• PRU A4.3.5 PRU A4.3.5

    (1) As an alternative to the use of standard supervisory haircuts or own-estimate haircuts, an Authorised Person may, subject to the Regulator's approval, use VaR models to reflect the price volatility of the Exposure and Collateral for SFTs which are covered by a qualifying bilateral Netting agreement. The requirements relating to the use of this approach are set out in Section A4.5.
    (2) An Authorised Person may seek the Regulator's approval referred to in (1) only if it has already received the Regulator's approval to use the internal models approach for calculating the Market Risk Capital Requirement.

    • Guidance

      Approval for the use of the internal model approach is governed by Section 5.11 of Chapter 5 (Market Risk).