PRU A4.6.20

Past version: effective from 21/10/2015 - 20/10/2015
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RC for unmargined transactions is calculated in accordance with the following formula:

RC = max{V – C; 0}

where:

V = the value of the derivative transactions in the netting set (constituted in accordance with Rule A4.6.18); and

C = the haircut value of the net collateral held, calculated in accordance with Section A4.3.