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
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]