• Add - On For Equity Derivatives

    • A4.6.52 PRU A4.6.52

      The Authorised Person must determine the effective notional value of an equity derivative transaction referenced to an entity in accordance with the following formula:

      • Guidance

        The effective notional for each entity, calculated in accordance with the above formula, is the sum of the trade-level adjusted notional amounts multiplied by the supervisory delta adjustments and the maturity factor.

    • PRU A4.6.53

      The Authorised Person must calculate the add-on for all positions referencing entity k and its effective notional in accordance with the following formula:

    • PRU A4.6.54

      The Authorised Person must calculate the add-on for the hedging set in accordance with the following formula:

      where ρk (equity) is the appropriate correlation factor corresponding to the entity k, determined in accordance with the table set out in A4.6.34.