• Requirements in order for a Traditional Securitisation to be excluded from the calculation of RWA

    • PRU 4.14.17

      (1) An Authorised Person which is an Originator or a Sponsor of a Traditional Securitisation may exclude securitised Exposures from the calculation of Credit RWA amounts only if all of the conditions detailed in Rule A4.10.1 have been complied with.
      (2) An Authorised Person meeting the requirements specified in Rule A4.10.1 must hold regulatory capital against any securitisation Exposures it retains.