• Calculation Of RC For Margined Transactions

    • PRU A4.6.24 PRU A4.6.24

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

      RC = max{V – C; TH + MTA – NICA; 0}


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

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

      TH = the positive threshold before the counterparty is required to send the Authorised Person collateral;

      MTA = the minimum transfer amount applicable to the counterparty;

      NICA = the net independent collateral amount.

      • Guidance

        (TH + MTA – NICA) represents the largest exposure that would not trigger a variation margin call. For example, without initial margin, the greatest exposure that would not trigger a variation call is the threshold plus any minimum transfer amount.