PRU PART 3 — CRCOM
- PRU 4.6 Application
- PRU 4.7 Simplified Approach
- PRU 4.8 Calculation of the CRCOM
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PRU 4.9 Methodology for measurement of Exposures
- PRU 4.9.1
- PRU 4.9.2
- Measurement of E for on-balance sheet assets
- Measurement of E for off-balance sheet items other than Counterparty Risk Exposures
- Recognition of eligible financial Collateral for on-balance sheet assets and off-balance sheet items other than Counterparty Exposures
- Recognition of eligible financial Collateral for securitisation (SE) Exposures
- Measurement of E for Counterparty Exposures
- Measurement of E for Counterparty Exposures arising from OTC Derivative transactions and long settlement transactions
- Measurement of E for pre-settlement Counterparty Exposures arising from SFTs
- Exceptions to the measurement of E
- PRU 4.10 Categorisation of Credit Risk Exposures (CR Exposures)
- PRU 4.11 Credit Quality Grade and External Credit Assessments
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PRU 4.12 Risk weights
- PRU 4.12.1
- Cash items
- Central government and Central Bank asset class
- Public sector enterprises (PSE) asset class
- Multilateral development bank (MDB) asset class
- Bank asset class
- Corporate asset class
- Regulatory retail asset class
- Residential mortgage asset class
- Commercial real estate asset class
- Exposures associated with particularly high risks
- Other Exposures asset class
- Past due Exposures
- Risk weights for past due Exposures
- PRU 4.13 Credit Risk mitigation
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PRU 4.14 Securitisation
- Application
- Interpretation
- Systems and controls for the use of securitisations
- Calculation of Credit RWA arising from securitisations
- Deductions
- Implicit Support
- Requirements in order for a Traditional Securitisation to be excluded from the calculation of RWA
- Requirements in order for a Synthetic Securitisation to be excluded from the calculation of RWA
- Operational requirements for use of external credit assessments
- Calculation of RWA amounts for securitisation Exposures
- Assigning risk weights
- Exceptions to deduction of unrated securitisation Exposures
- Most senior Exposure in a securitisation
- Exposures that are in a second loss position or better of an ABCP
- Eligible liquidity positions
- Overlapping Exposures
- Credit Risk mitigation
- Capital Requirements for securitisations with Early Amortisation provisions
- Calculation of Credit RWA amounts for securitisation positions subject to Early Amortisation clause
- Non-Controlled Early Amortisation
- Transfers to Special Purpose Entities (SPEs)
- Dealing
- Recognition of eligible financial Collateral under FCSA Approach
- PRU 4.15 Concentration Risk