PIB A4.3.17(1) An
Authorised Firmmust apply for approval from the DFSAif it intends to use own-estimate haircuts.(2) An Authorised Firmmust not use own-estimate haircuts unless it has received approval to adopt the internal models approach to calculate the Market Risk Capital Requirement.(3) The DFSAmay grant approval for an Authorised Firmto use own-estimate haircuts subject to such conditions or restrictions as the DFSAmay impose.
Authorised Firmbecomes aware after it has received approval to use own-estimate haircuts that it no longer complies with any of the requirements in Rules PIB A4.3.17 to PIB A4.3.23 or any of the conditions or restrictions imposed by the DFSApursuant to PIB Rule A4.3.17 or no longer meets the Rules, it must(a) inform the DFSAas soon as practicable;(b) assess the effect of the situation in terms of the risk posed to the Authorised Firm;(c) prepare a plan to rectify the situation and inform the DFSAof its plan as soon as practicable; and(d) undertake prompt corrective action within a reasonable time in accordance with the plan prepared pursuant to (c).
Authorised Firmfails to comply with PIB Rule A4.3.18, the DFSAmay revoke its approval for the Authorised Firmto use own-estimate haircuts. The Authorised Firmmay also be required to revise its estimates for the purpose of calculating regulatory Capital Requirementsif its estimates of E*, does not adequately reflect its Exposureto Counterparty Credit Risk.