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