Entire Section

  • PIB 4.9.21 PIB 4.9.21

    An Authorised Firm may attribute a value of zero to E for:

    (a) any pre-settlement Counterparty Exposure arising from any Derivative transaction or SFT outstanding with a CCPe and which has not been rejected by that CCP, provided that the Exposure is fully Collateralised on a daily basis;
    (b) any Credit Risk Exposure arising from any Derivative transaction, SFT or spot transaction which an Authorised Firm has outstanding with a CCP for which the latter acts as a custodian on the Authorised Firm's behalf, provided that the Exposure is fully Collateralised on a daily basis;
    (c) any pre-settlement Counterparty Exposure arising from any Credit Derivative which an Authorised Firm may recognise as eligible credit protection for a Non-Trading Book Exposure or another CCR Exposure; and
    (d) any pre-settlement Counterparty Exposure arising from any sold credit default swap in the Non-Trading Book, where the credit default swap is treated as credit protection sold by the Authorised Firm.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.9.21 Guidance

      Credit Risk (CR) Exposures outstanding with a CCP would, for example, include credit Exposures arising from monies placed and from Collateral posted, with the Counterparty.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]