• PRU 4.9.1 PRU 4.9.1

    An Authorised Person must apply the Exposure measurement methodology set out in the Rules in this part to calculate the value or amount of an Exposure for any CR Exposure or SE Exposure.

    • Guidance

      1. The measurement methodology in this Section prescribes the manner of calculation of Exposures for the purpose of determining the Credit RWA for Credit Risk (CR) Exposures as provided in Rule 4.8.3 and for securitisation (SE) Exposures as provided in Rule 4.8.4.
      2. Due regard should be given to the Guidance relating to prudent valuation in Section 2.4 and related provisions in App2.5.
      3. An Authorised Person should consult with the Regulator on the appropriate treatment to apply in the measurement of E, for transactions that have not been addressed in this part.