X1PART TWOF1OWN FUNDS AND ELIGIBLE LIABILITIES

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Editorial Information
Amendments (Textual)

TITLE IELEMENTS OF OWN FUNDS

CHAPTER 2Common Equity Tier 1 capital

Section 2Prudential filters

Article 32 Securitised assets

1

An institution shall exclude from any element of own funds any increase in its equity under the applicable accounting framework that results from securitised assets, including the following:

a

such an increase associated with future margin income that results in a gain on sale for the institution;

b

where the institution is the originator of a securitisation, net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

2

F2The F4PRA may make technical standards to specify further the concept of a gain on sale referred to in point (a) of paragraph 1.

F3...