Add - On For Commodity Derivatives
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.
PRU A4.6.56
The Authorised Person must determine the add-on for all commodity derivatives of commodity type k in accordance with the following formula:
PRU A4.6.57
The Authorised Person must determine the add-on for its commodity hedging set in accordance with the following formula:
where ρj (com) is the appropriate correlation factor, determined in accordance with the table in A4.6.34, for the hedging set j.
PRU A4.6.58
The Authorised Person must determine the add-on for its commodity asset class in accordance with the following formula:
