The aggregate RWA amount for all of the SE Exposures of an Authorised Firm to a securitisation and Exposures arising from Credit Risk mitigation applied to those SE Exposures must not exceed the aggregate RWA amount corresponding to the underlying Exposures of the securitisation had they been on the balance sheet of the Authorised Firm and included in the calculation of the Credit RWA of the Authorised Firm. For avoidance of doubt, the aggregate RWA amount must not include any deduction for a gain-on-sale or a Credit-Enhancing Interest-Only Strip arising from the securitisation.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]