PIB 4.14.52
(1) An Authorised Firm which is the Originator or Sponsor of a securitisation involving revolving Exposures , must calculate Credit RWA amounts in respect of the total Exposure related to a securitisation (both drawn and undrawn balances) when:
(a) the Authorised Firm sells Exposures into a structure that contains an Early Amortisation feature; and
(b) the Exposures are of a revolving nature.
(2) Where the underlying pool of a securitisation comprises revolving and term Exposures , an Authorised Firm must apply the amortisation treatment outlined below for determining applicable regulatory capital only to that portion of the underlying pool containing revolving Exposures .
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]