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PIB A4.3.20

An Authorised Firm using own-estimate haircuts must estimate the volatility for each individual instrument that is taken as eligible financial Collateral. In estimating such volatility, the Authorised Firm must not take into account the correlations between unsecured Exposures, Collateral and exchange rates. Where there are maturity mismatches, the Authorised Firm must apply Rules PIB 4.13.14 to PIB 4.13.16.

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]