PRU A4.6.27

Past version: effective from 26/02/2020 - 25/02/2020
To view other versions open the versions tab on the right

The multiplier input is calculated in accordance with the following formula:

PRU_Ver06_A4_6_27.PNG

where:

exp(…) = the exponential function;

Floor = 5%;

V = the value of the derivative transactions in the netting set; and

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