• Past due Exposures

    • PRU 4.12.24

      Subject to Rules 4.12.25 and 4.12.26, an Authorised Person must risk-weight the unsecured portion of any CR Exposure that is past due for more than 90 days in accordance with the following table.

      Risk weights for past due Exposures

      Condition Risk Weight
      Where specific provisions are less than 20% of the outstanding amount of the Exposure 150%
      Where specific provisions are no less than 20% of the outstanding amount of the Exposure 100%

    • PRU 4.12.25

      For the purposes of Rule 4.12.24, an Authorised Person must calculate the unsecured portion of any CR Exposure that is past due for more than 90 days as follows:

      (a) for an Authorised Person using the FCSA: Unsecured Portion = E - P - Cf
      where:
      (i) E = E calculated in accordance with Section 4.9;
      (ii) P = notional amount of eligible credit protection received; and
      (iii) Cf = fair value of eligible financial Collateral received; or
      (b) for an Authorised Person using the FCCA:
      Unsecured Portion = E* - P
      where:
      (i) E* = E* calculated in accordance with Section 4.9; and
      (ii) P = notional amount of eligible credit protection received.

    • PRU 4.12.26

      An Authorised Person must apply a 100% risk weight to any CR Exposure in the residential mortgage asset class that is past due for more than 90 days.