PRU A4.8 PRU A4.8 Credit RWA — other Trading Book transactions
PRU A4.8.1 PRU A4.8.1
Examples include Counterparty Exposures in relation to exchange-traded Derivatives, unpaid margin requirements, Trading Book qualifying Deposits, and fees and interest.
Where a Counterparty has not fully paid a margin requirement on a Derivative transaction listed on an exchange or cleared through a clearing house: E = the shortfall.
Where an Authorised Person sells or writes an Option to a Counterparty or buys an Option on behalf of a Counterparty and the Counterparty has not paid the full Option premium: E = the uncovered premium on the transaction.
Where a Counterparty has not fully met amounts owed to an Authorised Person arising out of losses on closed-out Derivative transactions or has not fully settled amounts owed in respect of periodic or final settlement of transactions: E = the unpaid loss.