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PIB A4.10.2 Guidance

In relation to Rules PIB A4.10.1 and PIB A4.10.2, significant Credit Risk will be considered to have been transferred by the Originator of a securitisation if:

a. the RWA amounts of the mezzanine securitisation positions held by the Originator in the securitisation do not exceed 50% of the RWA amounts of all mezzanine securitisation positions existing in this securitisation; and
b. where there are no mezzanine securitisation positions in a given securitisation and the Originator can demonstrate that the Exposure value of the securitisation positions that would be subject to deduction from Capital Resources or a 1250% risk weight exceeds a reasonable estimate of the expected loss on the Securitised Exposures by a substantial margin, the Originator does not hold more than 20% of the Exposures values of the securitisation positions that would be subject to deduction from Capital Resources or a 1250% risk weight.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]