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:
Authorised Firm sells Exposures into a structure that contains an Early Amortisation feature; and
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]