Time Risk Horizons – Unmargined Transactions
PRU A4.6.32 PRU A4.6.32
The Authorised Person must calculate the maturity factor (MFi) of unmargined transactions in accordance with the following formula:
where Mi is the remaining maturity of the transaction, floored at ten business days.
The formula requires that the minimum time risk horizon for unmargined transactions is the lesser of one year and the remaining maturity of the derivative contract, floored at ten business days.