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