(i) Deduction
CA-6.4.2
When a bank is required to deduct a securitisation exposure from regulatory capital, the deduction must be taken 50% from Tier 1 and 50% from Tier 2 with the one exception noted in paragraph CA-6.4.3. Credit enhancing I/Os (net of the amount that must be deducted from Tier 1 as in paragraph CA-6.4.3) are deducted 50% from Tier 1 and 50% from Tier 2. Deductions from capital may be calculated net of any specific provisions taken against the relevant securitisation exposures.
Apr 08CA-6.4.3
Banks must deduct from Tier 1 any increase in equity capital resulting from a securitisation transaction, such as that associated with expected future margin income (FMI) resulting in a gain-on-sale that is recognised in regulatory capital. Such an increase in capital is referred to as a "gain-on-sale" for the purposes of the securitisation framework.
Apr 08CA-6.4.4
For the purposes of the EL-provision calculation as set out in Section CA-5.7, securitisation exposures do not contribute to the EL amount. Similarly, any specific provisions against securitisation exposures are not to be included in the measurement of eligible provisions.
Apr 08
