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  • Trade Level Adjusted Notional – Interest Rate (di (IR)) And Credit Derivatives (di (Credit))

    • PRU A4.6.35

      For interest rate and credit derivatives, the trade-level adjusted notional is the product of the trade notional amount, converted to the domestic currency, and the supervisory duration (SDi):

      Trade-level adjusted notional = Trade notional amount * SDi

    • PRU A4.6.36

      SDi is determined in accordance with the following formula:

      𝑆𝐷𝑖=exp(‐0.05∗𝑆𝑖)−exp(‐0.05∗𝐸𝑖)/0.05

      where 𝑆𝑖 and 𝐸𝑖 are the start and end dates, respectively, of the time period referenced by the interest rate or credit derivative, floored by ten business days.