An Authorised Person acting as the Originator and holding in excess of the dealing limits in Rule 4.14.65 must either:(a) where the holding is less than 10%, deduct from its CET1 Capital the excess over the dealing limit; or(b) where the holding is greater than 10%, regard the transferred risks associated with the items as being back on its balance sheet.
An Authorised Person acting as the Originator must not deal in the Securities during the amortisation period.
An Authorised Person acting as the Sponsor dealing in the Securities issued by the SPE must include these Securities in the calculation of its Credit RWAs.
An Authorised Person involved in Synthetic Securitisations must seek individual guidance on a case-by-case basis from the Regulator regarding the regulatory capital treatment of such transactions.
An Authorised Person which has taken eligible financial Collateral for an SE Exposure and is using the FCSA may recognise the effect of the eligible financial Collateral as follows:(a) break down the SE Exposure into:(i) a collateralised portion with E equal to the latest fair market value of the eligible financial Collateral; and(ii) an uncollateralised portion whose Exposure value equals the E of the SE Exposure less the latest fair market value of the eligible financial Collateral; and(b) apply the CRW that is applicable to the eligible financial Collateral to the collateralised portion calculated in accordance with (a)(i) to calculate the Credit RWA amount of the collateralised portion as though the Authorised Person had a direct Exposure to the eligible financial Collateral; and(c) either:(i) apply the CRW that is applicable to the SE Exposure to the uncollateralised portion calculated in accordance with (a)(ii) to calculate the Credit RWA amount of the uncollateralised portion; or(ii) include the uncollateralised portion as a deduction from CET1 Capital.