PRU 4.8.5

Past version: effective from 21/10/2015 - 20/10/2015
To view other versions open the versions tab on the right

To calculate its RWA for Early Amortisation Exposures, an Authorised Person must:

(a) calculate the value of the Exposure (EAE) for each of its Early Amortisation Exposures in accordance with Exposure measurement methodology specified in Section 4.9 and recognising the effects of any applicable CRM;
(b) calculate the risk-weighted Exposure amount for each Early Amortisation Exposure using the following formula:
(i) "RWA(EAE)" refers to the risk-weighted Exposure amount for that Early Amortisation Exposure;
(ii) "EAE" refers to the Exposure value or amount, for that Early Amortisation Exposure calculated in accordance with (a); and
(iii) "CRW" refers to the applicable risk weight for the underlying Exposure type as if the Exposure had not been securitised; and
(c) add the RWA amounts calculated in accordance with (b) for all its Early Amortisation Exposures.