• Calculation of RC for unmargined transactions

    • 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}


      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.