BANK 4.6.2 Securitisation and re-securitisation

(1) Securitisation, in relation to a banking business firm, is the process of pooling various kinds of contractual debt or non-debt assets that generate receivables and selling their related cash flows to third party investors as securities. In a securitisation, payments to the investors depend on the performance of the underlying pool of assets, rather than on an obligation of the originator of the assets.
(2) The underlying pool in a securitisation may include 1 or more exposures.
(3) The securities usually take the form of bonds, notes, pass-through securities, collateralised debt obligations or even equity securities that are structured into different classes (tranches) with different payment priorities, degrees of credit risk and return characteristics.

Note A securitisation (whether traditional or synthetic) must have at least 2 tranches (see subrules 4.6.3 (2) and (3)).
(4) Re-securitisation is a securitisation in which at least one of the underlying assets is itself a securitisation or another re-securitisation.

Note Exposures arising from re-tranching are not re-securitisation exposures if, after the re-tranching, the exposures act like direct tranching of a pool with no securitised assets. This means that the cash flows to and from the firm as originator could be replicated in all circumstances and conditions by an exposure to the securitisation of a pool of assets that contains no securitisation exposures.
(5) A reference in this Part to securitisation includes re-securitisation.
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).