An Authorised Firm which has taken eligible financial Collateral for an SFT that is covered by a qualifying bilateral Netting agreement and using the FCCA, must calculate E* for all its CR Exposures to any single Counterparty covered by the qualifying bilateral Netting agreement, in accordance with Rules
[PIB A4.3.2] to [PIB A4.3.6] in [PIB App4] (if the Authorised Firm is using supervisory haircuts or own-estimate haircuts), and substitute E* for E when calculating the Credit Risk-weighted Exposure amount for its CR Exposures to that Counterparty under [PIB section 4.8].
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]