PRU A4.6.19

An unmargined transaction is a transaction in which variation margin is not exchanged. Collateral other than variation margin may be present.

PRU A4.6.20

RC for unmargined transactions is calculated in accordance with the following formula:

RC = max{V – C; 0}

where:

V = the value of the derivative transactions in the netting set (constituted in accordance with Rule A4.6.18); and

C = the haircut value of the net collateral held, calculated in accordance with Section A4.3.

PRU A4.6.21

Derivative contracts with a one-way margining agreement in favour of the Authorised Person's counterparty must be treated as unmargined transactions.