Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p18
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 46071–48957

this Prudential Standard continues to have effect as though exercised pursuant to a corresponding power (if any) exercisable by APRA under this Prudential Standard.

Attachment A — Operational requirements for regulatory capital relief

Significant credit risk transfer
     1. In order to obtain regulatory capital relief, an originating ADI must ensure that significant credit risk associated with the underlying pool of exposures has been transferred to third parties. For this purpose, an originating ADI and any member of a group to which an ADI belongs[28] must not, in aggregate and at any time:
(a)          hold or fund the acquisition of more than 20 per cent of the non-senior securities issued in the securitisation, or more than 20 per cent of any tranche of non-senior securities issued in the securitisation; and
(b)          hold or fund the acquisition of non-senior securities and hold, fund or provide other loss positions or credit enhancements, which represent more than 20 per cent of the loss cover provided in the securitisation to support senior securitisation exposures.[29]
2.             Where there are two or more originators of the underlying pool in a securitisation, an originating ADI must apply the tests in paragraphs 1(a) and 1(b) of this Attachment according to the proportion of assets originated by the ADI to the total amount of assets in the pool.[30]
3.             Subject to paragraphs 1 and 2 of this Attachment, an originating ADI must sell non-senior securities issued in the securitisation to third parties. An originating ADI must not repurchase non-senior securities once sold except to give effect to a clean-up call that complies with paragraph 6(c) of this Attachment. An ADI must not recognise, for regulatory capital purposes, the use of CRM or any other hedge as constituting a sale of the non-senior securities.

Purchase of securities issued in a securitisation
4.             Subject to paragraphs 1, 2 and 3 of this Attachment, an originating ADI may purchase securities issued in a securitisation, provided:
(a)          the purchase is conducted on an arm's-length basis and on market terms and conditions;
(b)          the ADI has no pre-existing obligation to undertake the purchase; and
(c)          the purchase does not give effect to a call option other than a clean-up call that complies with paragraph 6(c) of this Attachment.
5.             If APRA considers that the pattern or the amount of an originating ADI's purchase of securities, or its stated willingness to do so, suggests that the ADI is providing implicit support to a securitisation, the provisions in paragraphs 69 to 71 of this Prudential Standard will apply.

Repurchase of exposures out of the pool in a securitisation
6.             An originating ADI may only repurchase exposures out of the pool in a securitisation (or repurchase securities to