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PIB A4.3.6 Guidance

Where the residual maturity of the Collateral is shorter than the residual maturity of the Exposure, the Authorised Firm must substitute PA calculated in accordance with Rules PIB 4.13.14 to PIB 4.13.16 for C(1 − HC − HFX).

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]