Calculation of Regulatory Capital for coCalculation of Regulatory Capital for collateralised transactions

Calculation of Regulatory Capital for collateralised transactions

1. For a collateralised transaction under the comprehensive approach, including SFTs, an ADI must adjust EAD as follows:

Start formula A formula for E*, the adjusted EAD, for a collateralised transaction under the comprehensive approach, including SFTs end formula.

where:

E* is the adjusted EAD

E’ is A formula for E', an element in the formula for E*, the adjusted EAD, for a collateralised transaction under the comprehensive approach, including SFTs. where Ej is the EAD of the j-th item of exposure or posted collateral under the transaction, prior to haircuts or adjustment for received collateral. For OTC derivatives to which the ADI applies the adjusted CEM (refer to Attachment E to APS 180), E’ is the credit equivalent amount of the OTC derivative without adjustment for the impact of collateral

Hj is the haircut appropriate to the j-th item of exposure or posted collateral under the transaction, calculated in accordance with paragraph 28 of this Attachment

Ci is the current value of the i-th item of received collateral under the transaction, adjusted for any maturity mismatch in accordance with paragraphs 24 to 27 of this Attachment

Hi is the haircut appropriate to the i-th item of received collateral under the transaction, calculated in accordance with paragraph 28 of this Attachment

Hfx,i is the haircut appropriate for currency mismatch between the exposure and the i-th item of received collateral under the transaction, calculated in accordance with paragraph 29 of this Attachment

A is the margining frequency adjustment factor determined in accordance with paragraph 32 of this Attachment.