General Steps For Calculating The Add-On
For each transaction, the Authorised Person must identify the primary risk factor or factors and attribute the transaction to one or more of the five asset classes: interest rate, foreign exchange, credit, equity or commodity.
PRU A4.6.29 PRU A4.6.29
Most derivative transactions have one primary risk driver, defined by the reference underlying instrument (e.g. an interest rate curve for an interest rate swap, a reference entity for a credit default swap, a foreign exchange rate for an FX call option etc.).