Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p22
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 56692–59823

(e.g. interest payments and expenses) and any losses associated with the underlying exposures.

Scheduled or early amortisation and similar provisions
9.             Scheduled amortisation or early amortisation and similar provisions, if triggered, must not:
(a)          subordinate the originating ADI's seller interest in the underlying exposures to the interest of investors;
(b)          further subordinate the originating ADI's subordinated interest; or
(c)          in other ways increase the originating ADI's exposure to losses associated with the underlying exposures.[36]
10.         Scheduled amortisation or early amortisation and similar provisions must end the ability of the originating ADI to add new exposures to the pool or fund within the pool further draws in relation to the underlying borrowers in the pool.
11.         An originating ADI of a securitisation of revolving credit facilities must have regard to APS 210. The ADI must have in place appropriate liquidity plans that evaluate the probability of an early amortisation or similar provision occurring and address the implications of both scheduled and early amortisation through its liquidity risk management framework to measure, monitor and manage the relevant liquidity risk.

Attachment C — Regulatory capital required for credit risk
     1. An ADI must calculate regulatory capital for credit risk for its securitisation exposures using either of the following methods:
(a)          an ADI must use the External Ratings-based Approach (paragraphs 4 to 16 of this Attachment) where a securitisation exposure is externally rated (paragraphs 53 to 57 of this Prudential Standard) or for which an inferred rating is available (paragraph 58 of this Prudential Standard); or
(b)          where an ADI cannot use the External Ratings-based Approach, the ADI must use the Supervisory Formula Approach (paragraphs 17 to 34 of this Attachment).
2.             The value of securitisation exposures to which none of the approaches in paragraph 1 of this Attachment can be applied must be deducted from Common Equity Tier 1 Capital.
3.             An ADI must deduct the value of resecuritisation exposures from Common Equity Tier 1 Capital.

External Ratings-based Approach
4.             For a securitisation exposure that is externally rated, or for which an inferred rating is available, the risk-weighted asset amount of a securitisation exposure must be calculated by multiplying the securitisation exposure amount (paragraph 43 of this Prudential Standard) by the appropriate risk weight (paragraphs 5 to 16 of this Attachment).

Short-term ratings
5.             For securitisation exposures with short-term ratings, or when an inferred rating based on a short-term rating is available, the risk weights detailed in Table 1 apply.
Table 1: Short-term credit rating grades and corresponding risk weights
Credit rating grade[37]  1    2    3     4
Risk weight              15%  50%  100%  Deduction from Common Equity Tier 1 Capital

Long-term ratings
6.             For securitisation exposures with long-term ratings, or when an inferred rating