• Net Independent Collateral Amount

    • Guidance

      An Authorised Person may calculate the PFCE arising under OTC Derivative contracts on a net basis.

    • PRU A4.6.22

      The independent collateral amount (ICA) is (i) collateral (other than variation margin) posted by the counterparty that is available to the Authorised Person on default of the counterparty; and/or (ii) the Independent Amount parameter as defined in standard industry documentation.

    • PRU A4.6.23

      The net independent collateral amount (NICA) is any ICA posted by the counterparty less unsegregated collateral posted by the Authorised Person.