Entire Section

  • Calculation of RWA for Securitisation Exposures (SE Exposures)

    • PIB 4.8.4

      To calculate its RWA for all its SE Exposures, an Authorised Firm must:

      (a) calculate the value of the Exposure for each of its SE Exposures in accordance with Exposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit Risk mitigation;
      (b) allocate an applicable Credit Quality Grade for that SE Exposure in accordance with the Rules in PIB section 4.11;
      (c) calculate the RWA amount for each SE Exposure, except for those SE Exposures which the Authorised Firm is required to include as deductions from any component of Capital Resources, using the following formula:
      RWA(SE) = SE x CRW
      where:
      (i) "RWA(SE)" refers to the risk-weighted Exposure amount for that securitisation Exposure;
      (ii) "SE" refers to the Exposure value or amount for that SE Exposure calculated in accordance with (a); and
      (iii) "CRW" refers to the applicable risk weight for that SE Exposure determined in accordance with (b); and
      (d) add the RWA amounts calculated in accordance with (c) for all its SE Exposures to the RWA amounts calculated in accordance with PIB Rule 4.8.5 in respect of its Early Amortisation Exposures.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.8.5

      To calculate its RWA for Early Amortisation Exposures, an Authorised Firm must:

      (a) calculate the value of the Exposure (EAE) for each of its Early Amortisation Exposures in accordance with Exposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit Risk mitigation;
      (b) calculate the risk-weighted Exposure amount for each Early Amortisation Exposure using the following formula:
      RWA(EAE) = EAE x CRW
      where:
      (i) "RWA(EAE)" refers to the risk-weighted Exposure amount for that Early Amortisation Exposure;
      (ii) "EAE" refers to the Exposure value or amount, for that Early Amortisation Exposure calculated in accordance with (a); and
      (iii) "CRW" refers to the applicable risk weight for the underlying Exposure type as if the Exposure had not been securitised; and
      (c) add the RWA amounts calculated in accordance with (b) for all its Early 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 SE Exposures of an Authorised Firm to a securitisation and Exposures arising from Credit Risk mitigation applied to those SE Exposures must not exceed the aggregate RWA amount corresponding to the underlying Exposures of the securitisation had they been on the balance sheet of the Authorised Firm and included in the calculation of the Credit RWA of the Authorised Firm. For avoidance of doubt, the aggregate RWA amount must not include any deduction for a gain-on-sale or a Credit-Enhancing Interest-Only Strip arising from the securitisation.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]