Entire Section
PIB 4.8 PIB 4.8 Calculation of the Crcom
PIB 4.8.1
(1) TheCredit Risk Capital Requirement is calculated as follows:CRCOM = 8% xCredit RWA (2) TheCredit RWA of anAuthorised Firm is the sum of:(a) its risk weighted assets (RWA ) for all itsCredit Risk Exposures (referred to in this module as "CRExposures ") calculated in accordance with Rules PIB 4.8.2 and PIB 4.8.3;(b) itsRWA for all its securitisationExposures (referred to in this module as "SEExposures ") calculated in accordance with PIB Rule 4.8.4 and PIB section 4.14; andDerived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
[Amended] DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]Calculation of RWA for Credit Risk Exposures (CR Exposures)
PIB 4.8.2
An
Authorised Firm must include in its calculation ofRWA forCR Exposures :(a) any on-balance sheet asset; and(b) any off-balance sheet item;but excluding:
(c) any SEExposure ;(d) any securitisedExposure that meets the requirements for the recognition of risk transference in a TraditionalSecuritisation set out in PIB section 4.14; or(e) anyExposure classified as a position or instrument in theTrading Book in accordance with PIB section A2.1.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.8.3
To calculate its
RWA forCR Exposures , anAuthorised Firm must:(a) calculate the value of theExposure (represented as "E") for every on-balance sheet and every off-balance sheet asset in accordance with theExposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicableCredit Risk mitigation;(c) allocate an applicableCredit Quality Grade and risk weight for thatExposure in accordance with theRules in section PIB 4.11 and PIB 4.12;(d) calculate theRWA amount for thatExposure using the following formula:RWA(CR) = E x CRW
where:(i) "RWA(CR)" refers to the risk-weightedExposure amount for thatCR Exposure ;(ii) "E" refers to theExposure value or amount, for thatCR Exposure ; and(iii) "CRW" refers to the applicable risk weight for thatCR Exposure determined in accordance with (b) and (c); and(e) add theRWA amounts calculated in accordance with (d) for all itsCR Exposures .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]Calculation of RWA for Securitisation Exposures (SE Exposures)
PIB 4.8.4
To calculate its
RWA for all its SEExposures , anAuthorised Firm must:(a) calculate the value of theExposure for each of its SEExposures in accordance withExposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicableCredit Risk mitigation;(b) allocate an applicableCredit Quality Grade for that SEExposure in accordance with theRules in PIB section 4.11;(c) calculate theRWA amount for each SEExposure , except for those SEExposures which theAuthorised Firm is required to include as deductions from any component ofCapital Resources , using the following formula:RWA(SE) = SE x CRW
where:(i) "RWA(SE)" refers to the risk-weightedExposure amount for that securitisationExposure ;(ii) "SE" refers to theExposure value or amount for that SEExposure calculated in accordance with (a); and(iii) "CRW" refers to the applicable risk weight for that SEExposure determined in accordance with (b); and(d) add theRWA amounts calculated in accordance with (c) for all its SEExposures to theRWA amounts calculated in accordance with PIB Rule 4.8.5 in respect of itsEarly Amortisation Exposures .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.8.5
To calculate its
RWA forEarly Amortisation Exposures , anAuthorised Firm must:(a) calculate the value of theExposure (EAE) for each of itsEarly Amortisation Exposures in accordance withExposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicableCredit Risk mitigation;(b) calculate the risk-weightedExposure amount for eachEarly Amortisation Exposure using the following formula:RWA(EAE) = EAE x CRW
where:(i) "RWA(EAE)" refers to the risk-weightedExposure amount for thatEarly Amortisation Exposure ;(ii) "EAE" refers to theExposure value or amount, for thatEarly Amortisation Exposure calculated in accordance with (a); and(iii) "CRW" refers to the applicable risk weight for the underlyingExposure type as if theExposure had not been securitised; and(c) add theRWA amounts calculated in accordance with (b) for all itsEarly Amortisation Exposures .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]PIB 4.8.6
The aggregate
RWA amount for all of the SEExposures of anAuthorised Firm to a securitisation andExposures arising fromCredit Risk mitigation applied to those SEExposures must not exceed the aggregateRWA amount corresponding to the underlyingExposures of the securitisation had they been on the balance sheet of theAuthorised Firm and included in the calculation of theCredit RWA of theAuthorised Firm . For avoidance of doubt, the aggregateRWA amount must not include any deduction for a gain-on-sale or aCredit-Enhancing Interest-Only Strip arising from the securitisation.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]