PRU 4.12.25

For the purposes of Rule 4.12.24, an Authorised Person must calculate the unsecured portion of any CR Exposure that is past due for more than 90 days as follows:

(a) for an Authorised Person using the FCSA: Unsecured Portion = E - P - Cf
where:
(i) E = E calculated in accordance with Section 4.9;
(ii) P = notional amount of eligible credit protection received; and
(iii) Cf = fair value of eligible financial Collateral received; or
(b) for an Authorised Person using the FCCA:
Unsecured Portion = E* - P
where:
(i) E* = E* calculated in accordance with Section 4.9; and
(ii) P = notional amount of eligible credit protection received.