• Implicit Support

    • PRU 4.14.15

      An Originator or a Sponsor of a securitisation must not provide Implicit Support to a securitisation transaction with a view to reducing potential or actual losses to investors outside of its contractual obligations;

    • PRU 4.14.16

      If an Originator fails to comply with Rule 4.14.15 in respect of a securitisation, it:

      (a) must include all the underlying Exposures of the securitisation in its calculation of Credit RWAs as if those Exposures had not been securitised and were on the balance sheet of the Authorised Person;
      (b) must not recognise any gain-on-sale of assets to the securitisation; and
      (c) must disclose to investors that the Authorised Person has provided noncontractual support and the regulatory capital impact of doing so.