PRU A4.10.4

Where the conditions listed in Rule A4.10.3 are not met the Authorised Person must hold capital against the Exposures as follows:

(a) for a Traditional Securitisation the underlying Exposures must be treated as if they had not been securitised;
(b) Authorised Persons must not include any gain-on-sale in any element or component of their Capital Resources;
(c) for Synthetic Securitisations, the Authorised Person must hold capital against the entire amount of securitised Exposures; and
(d) where a Synthetic Securitisation incorporates a call that is not a Clean-Up Call, the Authorised Person must treat the transaction in accordance with the relevant CRM techniques in Section 4.13.