Prudential Regulation Authority Rulebook

1.

Institutions shall calculate the risk-weighted exposure amount for their off-balance-sheet items with the potential to be converted into exposures in the form of units or shares in a CIU by multiplying the exposure values of those exposures calculated in accordance with Article 111, with the following risk weight:

1. (a) for all exposures for which institutions use one of the approaches set out in Article 132a:

5. where:
   
   1. RW_i* = the risk weight;
6. 1. i = the index denoting the CIU:
7. 1. RWAE_i = the amount calculated in accordance with Article 132a for a CIU_i;
9. 1. E_i = the exposure value of the exposures of CIU_i;
   2. A_i = the accounting value of assets of CIU_i; and
   3. EQ_i = the accounting value of the equity of CIU_i.
11. (b) for all other exposures, RW_i*=1,250%

[Note: Articles 133 to 151 remain in the CRR]