PRU A4.3.27

Subject to A4.3.28, an Authorised Person which has taken eligible financial Collateral for a CR Exposure and is using the FCSA may recognise the effects of CRM 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 Rule 4.8.3, use:
(i) for the collateralised portion, the CRW that is applicable to the eligible financial Collateral as though the Authorised Person had a direct Exposure to that Collateral; and
(ii) for the uncollateralised portion, the CRW that is applicable to the obligor.