Document ID: chunk:federal_register_of_legislation:F2023L01572:reg:11:p6
Version: federal_register_of_legislation:F2023L01572
Segment Type: reg
Provision Reference: reg 11 (pt 6/7)
Character Range: 87091–89792

of assets originated in the pool to the total amount of assets in the pool. The maximum holding or funding of non-senior securities or holding, funding or provision of other loss positions or credit enhancements for a managing ADI is based on the lowest proportion of assets originated into the pool by any originator, except in the case of a third party managing ADI (an ADI that does not contribute any assets into the pool), where the third party managing ADI must apply the tests in paragraphs 1(a) and 1(b) of this Attachment as if the ADI had originated all the assets in the pool.
[31]  For the purposes of paragraph 9 of this Attachment, an originating ADI does not include an ADI whose role in a securitisation of revolving credit facilities or ABCP securitisation is limited solely to managing the scheme.
[32]  In a self-securitisation, the originating ADI may 'repurchase' securities issued by the SPV under the repurchase agreement with the RBA.
[33]  Refer to footnote 32.
[34]  Refer to footnote 32.
[35]  In the case of synthetic securitisation, the clean-up call must only be exercisable when 10 per cent or less of the original reference pool value remains.
[36]  Any pay-out arising from scheduled or early amortisation and similar provisions must be funded from the cash flows emanating from the existing pool of underlying exposures and provide for payments on a pro rata basis (principal repayment, interest payments and expenses) to the originating ADI and investors according to their interest in the pool.
[37]  Refer to Table 3 of this Attachment.
[38]  Refer to Table 4 of this Attachment.
[39]  If such unconditional contractual payment dates are not available, the final legal maturity must be used.

[40]  In the case of tranched credit protection, the original securitisation tranche is decomposed into protected and unprotected sub-tranches.
[41]  KSA is expressed as a decimal between zero and one (e.g. a weighted average risk weight of 100 per cent would result in KSA equal to 0.08).
[42]  In the case of swaps other than credit derivatives, the numerator of KSA must include the positive current market value multiplied by the risk weight of the swap provider multiplied by 8 per cent. The denominator must not take into account such a swap, as such a swap would not provide a credit enhancement to any tranche.
[43]  In the case of swaps other than credit derivatives, the numerator of KSA must include the exposure amount of the collateral multiplied by its risk weight multiplied by 8 per cent. The denominator must be calculated without recognition of the collateral.
[44]  Where the only difference between exposures to a transaction is related to maturity, A