Netting Agreement Traduction

The default exposure cap (EAD) on the otherwise intact EAD is motivated by the need to ignore exposure above a high threshold that would realistically not be affected by a few small (or non-existent) transactions. However, there is a potential anomaly associated with this cap, especially in the case of margin clearing rates that involve short-term transactions with a remaining duration of 10 business days or less. In this situation, the maturity factor (MF) weighting for a margin set is higher than for a marginless set due to the 3/2 multiplier in CRE52.52. However, this multiplier is cancelled out by the cap. The anomaly would intensify if there were disputes under the margin agreement, i.e. when the margin period or risk (MPOR) would be doubled to 20 days, but again cancelled by limiting it to an unvarnished calculation. Is there this anomaly? Under CRE52.74, the replacement cost (OR) for the entire compensation rate is calculated using the margin of negotiation formula in CRE52.18. The entries in the formula should be interpreted as follows: The RC formula for margin transactions is based on the RC formula for unadjusted transactions. It also uses the concepts used in standard margin agreements, as explained in more detail below. To calculate the aggregated add-on, banks must calculate add-ons for each asset class in the clearing set. The SA-CCR uses the following five asset classes: As set out in CRE52.2, clearing rates that include a unilateral margin agreement in favour of the bank`s counterparty (i.e. the bank`s balance but do not receive a foreign exchange margin) are treated as unre abbreviated for the purposes of the SA-CCR. For such compensation rates, C with a negative sign also includes the amount of the margin of difference that the bank has communicated to the counterparty.

See CRE99 for illustrative examples of the impact of standard margin agreements on SA-CCR formulation. For clearing sets with more than 5000 transactions not made with a CCP, the lower limit for the margin risk period is 20 working days. For credit derivatives for which the bank is the seller of protection and which are outside the netting and margin agreements, the EEAS may be limited to the amount of unpaid premiums. Banks have the option to remove these credit derivatives from their statutory clearing rates and treat them as unabbreviated individual transactions to apply the cap. The effective nominal (D) must be calculated for each derivative (i.e. each individual transaction) in the clearing rate. Effective nominal is a measure of the sensitivity of trading to movements in underlying risk factors (i.e., interest rates, exchange rates, credit spreads, stock prices, and commodity prices). The actual nominal value is calculated as the product of the following parameters (d = d * MF * δ): The netting contract must not contain a clause allowing a non-defaulting counterparty to make only limited or zero payments to the estate of the defaulting party in the event of default of a counterparty, even if the defaulting party is a net creditor.

How should multiple margin agreements be treated in a single netting agreement? For each individual transaction in the clearing set, a monitoring factor (SF) is identified. The supervisory factor is the regulatory-specified change in the value of the underlying risk factor on which the calculation of potential future risk is based, which has been calibrated to take into account the volatility of the underlying risk factors. Where a single margin agreement applies to multiple clearing rates, as described in CRE52.75 above, collateral is traded on the basis of net market values for all transactions covered by the margin agreement, regardless of the clearing rates. That is, collateral traded on a net basis may not be sufficient to cover the EFP. In this case, the PFE add-on must therefore be calculated according to the intact methodology. THE ITIs at the compensation set level are then aggregated according to the following formula, with the PFE add-on for the NS compensation set calculated based on the intact requirements: The margin risk period (MPORi) is often expressed in days, but the calculation of the maturity factor for margin compensation sets references for 1 year in the denominator. Banks should use standard market conventions to convert working days into years and vice versa. For example, 1 year in the denominator of the MF formula can be converted to 250 business days if the MPOR is expressed in business days. Alternatively, the MPOR expressed in working days can be converted into years by dividing it by 250. For clearing sets that contain one or more transactions containing either an illiquid collateral or an OTC derivative that cannot be easily replaced, the minimum price for the margin risk period is 20 business days.

To this end, “illiquid collateral” and “OTC derivatives that cannot be easily replaced” must be determined in the context of tight market conditions and are characterized by the absence of permanently active markets where a counterparty would receive multiple price quotes in two or a few days that would not move the market or represent a price representing a market discount (in the case of a guarantee) or a premium (in the case of otc Derivatives). Examples of situations where transactions are considered illiquid for this purpose include, but are not limited to, transactions that are not marked on a daily basis and transactions that are subject to special accounting treatment for valuation purposes (for example. B transactions in OTC derivatives in securities whose fair value is determined by models whose inputs are not observed in the market). How should a bank calculate potential future risk (ITP) in the event that a single margin agreement applies to multiple clearing rates? The multiplier is then calculated by compensation rate in accordance with CRE52.23, taking into account the allocated amount of the guarantee. Forward rate agreement for a period starting in 6 months and ending in 12 months According to CRE52.76, the aggregate supplement is calculated using the unforgivable method for each mark-up established under the margin agreement. For the calculation of the EFP multiplier (CRE52,23) of each individual clearing set covered by a single margin agreement or a single guarantee amount, the available guarantee C (which, in the case of a variation margin agreement, includes the margin of variation recognised or received) shall be allocated to the compensation rates as follows: Step 1: Calculate the effective notional value for each transaction of the clearing rate, which becomes an interest rate derivative in the asset class. . . .