BANK 4.6.40 Calculating capital charges — controlled early amortisation

A banking business firm that is an originator or sponsor of a securitisation involving revolving exposures that has a controlled early amortisation provision must calculate a capital charge for the investors' interest (that is, against both drawn and undrawn balances related to the securitised exposures). The capital charge is the product of:

(a) the investors' interest;
(b) the appropriate credit conversion factor in accordance with table 4.6.42, depending on whether the securitised exposures are uncommitted retail credit lines or not; and
(c) the risk weight for the kind of underlying exposures (as if those exposures had not been securitised).
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).