Versions

 

PIB 4.9.15

An Authorised Firm must determine E, for a pre-settlement CounterpartyExposure arising from an SFT which is not covered by a qualifying cross-product Netting agreement as follows:

(a) in the case where the Authorised Firm has lent Securities to a Counterparty or sold Securities to a Counterparty with a commitment to repurchase those Securities at a specified price on a specified future date, the latest fair value of the Securities lent or sold; and
(b) in the case where the Authorised Firm has lent cash to a Counterparty through the borrowing of Securities from the Counterparty or paid cash for the purchase of Securities from a Counterparty with a commitment to resell those Securities at a specified price on a specified future date, the amount of cash lent or paid.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]