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SFT Hair Cut Computation Rule not Processing the REPO Contracts (Doc ID 2900277.1)

Last updated on OCTOBER 08, 2022

Applies to:

Oracle Financial Services Basel Regulatory Capital Basic - Version 8.0.0 and later
Information in this document applies to any platform.


Issue with the computation for SFT exposure where the FX haircut is applied for only reverse Repo and not for Repo contracts as per the rule - RLSFT033. The Haircut formula seems to be incorrect as it takes net exposure and then computes the FX haircut.


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