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-product Netting agreement, an Authorised Firm should calculate E for the pre-settlement Counterparty Exposure arising from that OTC Derivative 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]