Calculation of RWA Amounts for Securitisation Exposures
PIB 4.14.27(1) In order to calculate the
RWAamount for a securitisation position, the relevant risk weight must be assigned to the Exposurevalue of the position in accordance with this section, based on the credit quality of the position.(2) For the purposes of this Rule, the credit quality of a position must be determined by reference to the applicable credit quality assessment from a recognised external credit rating agency.
In cases where there are
Exposuresto different tranches in a securitisation, the Exposureto each tranche must be considered a separate securitisation position.
Exposurevalue of an off-balance sheet securitisation position must, subject to PIB A4.2.2, be its nominal value multiplied by a CCF of 100%, wherever applicable.