PRU 4.14.12(1) An Authorised Person may deduct SE Exposures which it has chosen not to treat in accordance with Rules 4.14.8 to 4.14.11 from Capital Resources -100% from CET1.(2) Credit-Enhancing Interest-Only Strips (net of the deductions from CET1 Capital required at Rule 4.14.13) are deducted 100% from CET1 Capital.(3) Deductions from capital may be calculated net of specific provisions taken against relevant securitisation Exposures.
PRU 4.14.13 PRU 4.14.13
An Authorised Person must include as deductions from CET1 Capital any increase in issued capital or reserves resulting from a securitisation, such as that associated with expected future margin income resulting in a gain-on-sale that is recognised as issued capital or reserves.
Gain-on-sale arises when there has been an increase in equity of the Authorised Person associated with recognising the discounted value of the expected future margin income as part of regulatory capital.
An Authorised Person must assign a securitisation Exposure to a Credit Quality Grade based on the external credit assessment (where available) that is applicable to the securitisation Exposure in accordance with relevant Rules in this Chapter.