• Measurement of E for Counterparty Exposures arising from OTC Derivative transactions and long settlement transactions

    • PRU 4.9.12

      For each OTC Derivative transaction or long settlement transaction which is not covered by a qualifying cross-product Netting agreement, an Authorised Person should calculate E for the pre-settlement Counterparty Exposure arising from that OTC Derivative transaction or long settlement transaction using the method set out in Sections A4.6 to A4.8.