PRU A4.3.25

Where the assumed minimum holding period is not met or remargining or revaluation conditions are not fulfilled, an Authorised Person must calculate the applicable haircut using the following formula:

H = HM √{[NR + (TM - 1)]/ TM}


where -

"H" refers to the haircut;

"HM" refers to the haircut under the minimum holding period;

"TM" refers to the minimum holding period for the type of transaction or eligible financial Collateral; and

"NR" refers to the actual number of business days between remargining or revaluation, as the case may be.