+Article 275 3.
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Article 275 3.
Institutions shall calculate the replacement cost for multiple netting sets that are subject to the same margin agreement in accordance with the following formula:
where:
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RC
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=
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the replacement cost;
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i
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=
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the index that denotes the netting sets that are subject to the single margin agreement;
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CMVi
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=
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the CMV of netting set i;
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VMMA
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=
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the sum of the volatility-adjusted value of collateral received or posted, as applicable, to multiple netting sets on a regular basis to mitigate changes in their CMV; and
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NICAMA
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=
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the sum of the volatility-adjusted value of collateral received or posted, as applicable, to multiple netting sets other than VMMA.
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For the purposes of the first subparagraph, NICAMA may be calculated at trade level, at netting set level or at the level of all the netting sets to which the margin agreement applies depending on the level at which the margin agreement applies.
1. Prezentare generală
1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
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