PRU 4.14.31
Past version: effective from 21/10/2015 - 20/10/2015
To view other versions open the versions tab on the right
An Authorised Person must assign a risk weight for any SE Exposure in accordance with the tables below, to calculate the Credit RWA amounts for that Exposure.
Risk Weights for Long-Term securitisation Exposures
| Long Term rating category | |||||
| Credit Quality Grade | 1 | 2 | 3 | 4 | 5 and above including unrated |
| Risk Weight to be applied to securitisation Exposures (excluding Re-securitisation Exposures) | 20% | 50% | 100% | 350% | 1000% or Deduction from Capital Resources |
| Risk weight applied to Re-securitisation Exposures | 40% | 100% | 225% | 650% | 1000% or Deduction from Capital Resources |
Risk Weights for Short-Term securitisation Exposures
| Short-term rating category | ||||
| Credit Quality Grade | I | II | III |
IV and above including unrated 1000% |
| Risk Weight to be applied | 20% | 50% | 100% | 1000% |
| Deduction from Capital Resources Risk Weight applied to Re-securitisation Exposures | 40% | 100% | 225% | 1000% or deduction from Capital Resources |