PRU 4.14.70

An Authorised Person 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 Person 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.