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PIB A4.3.27

Subject to PIB A4.3.28, an Authorised Firm which has taken eligible financial Collateral for a CR Exposure and is using the FCSA may recognise the effects of Credit Risk mitigation of the eligible financial Collateral as follows:

(a) break down the Exposure into —
(i) a collateralised portion with E equal to the latest fair value of the eligible financial Collateral; and
(ii) an uncollateralised portion with E equal to the E of the CR Exposure less the latest fair value of the eligible financial Collateral;
and
(b) for the purposes of calculating the Credit RWA amount pursuant to PIB Rule 4.8.3, use:
(i) for the collateralised portion, the CRW that is applicable to the eligible financial Collateral as though the Authorised Firm had a direct Exposure to that Collateral; and
(ii) for the uncollateralised portion, the CRW that is applicable to the obligor.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]