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PIB A4.3.11

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]