PIB A4.3.8
An
(a) the approach according to the following formula:
or
add on = Σ ((ES )(HS )) + Σ ((EFX )(HFX ))
where:
ES = absolute value of the net position in a givenSecurity ;
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 theCollateral and Exposure ;
ES = absolute value of the net position in a given
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
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]