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PIB 4.9.21

An Authorised Firm may attribute a value of zero to E for:

(a) any pre-settlement CounterpartyExposure arising from any Derivative transaction or SFT outstanding with a CCPe and which has not been rejected by that CCP, provided that the Exposure is fully Collateralised on a daily basis;
(b) any Credit RiskExposure arising from any Derivative transaction, SFT or spot transaction which an Authorised Firm has outstanding with a CCP for which the latter acts as a custodian on the Authorised Firm's behalf, provided that the Exposure is fully Collateralised on a daily basis;
(c) any pre-settlement CounterpartyExposure arising from any Credit Derivative which an Authorised Firm may recognise as eligible credit protection for a Non-Trading BookExposure or another CCR Exposure; and
(d) any pre-settlement CounterpartyExposure arising from any sold credit default swap in the Non-Trading Book, where the credit default swap is treated as credit protection sold by the Authorised Firm.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]