised Firm meeting the requirements specified in PIB Rule A4.10.1 must hold regulatory capital against any securitisationExposures it retains.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]