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PIB 4.8.5

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

(a) calculate the value of the Exposure (EAE) for each of its Early Amortisation Exposures in accordance with Exposure measurement methodology specified in PIB section 4.9 and recognising the effects of any applicable Credit Risk mitigation;
(b) calculate the risk-weighted Exposure amount for each Early Amortisation Exposure using the following formula:
RWA(EAE) = EAE x CRW
where:
(i) "RWA(EAE)" refers to the risk-weighted Exposure amount for that Early Amortisation Exposure;
(ii) "EAE" refers to the Exposure value or amount, for that Early Amortisation Exposure calculated in accordance with (a); and
(iii) "CRW" refers to the applicable risk weight for the underlying Exposure type as if the Exposure had not been securitised; and
(c) add the RWA amounts calculated in accordance with (b) for all its Early Amortisation Exposures.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]