PRU 4.8.3

Past version: effective from 21/10/2015 - 20/10/2015
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To calculate its RWA for CR Exposures, an Authorised Person must:

(a) calculate the value of the Exposure (represented as "E") for every on-balance sheet and every off-balance sheet asset in accordance with the Exposure measurement methodology specified in Section 4.9 and recognising the effects of any applicable CRM;
(b) categorise that Exposure in accordance with the Rules in Section 4.10;
(c) allocate an applicable Credit Quality Grade and risk weight for that Exposure in accordance with the Rules in Section 4.11 and 4.12;
(d) calculate the RWA amount for that Exposure using the following formula:
(i) "RWA(CR)" refers to the risk-weighted Exposure amount for that CR Exposure;
(ii) "E" refers to the Exposure value or amount, for that CR Exposure; and
(iii) "CRW" refers to the applicable risk weight for that CR Exposure determined in accordance with (b) and (c); and
(e) add the RWA amounts calculated in accordance with (d) for all its CR Exposures.