PIB A4.9.2

An Authorised Firm may attribute an Exposure value of zero, for purposes of calculating the CRCOM to Derivative contracts and deferred settlement transactions, or to other Exposures arising in respect of those contracts or transactions (excluding an Exposure arising from Collateral held with CCPs as part of its default fund) where such Exposures are outstanding with a CCP and have not been rejected by the CCP.

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