Prudential Regulation Authority Rulebook

1

The underlying exposures used in a securitisation shall not include securitisation positions.

The first subparagraph shall not apply to:

1. (a) any securitisation the securities of which were issued before 1 January 2019; or
2. (b) any securitisation in respect of which the PRA has disapplied or modified the first sub-paragraph such that the underlying exposures can include securitisation positions.

2

[Note: Provision left blank]

3

[Note: Provision left blank]

4

A fully supported ABCP programme shall not be considered to be a resecuritisation for the purposes of this Article provided that none of the ABCP transactions within that programme is a resecuritisation and that the credit enhancement does not establish a second layer of tranching at the programme level.