• A4.6.55 PRU A4.6.55

    The Authorised Person must determine the effective notional value of a commodity derivative transaction in a commodity of a particular type listed in A4.6.34 in accordance with the following formula:

    where i εTypek j refers to trades of commodity type k in hedging set j.

    • Guidance

      The effective notional for each commodity derivative, calculated in accordance with the above formula, is the sum of the trade-level adjusted notional amounts multiplied by the supervisory delta adjustments and the maturity factor.