The proposal (CP1/19) is to “clarify” some aspects of Supervisory Statement 17/13, which relates to provisions of the CRR regarding the eligibility of financial collateral when calculating risk-weighted exposure amounts. CRR Article 207(2) disregards collateral provided by a debtor under a non-recourse financing where the debtor’s solvency is materially dependent (has “a material positive correlation”) on the value of those assets. The PRA says some firms have been interpreting this in ways that would appear to have been a little too imaginative for its liking.