Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p28
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 28/35)
Character Range: 99022–101948

as:
where:
VNS = the current net mark-to-market value of all derivative transactions within the netting set NS; and
CMA = the net haircut value of all currently available collateral (including both NICA and VM) under the margin agreement; and
(b)          calculating the PFE for the margin agreement (PFEMA), by taking the sum of all the netting set-level PFE factors. The PFE add-on factor for each netting set under the margin agreement must be calculated according to the methodology for unmargined transactions.

Treatment of eligible collateral taken outside of netting sets
53.         Where eligible collateral is taken outside a netting set but is available to offset default losses from transactions subject to SA-CCR, an ADI must calculate the EAD as follows:
(a)          where eligible collateral is available to offset losses on one netting set only, the eligible collateral must be treated as an independent collateral amount associated with that netting set; and
(b)          where eligible collateral is available to offset losses on more than one netting set, the eligible collateral must be treated as collateral taken under a single margin agreement applying to multiple netting sets (refer to paragraph 52 of this Attachment).
    Where eligible collateral is available to offset losses on transactions subject to both SA-CCR and non SA-CCR exposures, the eligible collateral amount in 53(a) and 53(b) of this Attachment must only include the portion of eligible collateral assigned to the transactions subject to SA-CCR.

Attachment E — The adjusted current exposure method (adjusted CEM)
     1. This Attachment applies only to a standardised ADI.
     2. For the purpose of calculating counterparty credit risk requirements under the  adjusted CEM, an ADI must calculate the CEA of its market-related contracts. Where the transaction is secured by eligible collateral or there is an eligible guarantee, credit derivatives or netting arrangement in place, the CRM techniques set out in Attachments G, H, I and J of APS 112 may be used to reduce the amount of the exposure. An ADI must calculate CEA in the following manner:
(a)          for market-related transactions that are not covered by an eligible bilateral netting agreement as set out in Attachment H of APS 112, the ADI must calculate the CEA as:
       for margined[44] transactions:
for unmargined transactions:
where:
       CCE = the current credit exposure, calculated as sum of the positive mark-to-market value (or replacement cost) of these transactions; and
       PFCE = the potential future credit exposure of these transactions determined in accordance with paragraphs 3 to 11 of this Attachment.
(b)          for OTC derivative transactions covered by an eligible bilateral netting agreement that satisfies the requirements in Attachment H of APS 112 for netting, an ADI must calculate the CEA of transactions subject to a netting