An Authorised Firm may apply a value of zero to HE, HC and HS in the case of a qualifying SFT with a core market participant. This approach is not available to an Authorised Firm using VaR models in accordance with
[PIB section A4.5] to calculate E*.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]