Recognition of Eligible Financial Collateral for On-Balance Sheet Assets and Off-Balance Sheet Items Other Than Counterparty Exposures
PIB 4.9.5(1) An
Authorised Firmwhich has taken eligible financial Collateralfor any transaction other than an equity Exposure, an SE Exposure, an OTC Derivativetransaction, long settlement transaction or SFT may recognise the effect of such Collateralin accordance with Rules PIB 4.9.6 and PIB 4.9.7.(2) An Authorised Firmmust use either the:(a) Financial Collateral Simplified Approach(FCSA) which adopts the treatment under PIB Rule 4.13.5 in relation to the composition of financial Collateral; or(b) Financial CollateralComprehensive Approach (FCCA) which adopts the treatment under PIB Rule 4.13.6;to recognise the effect of eligible financial Collateral.(3) An Authorised Firmmust apply the chosen approach consistently to its entire Non-Trading Bookand must not use a combination of both approaches.
Authorised Firmusing the FCSA may recognise the effect of eligible financial Collateralin accordance with the Rulesin PIB section 4.13.
Authorised Firmusing the FCCA may calculate the CR Exposureadjusted for eligible financial Collateral(referred to in PIBas "E*"), in accordance with Rulesin PIB section A4.3 of PIB App4 and substitute E* for E when calculating the Credit Risk-weighted Exposureamount for that CR Exposureunder PIB section 4.8.