PRU 4.9.12
Past version: effective from 21/10/2015 - 20/10/2015
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For each OTC Derivative transaction or long settlement transaction which is not covered by a qualifying cross-product Netting agreement, an Authorised Person should calculate E for the pre-settlement Counterparty Exposure arising from that OTC Derivative transaction or long settlement transaction using the method set out in Sections A4.6 to A4.8.