• Time Risk Horizons – Margined Transactions

    • PRU A4.6.33

      The Authorised Person must calculate the MFi of margined transactions in accordance with the following formula:

      The appropriate margin period of risk (MPORi) is determined in accordance with the following table:

      Transaction Type Minimum Margin Period of Risk (MPORi)
      Non-centrally-cleared derivative transactions subject to daily margin agreements Ten business days
      Centrally cleared derivative transactions subject to daily margin agreements Five business days
      Netting sets consisting of 5,000 or more transactions that are not with a central counterparty Twenty business days
      Netting sets with outstanding disputes Double the MPORi for the relevant category of transaction