• Total Risk Exposure Amount

    • PRU 3.5.7

      An Authorised Person must calculate its Total Risk Exposure Amount, after taking into account the provisions of Rule 3.5.8, as the sum of:

      (a) the Credit RWA as calculated using Rule 4.8.1(2);
      (b) the Risk Exposure Amount associated with the Market Risk Capital Requirement;
      (c) the Risk Exposure Amount associated with the Operational Risk Capital Requirement;
      (d) the Risk Exposure Amount associated with the CVA Risk Capital Requirement; and
      (e) the Risk Exposure Amount associated with Displaced Commercial Risk Capital Requirement, where applicable, calculated in accordance with IFR Rule 5.4.5.

    • PRU 3.5.8 PRU 3.5.8

      An Authorised Person must multiply the individual capital requirements referred to under points 3.5.7(b) to 3.5.7(e) by a factor of 12.5 in order to determine the Risk Exposure Amounts associated with those elements of the Total Risk Exposure Amount.

      • Guidance

        The Total Risk Exposure Amount must be calculated by Authorised Persons in Categories 1, 2, 3A and 5 for the determination of appropriate minimum Capital Resources and for reporting purposes.