Entire Section

  • 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 Firm which has taken eligible financial Collateral for any transaction other than an equity Exposure, an SE Exposure, an OTC Derivative transaction, long settlement transaction or SFT may recognise the effect of such Collateral in accordance with Rules PIB 4.9.6 and PIB 4.9.7.
      (2) An Authorised Firm must 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 Collateral Comprehensive Approach (FCCA) which adopts the treatment under PIB Rule 4.13.6;
      to recognise the effect of eligible financial Collateral.
      (3) An Authorised Firm must apply the chosen approach consistently to its entire Non-Trading Book and must not use a combination of both approaches.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.9.6

      An Authorised Firm using the FCSA may recognise the effect of eligible financial Collateral in accordance with the Rules in PIB section 4.13.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.9.7

      An Authorised Firm using the FCCA may calculate the CR Exposure adjusted for eligible financial Collateral (referred to in PIB as "E*"), in accordance with Rules in PIB section A4.3 of PIB App4 and substitute E* for E when calculating the Credit Risk-weighted Exposure amount for that CR Exposure under PIB section 4.8.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]