Entire Section

  • PIB 4.14.70 PIB 4.14.70

    An Authorised Firm which has taken eligible financial Collateral for an SE Exposure and is using the FCSA may recognise the effect of the eligible financial Collateral as follows:

    (a) break down the SE Exposure into:
    (i) a collateralised portion with E equal to the latest fair market value of the eligible financial Collateral; and
    (ii) an uncollateralised portion whose Exposure value equals the E of the SE Exposure less the latest fair market value of the eligible financial Collateral; and
    (b) apply the CRW that is applicable to the eligible financial Collateral to the collateralised portion calculated in accordance with (a)(i) to calculate the Credit RWA amount of the collateralised portion as though the Authorised Firm had a direct Exposure to the eligible financial Collateral; and
    (c) either:
    (i) apply the CRW that is applicable to the SE Exposure to the uncollateralised portion calculated in accordance with (a)(ii) to calculate the Credit RWA amount of the uncollateralised portion; or
    (ii) include the uncollateralised portion as a deduction from CET1 Capital.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.14.70 Guidance

      Collateral in the context of a SE Exposure refers to assets used to hedge the Credit Risk of a securitisation Exposure rather than the underlying Exposures of the securitisation, including Collateral pledged by an SPE.

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