Entire Section
Measurement of E for Counterparty Exposures Arising from OTC Derivative Transactions and Long Settlement Transactions
PIB 4.9.12
For each OTC
Derivative transaction or long settlement transaction which is not covered by a qualifying cross-productNetting agreement, anAuthorised Firm should calculate E for the pre-settlementCounterparty Exposure arising from that OTCDerivative transaction or long settlement transaction using the method set out in sections PIB A4.6 to PIB A4.8.Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]