Document ID: chunk:federal_register_of_legislation:F2024L01074:body:0:p15
Version: federal_register_of_legislation:F2024L01074
Segment Type: other
Provision Reference: 
Character Range: 39453–42593

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 to the supervisory slotting approach, an ADI must map its internal rating grades for those exposures to the slotting categories of strong, good, satisfactory and weak by applying the criteria detailed in Attachment G to this Prudential Standard.

 2.          To calculate RWA in respect of UL for non-defaulted specialised lending exposures subject to the supervisory slotting approach, an ADI must multiply EAD, calculated in accordance with Attachment B to this Prudential Standard, by the relevant risk weight in Table 1.

 1.              Risk weights for UL under the supervisory slotting approach
Supervisory category  Strong  Good  Satisfactory  Weak
Risk weight           70%     90%   115%          250%

Risk-weighted assets for retail exposures
 1.          An ADI must calculate RWA for retail exposures using assigned estimates of PD, LGD and EAD for a given exposure, calculated in accordance with Attachments B and D to this Prudential Standard.

Retail residential mortgage exposures
 1.          For non-defaulted retail residential mortgage exposures,  the risk-weight function is:
    Correlation (R) = 0.15
                   Capital requirement (K) =
    This risk-weight function also applies to the unsecured portion of exposures that are partly secured by residential real estate.
 1.          For non-defaulted retail residential mortgage exposures that meet the definition of an owner-occupied, principal-and-interest residential mortgage exposure as detailed in Attachment A to APS 112, the calculation of RWA for UL is:
    RWA = EAD × Max[K × 12.5 × 1.4, 0.05]
 1.          For non-defaulted retail residential mortgage exposures to borrowers that have mortgaged five or more investment properties,[5] the calculation of RWA for UL is:
    RWA = EAD × Max[K × 12.5 × 2.5, 0.05]
 1.          For all other non-defaulted retail residential mortgage exposures, the calculation of RWA for UL is:
    RWA = EAD × Max[K × 12.5 × 1.7, 0.05]

Qualifying revolving retail exposures
 1.          For non-defaulted QRR exposures, the calculation of RWA for UL is:
    Correlation (R) = 0.04
                   Capital requirement (K) =
    Risk-weighted assets (RWA) = K × 12.5 × EAD

Small- and medium-sized enterprise retail exposures
 1.          For non-defaulted SME retail exposures that are fully or partly secured by residential real estate, the calculation of RWA for UL is:
    Correlation (R) = 0.15
                   Capital requirement (K) =
                   Risk-weighted assets (RWA) = K × 12.5 × EAD
    This RWA calculation also applies to the unsecured portion of SME retail exposures that are partly secured by residential real estate.
 1.          For all other non-defaulted SME retail exposures, the calculation of RWA for UL is:
    Correlation (R) =
                   Capital requirement (K) =
    Risk-weighted assets (RWA)