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Obtaining private key/public certificate for SecurID Access

Question asked by Raymond Tang on Oct 3, 2017

I am following the following steps to setup SecurID Access with SSO:

Setup Checklist for a New Deployment with the SSO Agent  

Going down the line, at step 2, I am stuck on creating the private key and public certificate:

Configure Company Information and Certificates 

How does RSA want me to create the private key and public certificate when the server isn't even configured/online yet, which is on step 3.