in the case of a synthetic securitisation, calculate risk weighted exposure amounts and, as relevant, expected loss amounts in respect of such exposures, in accordance with the provisions of BIPRU 9.5.
Where the originator fails to transfer significant credit risk in accordance with (1), it need not calculate risk weighted exposure amounts for any positions it may hold in the securitisation in question.
[Note: BCD Article 95]
An originator should use an appropriate method, consistent with its own internal processes, to assess whether the risk transferred is significant.
If the result of,
deducting all those positions from capital resources;
is a reduction in the originator's capital requirement compared to the capital requirements that would apply had it not transferred the securitised exposures, then the originator may treat the risk transferred as significant for the purposes of BIPRU 9.4.1 R and BIPRU 9.5.1 R.