PRU A4.3.8

Past version: effective from 21/10/2015 - 20/10/2015
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An Authorised Person must calculate the add-on using one of the following approaches:

(a) the approach according to the following formula:


ES = absolute value of the net position in a given Security;

HS = haircut appropriate to ES

EFX = absolute value of the net position in a currency different from the settlement currency; and

HFX = haircut appropriate for currency mismatch between the Collateral and Exposure;

(b) the approach using VaR models, provided the Authorised Person has received approval from the Regulator as referred to in Rule A4.3.5.