PRU 4.14.31

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