BANK 4.6.39 Capital charges for securitisation involving revolving exposures with early amortisation

(1) A banking business firm that is an originator or sponsor of a securitisation involving revolving exposures that has an early amortisation provision must calculate an additional capital charge to cover the possibility that the firm's credit risk exposure may increase if the provision is triggered. The charge must be calculated for the total exposure related to the securitisation (that is, for both drawn and undrawn balances related to the securitised exposures).

Note For the calculation of the capital charge if the early amortisation provision is controlled, see rule 4.6.40. For the calculation of the capital charge if the early amortisation provision is non-controlled, see rule 4.6.44.
(2) If the underlying pool of a securitisation is made up of both revolving exposures and term exposures, the firm must apply the amortisation treatment in this Division only to the portion of the underlying pool made up of those revolving exposures.
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).