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PIB 4.8.5

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

(a) calculate the value of the Exposure (EAE) for each of its Early AmortisationExposures 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 AmortisationExposure using the following formula:
RWA(EAE) = EAE x CRW
where:
(i) "RWA(EAE)" refers to the risk-weighted Exposure amount for that Early AmortisationExposure;
(ii) "EAE" refers to the Exposure value or amount, for that Early AmortisationExposure 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 AmortisationExposures.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]