PRU 4.14.56

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.