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  • 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]