EBU Single Rulebook Q&A 5 November 2019 2019_4986 Partially collateralised loans: CCF - collateral simple method approach
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European Union · · · 24-09-2021
How is the RWA is calculated for the undrawn amount of a partially collateralised loan? Consider a bank that adopts the Standardised Approach as per the CRR for the calculation of capital regarding credit risk. Exposure categorisation and appropriate risk weights will be assigned according to the CRR. This bank adopts the Financial Collateral Simple Method for credit risk mitigation purposes.
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