Document ID: chunk:federal_register_of_legislation:F2024L01074:body:0:p14
Version: federal_register_of_legislation:F2024L01074
Segment Type: other
Provision Reference: 
Character Range: 36640–39718

the amount by a scaling factor of 1.1;
        2.           RWA for UL for exposures under the supervisory slotting approach; and
        3.           RWA for UL for aggregate residual value of lease exposures which are risk weighted according to Table 2 of this Attachment.

Risk-weighted assets for corporate, sovereign and financial institution exposures
 1.              Except where the supervisory slotting approach applies to specialised lending exposures, an ADI must calculate RWA for corporate, sovereign and financial institution exposures using assigned estimates of PD, LGD, EAD and M for a given exposure. These estimates must be calculated in accordance with Attachments B and D to this Prudential Standard.
 2.              For non-defaulted corporate, sovereign and financial institution exposures, the calculation of RWA for UL is:
                      Correlation (R) =
       Maturity adjustment (b) =
                      Capital requirement (K) =

    RWA = K × 12.5 × EAD
    If the K calculation results in a negative capital requirement, an ADI must apply a zero capital requirement for that exposure.
 1.              An ADI must set the asset value correlation multiplier (AVCM) equal to 1. However, where the exposure is to a financial institution and either of the below conditions are met, the ADI must set AVCM equal to 1.25:
        1.           where the exposure is to a regulated financial institution that has total assets of greater than or equal to $125 billion. For the purpose of determining total assets, an ADI must use the amounts as reported in the most recent audited financial statements of the financial institution, or where the financial institution forms part of a group, the audited financial statements of the group; or
        2.           where the exposure is to an unregulated financial institution regardless of size.

Firm-size adjustment for small- and medium-sized enterprises
 1.              Where corporate counterparties form part of a group of connected borrowers that has reported consolidated annual revenue of less than $75 million, an ADI may apply an adjustment to the corporate risk-weight function by substituting the following correlation formula for that in paragraph 4 of this Attachment:
    Correlation (R) =
    where:
    S is expressed as total consolidated annual revenue between $7.5 million and $75 million. S has a minimum value of $7.5 million.
 1.              Where revenue data is unavailable, an ADI must apply the following minimum values:
        1.           $45 million where EAD is less than $5 million; and
        2.           $75 million where EAD is greater than or equal to $5 million.

Risk-weighted asset adjustment for income-producing real estate
 1.              For non-defaulted IPRE exposures subject to the FIRB or AIRB approach, the calculation of RWA for UL is:
    RWA = K × 12.5 × EAD × 1.5

Risk-weighted assets for specialised lending exposures subject to the supervisory slotting approach
 1.              For non-defaulted specialised lending exposures subject