(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]