PRU A4.6.24

RC for margined transactions is calculated in accordance with the following formula:

RC = max{V – C; TH + MTA – NICA; 0}


V = the value of the derivative transactions in the netting set (constituted in accordance with Rule A4.6.18);

C = the haircut value of the net collateral held, calculated in accordance with Section A4.3;

TH = the positive threshold before the counterparty is required to send the Authorised Person collateral;

MTA = the minimum transfer amount applicable to the counterparty;

NICA = the net independent collateral amount.