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PIB 4.9.20

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]