PRU A4.6.10

For a free delivery transaction an Authorised Person must determine its exposure E after the end of the first contractual payment or delivery date as follows:

(a) if an Authorised Person has delivered Securities or Commodities or foreign exchange funds to a Counterparty and has not received payment:

E = CV due to the Authorised Person

(b) if an Authorised Person has made payment of CV to a Counterparty for commodities or Securities and has not received them:

E = CV – MV of the Securities, commodities or foreign exchange funds due to it