BANK 4.6.47 Requirement to apply higher capital charge
(1) The capital charge to be applied under this subdivision is the higher of:
(a) the capital requirement for retained securitisation exposures in the securitisation; and
(b) the capital requirement that would apply if the exposures had not been securitised.
(2) The firm must also deduct from its CET1 the amount of any gain-on-sale and credit-enhancing interest-only strips arising from the securitisation.
|Inserted by QFCRA RM/2017-2 (as from 1st April 2017).|