PRU A4.6.22

Past version: effective from 21/10/2015 - 20/10/2015
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Where the conditions in in Sections 4.13 are met, an Authorised Person may calculate its net PFCE on OTC Derivative contracts using the following formula:

PFCE reduced = 0.4 × PFCE gross + 0.6 × NGR × PFCE gross where:
(a) "PFCE reduced" is the reduced figure for PFCE for all contracts with a given Counterparty included in the Netting agreement;
(b) "PFCE gross" is the sum of the figures for PFCE for all contracts with a given Counterparty which are included in the Netting agreement; and
(c) "NGR" is the net-to-gross ratio, being the quotient of the net replacement cost for all contracts included in the Netting agreement with a given Counterparty (numerator) and the gross replacement cost for all contracts included in the Netting agreement with that Counterparty (denominator).