An Authorised Firm may calculate HE, HC, HS and HFX using own-estimate haircuts in accordance with Rules
[PIB A4.3.17] to [PIB A4.3.23] if it has received approval from the DFSA to use the internal models approach for calculating the Market Risk Capital Requirement. If the Authorised Firm chooses to use own-estimate haircuts, it must do so consistently for determining haircuts for all eligible financial Collateral and all portfolios, except that it may, with the approval of the DFSA, use the standard supervisory haircuts in Rules [PIB A4.3.13] to [PIB A4.3.16] for any portfolio which is immaterial in size and risk profile.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]