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PIB A4.10.4

Where the conditions listed in PIB Rule A4.10.3 are not met the Authorised Firm must hold capital against the Exposures as follows:

(a) for a Traditional Securitisation the underlying Exposures must be treated as if they had not been securitised;
(b) Authorised Firms must not include any gain-on-sale in any element or component of their Capital Resources;
(c) for Synthetic Securitisations, the Authorised Firm must hold capital against the entire amount of securitised Exposures; and
(d) where a Synthetic Securitisation incorporates a call that is not a Clean-Up Call, the Authorised Firm must treat the transaction in accordance with the relevant Credit Risk mitigation techniques in PIB section 4.13.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]