PRU A4.3.8

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

(a) the approach according to the following formula:

add-on = ∑(𝐸𝑆 . 𝐻𝑆 ) + ∑(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 Person has received approval from the Regulator as referred to in Rule A4.3.5.