Calculation of RWA amounts for securitisation Exposures
PRU 4.14.27(1) In order to calculate the RWA amount for a securitisation position, the relevant risk weight must be assigned to the Exposure value of the position in accordance with this Section, based on the credit quality of the position.(2) For the purposes of this Rule, the credit quality of a position must be determined by reference to the applicable credit quality assessment from a recognised external credit rating agency.
In cases where there are Exposures to different tranches in a securitisation, the Exposure to each tranche must be considered a separate securitisation position.
Exposure value of an off-balance sheet securitisation position must, subject to A4.2.2, be its nominal value multiplied by a CCF of 100%, wherever applicable.
The Exposure value of a securitisation position arising from a financial Derivative must be determined in accordance with Rules 4.6.14 to 4.6.21 dealing with treatment of financial Derivatives.