PRU A4.6.27

Past version: effective from 26/02/2020 - 25/02/2020
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The multiplier input is calculated in accordance with the following formula:



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.