PRU 4.14.64

Past version: effective from 21/10/2015 - 20/10/2015
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An Originator dealing in Securities which would attract a Credit Quality Grade of 4 or better and issued by an SPE must deduct any holdings in such Securities from its CET1 Capital unless the holding is subject to:

(a) an ongoing limit of 3% of the Securities issued; and
(b) a limit of 10% of the Securities issued for a period of five business days:
(i) immediately following close of the transaction; or
(ii) in the case of Revolving Securitisations only, at the beginning of the scheduled amortisation period.