Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p11
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 27078–30107

Attachment D, by applying a credit conversion factor (CCF) of zero per cent; and
(d)          for all other exposures, by applying a CCF of 100 per cent.

Treatment of credit risk mitigation for securitisation exposures
45.         An ADI must not recognise, for regulatory capital purposes:
(a)          tranched credit protection purchased on a securitisation exposure; or
(b)          credit protection purchased on a resecuritisation exposure or any other securitisation exposure required to be deducted from Common Equity Tier 1 Capital or any non-senior exposure.
46.         An ADI may only recognise, for regulatory capital purposes, full (or pro rata) credit protection purchased on a senior securitisation exposure that is not required to be deducted from Common Equity Tier 1 Capital, in accordance with:
(a)          for eligible collateral, Attachment G to APS 112;[16]
(b)          for guarantees, Attachment I to APS 112;[17] and
(c)          for credit derivatives, Attachment J to APS 112.[18]
47.         An ADI must hold regulatory capital for credit risk against an exposure arising from credit protection that it has sold.
48.         An ADI that provides full or pro rata credit protection to a securitisation exposure must calculate regulatory capital as if it directly holds the securitisation exposure on which it has provided credit protection, in accordance with Attachment C.
49.         An ADI that provides tranched credit protection to a securitisation exposure must calculate its regulatory capital requirement as if it is directly exposed to the particular sub-tranche of the securitisation exposure on which it is providing protection, in accordance with Attachment C.[19]

Maturity mismatches
50.         A maturity mismatch exists when the residual maturity of a securitisation is less than the residual maturity of the pool. When credit protection is bought on a securitisation exposure(s), for the purpose of determining regulatory capital against a maturity mismatch, the capital requirement must be determined in accordance with:
(a)          for eligible collateral, Attachment G to APS 112;
(b)          for guarantees, Attachment I to APS 112; and
(c)          for credit derivatives, Attachment J to APS 112.

Overlapping exposures
51.         For the purpose of calculating regulatory capital, an ADI's exposure to a securitisation overlaps another of its exposures to the securitisation if, in all circumstances, the ADI precludes any loss for the ADI on its other exposure by fulfilling its obligations with respect to the first mentioned exposure. If an ADI can verify that fulfilling its obligations with respect to the exposure will preclude a loss from its other exposure under any circumstance, the ADI is not required to calculate regulatory capital for the other exposure.
52.         Overlap may also be recognised between relevant capital charges for exposures in the trading book and capital charges for exposures in the banking book, provided the ADI is able to calculate