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PIB 4.8.3

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

(a) calculate the value of the Exposure (represented as "E") for every on-balance sheet and every off-balance sheet asset in accordance with the Exposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit Risk mitigation;
(b) categorise that Exposure in accordance with the Rules in PIB section 4.10;
(c) allocate an applicable Credit Quality Grade and risk weight for that Exposure in accordance with the Rules in section PIB 4.11 and PIB 4.12;
(d) calculate the RWA amount for that Exposure using the following formula:
RWA(CR) = E x CRW
where:
(i) "RWA(CR)" refers to the risk-weighted Exposure amount for that CR Exposure;
(ii) "E" refers to the Exposure value or amount, for that CR Exposure; and
(iii) "CRW" refers to the applicable risk weight for that CR Exposure determined in accordance with (b) and (c); and
(e) add the RWA amounts calculated in accordance with (d) for all its CR Exposures.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]