Document ID: chunk:federal_register_of_legislation:F2023L01572:reg:11:p4
Version: federal_register_of_legislation:F2023L01572
Segment Type: reg
Provision Reference: reg 11 (pt 4/7)
Character Range: 81848–84787

and may be disregarded for the purpose of determining which positions are treated as senior.
[5]  The material effects of differing tranche maturities are captured by maturity adjustments to the risk weights assigned to the securitisation exposures under this Prudential Standard.
[6]  In a self-securitisation, the originating ADI may 'repurchase' securities issued by the SPV under the repurchase agreement with the RBA. In a self-securitisation, the originating ADI may also repurchase (or replace) exposures out of the pool held in the securitisation to meet a security's eligibility for purchase under the repurchase agreement with the RBA.
[7]  For the purpose of paragraph 16, any shareholding in an SPV over and above an entitlement to a residual interest distribution is considered material.
[8]  For the purpose of paragraph 19, an originating ADI's servicing of the exposures may not constitute effective or indirect control of the exposures provided the ADI complies with Attachment D.
[9]  Refer to footnote 6.
[10]  In a self-securitisation, the originating ADI may give an undertaking to 'repurchase' the securities under the repurchase agreement with the RBA.
[11]  Refer to footnote 6.
[12]  For example, the instruments used to transfer credit risk in a synthetic securitisation must not contain clauses that allow for the early termination of the protection due to deterioration in the credit quality of the underlying exposures, significant materiality thresholds below which credit protection is deemed not to be triggered even if a credit event occurs or early amortisation provisions in a securitisation of revolving credit facilities that subordinate the originating ADI's interest.
[13]  For the purpose of paragraph 34, an originating ADI need not have regard to the interposed structure when assigning risk weights to the underlying exposures in the pool under APS 112 or APS 113.
[14]  For the purpose of paragraph 36, an originating ADI does not include an ADI whose role in a securitisation of revolving credit facilities is limited solely to managing the scheme.
[15]  For the purpose of paragraph 37, an originating ADI does not include an ADI whose role in an ABCP securitisation is limited solely to managing the scheme.
[16]  For this purpose, eligible collateral pledged by SPVs is recognised.
[17]  For this purpose, SPVs are not recognised as eligible guarantors.
[18]  For this purpose, SPVs are not recognised as eligible credit protection providers.
[19]  In the case of tranched credit protection to a securitisation exposure, the original securitisation tranche is decomposed into protected and unprotected sub-tranches. The decomposition is not treated as a new securitisation transaction. The resulting sub-tranches are not considered resecuritisation exposures solely due to the presence of credit protection.
[20]  For the purpose of paragraph 54, 'wholesale clients' has the meaning given by