Document ID: chunk:federal_register_of_legislation:F2023L01599:front:0:p4
Version: federal_register_of_legislation:F2023L01599
Segment Type: other
Provision Reference: 
Character Range: 8489–11359

more than the lesser of (i) the market standard for the particular instrument, and (ii) five business days after the date on which the parties enter into the transaction;
(o)          margin period of risk (MPOR) — is an estimated time period from the last exchange of collateral covering a netting set of transactions with a defaulting counterparty until the counterparty is closed out and the resulting market risk is re-hedged. For the purposes of measuring counterparty credit risk exposures using SA-CCR, MPOR must satisfy the conditions of the minimum holding period specified in paragraphs 30 and 31 of Attachment G of APS 112. MPOR must be measured in years;
(p)          net independent collateral amount (NICA) — is the amount of collateral that an ADI may use to offset its exposure on the default of the counterparty. NICA is equal to any ICA (segregated or unsegregated) received by the ADI less the unsegregated ICA posted by the ADI. NICA does not include any collateral an ADI has posted to a segregated, bankruptcy-remote account that would be returned to the ADI upon the bankruptcy of the counterparty;
(q)          netting — is the process under a netting agreement of combining all relevant outstanding transactions between two counterparties and reducing them to a single net sum for a party to either pay or receive;
(r)           netting by novation — is a netting agreement between two counterparties under which any obligation between the parties to deliver a given currency (or equity, debt instrument or commodity) on a given date is automatically amalgamated with all other obligations under the netting agreement for the same currency (or other instrument or commodity) and value date. The result is to legally substitute a single net amount for the previous gross obligations;
(s)           netting set — is a group of transactions with a single counterparty that is subject to an eligible bilateral netting agreement under this Prudential Standard. If a transaction with a counterparty is not subject to an eligible bilateral netting agreement, it comprises its own netting set;
(t)            offsetting transaction — is the transaction leg between the clearing member and the CCP when the clearing member acts on behalf of a client (e.g. when a clearing member clears or novates a client's trade);
(u)          over-collateralisation — is when the haircut value of collateral held is greater than the net market value of the derivative contracts covered by the collateral. Conversely, under-collateralisation occurs when the haircut value of collateral held is less than the net market value of the derivative contracts;
(v)          over-the-counter (OTC) derivative transaction — is a customised, privately negotiated, risk-shifting agreement, the value of which is derived from the value of an underlying asset;
(w)        qualifying