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PIB 4.12.25

For the purposes of PIB Rule 4.12.24, an Authorised Firm must calculate the unsecured portion of any CR Exposure that is past due for more than 90 days as follows:

(a) for an Authorised Firm using the FCSA:
Unsecured Portion = E – P – Cf
where:
(i) E = E calculated in accordance with PIB section 4.9;
(ii) P = notional amount of eligible credit protection received; and
(iii) Cf = fair value of eligible financial Collateral received; or
(b) for an Authorised Firm using the FCCA:
Unsecured Portion = E* – P
where —
(i) E* = E* calculated in accordance with PIB section 4.9; and
(ii) P = notional amount of eligible credit protection received.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]