PRU 4.14.19

(1) An Authorised Person meeting the conditions in Rule 4.14.18 must still hold regulatory capital against any securitisation Exposures it retains.
(2) The Authorised Person may recognise the effects of CRM of eligible financial Collateral pledged by any SPE, but it may not recognise any SPE which is an Issuer of securitisation Exposures as an eligible protection provider.