BANK 4.5.25 Collateral and guarantees in netting
(1) A banking business firm may take collateral and guarantees into account in calculating the risk-weight to be applied to the net sum under a netting agreement.
(2) The firm may assign a risk-weight based on collateral or a guarantee only if:
(a) the collateral or guarantee has been accepted or is otherwise subject to an enforceable agreement; and
(b) the collateral or guarantee is available for all the individual transactions that make up the net sum of exposures calculated.
(3) The firm must ensure that provisions for applying collateral or guarantees to netted exposures under a netting agreement comply with the requirements for eligible financial collateral and guarantees in these rules.
|Derived from QFCRA RM/2014-2 (as from 1st January 2015).|