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PIB 4.14.9

An Authorised Firm is required, subject to PIB Rule 4.14.12, to include all securitisation Exposures in its calculation of Credit RWAs relating to securitisations, including the following:

(a) those arising from the provision of Credit Risk mitigants to a securitisation;
(b) investments in asset backed Securities;
(c) retention of a subordinated tranche;
(d) extension of a liquidity facility; and
(e) extension of Credit Enhancement.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]