• PRU 4.14.51 PRU 4.14.51

    (1) An Authorised Person which is the Originator or Sponsor of a securitisation involving revolving Exposures, must calculate Credit RWA amounts in respect of the total Exposure related to a securitisation (both drawn and undrawn balances) when:
    (a) the Authorised Person sells Exposures into a structure that contains an Early Amortisation feature; and
    (b) the Exposures are of a revolving nature.
    (2) Where the underlying pool of a securitisation comprises revolving and term Exposures, an Authorised Person must apply the amortisation treatment outlined below for determining applicable regulatory capital only to that portion of the underlying pool containing revolving Exposures.

    • Guidance

      1. This Section sets out the methodology for calculation of the Credit RWA amount by an Originator, when it sells revolving Exposures into a securitisation that contains an Early Amortisation provision.
      2. Early Amortisation of the Securities describes the process whereby the repayment of the investors' interest is brought forward upon the occurrence of specified events. Events that are economic in nature by reference to the financial performance of the transferred assets are known as economic triggers.