BIPRU 9.3 Requirements for originators
- (1)
Where significant credit risk associated with securitised exposures has been transferred from the originator in accordance with the terms of BIPRU 9.4 or BIPRU 9.5, that originator may:
- (a)
in the case of a traditional securitisation, exclude from its calculation of risk weighted exposure amounts and, as relevant, expected loss amounts, the exposures which it has securitised; and
- (b)
in the case of a synthetic securitisation, calculate risk weighted exposure amounts and, as relevant, expected loss amounts in respect of such exposures, in accordance with the provisions of BIPRU 9.5.
- (a)
- (2)
Where (1) applies, the originator must calculate the risk weighted exposure amounts prescribed in this chapter for the positions it may hold in the securitisation.
- (3)
Where the originator fails to transfer significant credit risk in accordance with (1), it need not calculate risk weighted exposure amounts for any positions it may hold in the securitisation in question.
[Note: BCD Article 95]
For measuring the reduction in risk and risk weighted exposure amounts, an originator should assess the securitisation positions it holds against the underlying exposures if they had never been securitised.
An originator should use an appropriate method, consistent with its own internal processes, to assess whether the risk transferred is significant.
If the result of,
- (1)
applying a risk weight of 1250% to all positions that an originator holds in the securitisation; or
- (2)
deducting all those positions from capital resources;
is a reduction in the originator's capital requirement compared to the capital requirements that would apply had it not transferred the securitised exposures, then the originator may treat the risk transferred as significant for the purposes of BIPRU 9.4.1 R and BIPRU 9.5.1 R.
An originator should not adjust its assessment of the transfer of risk in order to reflect uncertainties related to the effectiveness of a securitisation under BIPRU 9.4 or BIPRU 9.5. Instead the originator should treat the terms of BIPRU 9.4 or BIPRU 9.5 as not having been satisfied.