• PRU 4.14.7 PRU 4.14.7

    Where an Authorised Person is either an Originator or a Sponsor of a Traditional Securitisation or a Synthetic Securitisation:

    (a) the Authorised Person intending to conduct the securitisation must notify the Regulator at least 30 days in advance of the proposed execution of the securitisation;
    (b) the Authorised Person conducting the securitisation must calculate its Credit RWAs for all resultant Exposures from that securitisation, in accordance with Section 4.8, provided the requirements of this Section are met; and
    (c) the Authorised Person conducting the securitisation must produce documentation reflecting the execution and economic substance of the transaction.

    • Guidance

      The notification made to the Regulator under (a) should include, inter alia, amounts of assets subject to securitisation, amounts retained, details of securitisation including legal structure, rating, tranches, details of legal transfer and any CRM applied and implications on the capital and liquidity position on the Authorised Person.