Originatordealing in Securitieswhich would attract a Credit Quality Gradeof 4 or better and issued by an SPE must deduct any holdings in such Securitiesfrom its CET1 Capital unless the holding is subject to:(a) an ongoing limit of 3% of the Securitiesissued; and(b) a limit of 10% of the Securitiesissued for a period of five business days:(i) immediately following close of the transaction; or(ii) in the case of Revolving Securitisationsonly, at the beginning of the scheduled amortisation period.
Authorised Firmacting as the Originatorand holding in excess of the dealing limits in PIB Rule 4.14.65 must either:(a) where the holding is less than 10%, deduct from its CET1 Capital the excess over the dealing limit; or(b) where the holding is greater than 10%, regard the transferred risks associated with the items as being back on its balance sheet.
Authorised Firmacting as the Originatormust not deal in the Securitiesduring the amortisation period.
Authorised Firmacting as the Sponsordealing in the Securitiesissued by the SPE must include these Securitiesin the calculation of its Credit RWAs.
Authorised Firminvolved in Synthetic Securitisationsmust seek individual guidance on a case-by-case basis from the DFSAregarding the regulatory treatment of such transactions.