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PIB A4.3.8

An Authorised Firm must calculate the add-on using one of the following approaches:

(a) the approach according to the following formula:
add on = Σ ((ES )(HS )) + Σ ((EFX )(HFX ))
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 Firm has received approval from the DFSA as referred to in PIB Rule A4.3.5.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]