A transaction shall not be considered as support for the purposes of paragraph 1 where the transaction has been duly taken into account in the assessment of significant credit risk transfer and both parties have executed the transaction acting in their own interest as free and independent parties (arm’s length). For these purposes, the institution shall undertake a full credit review of the transaction and, at a minimum, take into account all of the following items:
the repurchase price;
the institution’s capital and liquidity position before and after repurchase;
the performance of the underlying exposures;
the performance of the securitisation positions;
If an originator institution or a sponsor institution fails to comply with paragraph 1 in respect of a securitisation, the institution shall include all of the underlying exposures of that securitisation in its calculation of risk-weighted exposure amounts as if they had not been securitised and disclose:
that it has provided support to the securitisation in breach of paragraph 1; and
the impact of the support provided in terms of own funds requirements.