Prudential Regulation Authority Rulebook

1

Subject to paragraph 2 of this Article, in the context of a resecuritisation as far as enabled in accordance with Article 8 of Chapter 2, a retainer shall retain the material net economic interest in relation to each of the respective transaction levels.

2

The originator of a resecuritisation shall not be obliged to retain a material net economic interest at the transaction level of the resecuritisation where all of the following conditions are met:

1. (a) the originator of the resecuritisation is also the originator and the retainer of the underlying securitisation;
2. (b) the resecuritisation is backed by a pool of exposures comprising solely exposures or positions which were retained by the originator in the underlying securitisation in excess of the required minimum net economic interest prior to the date of origination of the resecuritisation; and
3. (c) there is no maturity mismatch between the underlying securitisation positions or exposures and the resecuritisation.

3

A fully supported ABCP programme which meets the requirements of Article 8(4) of Chapter 2 shall not be deemed a resecuritisation for the purposes of this Article.

4

The retranching by the securitisation’s originator of an issued tranche into contiguous tranches shall not constitute a resecuritisation for the purposes of this Article.