Entire Section

  • Assigning Risk Weights

    • PIB 4.14.31

      An Authorised Firm must assign a risk weight for any SE Exposure in accordance with the tables below, to calculate the Credit RWA amounts for that Exposure.

      Risk Weights for Long-Term securitisation Exposures

      Long Term rating category
      Credit Quality Grade 1 2 3 4 5 and above including unrated
      Risk Weight to be applied to securitisation Exposures(excluding Re-securitisation Exposures) 20% 50% 100% 350% 1000% or Deduction from Capital Resources
      Risk weight applied to Re-securitisation Exposures 40% 100% 225% 650% 1000% or Deduction from Capital Resources

      Risk Weights for Short-Term securitisation Exposures

      Short-term rating category
      Credit Quality Grade I II III IV and above including unrated
      Risk Weight to be applied 20% 50% 100% 1000% or Deduction from Capital Resources
      Risk Weight applied to Re-securitisation Exposures 40% 100% 225% 1000% or deduction from Capital Resources
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.14.32

      (1) In respect of securitisation positions which are assigned a 1000% risk weighting pursuant to the tables in PIB Rule 4.14.31, an Authorised Firm may as an alternative to including the position in its calculation of Credit RWA amounts, deduct from its CET1 Capital the Exposure value of such positions.
      (2) For the purposes of this Rule, the calculation of the Exposure value may reflect eligible funded credit protection consistent with applicable Rules in this chapter.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.14.33

      For an Authorised Firm that is an Originator or Sponsor of a securitisation, the Credit RWA amounts calculated for its securitisation positions may be limited to the RWA amounts which would be calculated for the SE Exposures had they not been Securitised subject to the presumed application of a 150% risk weight to all past due items and items belonging to regulatory high risk categories.

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

    • PIB 4.14.34

      [Not currently in use]

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

    • PIB 4.14.35

      [Not currently in use]

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