PRU A4.6 Credit RWA — Unsettled Transactions, free deliveries and OTC Derivatives
- Guidance
- PRU A4.6.1
- PRU A4.6.2
- PRU A4.6.3
- PRU A4.6.4
- Unsettled Transactions
- Free delivery transactions
- Derivatives and long settlement transactions – Standardised Approach to Counterparty Credit Risk (SA-CCR)
- Netting Sets
- Calculation of RC for unmargined transactions
- Net Independent Collateral Amount
- Calculation Of RC For Margined Transactions
- Potential Future Exposure
- General Steps For Calculating The Add-On
- Formulae And Parameters Common To All Asset Classes
- Supervisory Delta Adjustment: δi
- Time Risk Horizons – Unmargined Transactions
- Time Risk Horizons – Margined Transactions
- Supervisory factors, correlation and supervisory option volatilities
- Trade Level Adjusted Notional – Interest Rate (di (IR)) And Credit Derivatives (di (Credit))
- Add - On For Interest Rate Derivatives
- Add - On For Credit Derivatives
- Trade Level Adjusted Notional – Foreign Exchange Derivatives
- Add - On For Foreign Exchange Derivatives
- Trade Level Adjusted Notional – Equity And Commodity Derivatives
- Add - On For Equity Derivatives
- Add - On For Commodity Derivatives