BANK 4.6.32 Capital relief from CRM techniques obtained by firm

(1) A banking business firm that has obtained a CRM technique (such as eligible financial collateral, an eligible credit derivative, a guarantee or an eligible netting agreement) applicable to a securitisation exposure may reduce its capital requirement for the exposure.
(2) Collateral pledged by an SPE as part of the securitisation may be used as a CRM technique if it is eligible financial collateral. However, an SPE of a securitisation cannot be an eligible protection provider in the securitisation.

Note For eligible financial collateral see rule 4.5.7. For eligible protection provider, see rule 4.6.35 (2).
(3) In this rule, collateral is used to hedge the credit risk of a securitisation exposure rather than to mitigate the underlying exposures of the securitisation.
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).