• PRU 4.14.46 PRU 4.14.46

    Where an Authorised Person obtains credit protection on a securitisation Exposure, the calculation of Credit RWA amounts must be in accordance with the Rules in CRM in Section 4.13.

    • Guidance

      The firm may also recognise such an overlap between capital charges for Specific Risk in relation to positions in the Trading Book and capital charges for positions in the Non-Trading Book, provided that the firm is able to calculate and compare the capital charges for the relevant positions.

      However, if overlapping facilities are provided by different Authorised Persons, each Authorised Person must calculate Capital Requirement for the maximum amount of its Exposure.