Calculation of Capital Requirements
CA-6.4.1
Except as stated in Paragraph CA-6.3.2,
conventional bank licensees are required to hold regulatory capital against all of their securitisation exposures and re-securitisation exposures, including those arising from the provision ofcredit risk mitigants to a securitisation transaction, investments in asset-backed securities, retention of a subordinated tranche, and extension of a liquidity facility or credit enhancement, as set forth in the remainder of this section. Repurchased securitisation exposures must be treated as retained securitisation exposures.January 2015(i) Deduction
CA-6.4.2
[This Paragraph has been deleted in January 2015.]
January 2015CA-6.4.3
Conventional bank licensees must deduct from CET1 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. Such an increase in capital is referred to as a "gain-on-sale" for the purposes of the securitisation framework.January 2015CA-6.4.4
[This Paragraph has been deleted in January 2015.]
January 2015(ii) Implicit Support
CA-6.4.5
When a
conventional bank licensee provides implicit support to a securitisation, it must, at a minimum, hold capital against all of the exposures associated with the securitisation transaction as if they had not been securitised. Additionally,conventional bank licensees would not be permitted to recognise in regulatory capital any gain-on-sale, as defined in Paragraph CA-6.4.3. Furthermore, theconventional bank licensee is required to disclose publicly that (a) it has provided non-contractual support and (b) the capital impact of doing so.January 2015
