• PRU A4.6.29 PRU A4.6.29

    The Authorised Person must determine the add-on for each asset class in accordance with the asset-class-specific formulae set out in A4.6.35A4.6.58.

    • Guidance

      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.).