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  • Requirements in Order for a Synthetic Securitisation to be Excluded from the Calculation of RWA

    • PIB 4.14.18 PIB 4.14.18

      (1) An Authorised Firm which is an Originator or a Sponsor of a Synthetic Securitisation may recognise the effects of Credit Risk mitigation of the Synthetic Securitisation in calculating its SE Exposure RWAs, only if:
      (a) all of the conditions detailed in PIB Rule A4.10.2 have been complied with;
      (b) the effects of Credit Risk mitigation are obtained through eligible credit protection, eligible financial Collateral or both; and
      (c) Credit Risk is transferred to third parties.
      (2) In relation to (b), the Credit Risk mitigation techniques used must meet the requirements of PIB section 4.13.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB 4.14.18 Guidance

        In relation to (1)(c) the transferor is deemed to have effective control over the transferred Credit Risk Exposures if it has the ability to repurchase the assets, or is obliged to retain the risk of the transferred assets. This does not include the retention of servicing rights.

        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.14.19

      (1) An Authorised Firm meeting the conditions in PIB Rule 4.14.18 must still hold regulatory capital against any securitisation Exposures it retains.
      (2) The Authorised Firm may recognise the effects of Credit Risk mitigation of eligible financial Collateral pledged by any SPE, but it may not recognise any SPE which is an Issuer of securitisation Exposures as an eligible protection provider.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]