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.