Calculation of Credit RWA Amounts for Securitisation Positions Subject to Early Amortisation Clause
PIB 4.14.57 PIB 4.14.57
In regard to securitisation positions subject to an
Early Amortisationclause, the Credit RWAamounts for an Authorised Firmacting as the Originatorare calculated as the product of the following:(a) the investors' interest(b) the appropriate CCF (in accordance with the table in PIB Rule 4.14.61); and(c) the appropriate risk weight for the underlying Exposuretype.
PIB 4.14.57 Guidance
In relation to PIB Rule 4.14.57(c), the
Authorised Firmshould also consider whether a line, or facility, is committed or uncommitted. A line is considered to be uncommitted if it is unconditionally cancellable without prior notice by the Authorised Firm. They also differ according to whether the Securitised Exposuresare committed retail credit lines or credit lines (such as revolving credit facilities).
PIB 4.14.58(1) An
Early Amortisationprovision that does not satisfy the conditions for a Controlled Early Amortisationprovision will be treated as a non- Controlled Early Amortisationprovision.(2) For the purpose of (1), the conditions for a Controlled Early Amortisationprovision are as follows:(a) the Authorised Firmmust have an appropriate capital/liquidity plan in place to ensure that it has sufficient capital and liquidity available in the event of an Early Amortisation;(b) throughout the duration of the transaction, including the amortisation period, there is the same pro rata sharing of interest, principal, expenses, losses and recoveries based on the firm's and investors' relative shares of the receivables outstanding at the beginning of each month;(c) the firm must set a period for amortisation that would be sufficient for at least 90% of the total debt outstanding at the beginning of the Early Amortisationperiod to have been repaid or recognised as in default; and(d) the pace of repayment should not be any more rapid than would be allowed by straight-line amortisation over the period set out in (c).
For uncommitted retail credit lines in securitisations containing
Controlled Early Amortisationwhich is triggered by the Excess Spreadlevel falling to a specified level, an Authorised Firmmust compare the three month average Excess Spreadlevel with the Excess Spreadlevels at which the Excess Spreadis required to be trapped.
Where the securitisation does not require
Excess Spreadto be trapped, the trapping point is deemed to be 4.5 percentage points greater than the Excess Spreadlevel at which Early Amortisationis triggered.
Authorised Firmmust divide the Excess Spreadlevel by the transaction's Excess Spreadtrapping point to determine the appropriate segments and apply corresponding conversion factors as set out in the following table: Controlled Early Amortisationfeatures Uncommitted Committed Retail Credit Lines 3 Month average Excess SpreadCCF 90% 133.33% of trapping point or more 0% <133.33% to 100% of trapping point 1% <100% to 75% of trapping point 2% <75% to 50% trapping point 10% <50% to 25% of trapping point 20% <25% 40% Non-retail credit lines 90% 90%