(1) Assets (loans) and liabilities (deposits) subject to recognised on-balance sheet
Netting are to be treated as cash Collateral using the formula in PIB A4.3.6, under which an Authorised Firm may use zero haircuts for Exposure and Collateral.
(2) When a currency mismatch exists, an
Authorised Firm must apply the standard supervisory haircut of 8% for currency mismatch.
(3) When a maturity mismatch exists between the off-setting items, an
Authorised Firm must apply the Rules PIB 4.13.14 to PIB 4.13.16 to address the maturity mismatch.
Net credit Exposure, after taking into account recognised Netting, will be subject to the applicable CRW for the Counterparty.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]