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PRU 4.14.57

Past version: effective from 21/10/2015 - 20/10/2015
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In regard to securitisation positions subject to an Early Amortisation clause, the Credit RWA amounts for an Authorised Person acting as the Originator are calculated as the product of the following:

(a) the investors' interest;
(b) the appropriate CCF (in accordance with the table in Rule 4.14.61); and
(c) the appropriate risk weight for the underlying Exposure type.