Entire Section

  • Recognition of Eligible Financial Collateral for Securitisation (SE) Exposures

    • PIB 4.9.8

      An Authorised Firm that has taken eligible financial Collateral for an SE Exposure may recognise the effect of such Collateral in accordance with Rules PIB 4.9.9 to PIB 4.9.11.

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

    • PIB 4.9.9

      An Authorised Firm calculating RWAs for SE Exposures must use either the FCSA or the FCCA approaches to recognise the effect of eligible financial Collateral. An Authorised Firm must apply the chosen approach consistently to the 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 4.9.10

      An Authorised Firm using the FCSA approach for an SE Exposure may recognise the effect of eligible financial Collateral in accordance with PIB section 4.13 and PIB Rule 4.14.70.

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

    • PIB 4.9.11

      An Authorised Firm using the FCCA approach for an SE Exposure must calculate E*, the SE Exposure adjusted for eligible financial Collateral, in accordance with Rules in PIB section A4.3 of PIB App4 and substitute E* for E when calculating the RWA for SE Exposure under PIB section 4.8.

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