2016R2251_EN.IIII

ANNEX IV - Standardised Method for the calculation of initial margin for the purposes of Articles 9 and 11

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Article III – Own volatility estimates of the haircuts to be applied to the market value of collateral for the purposes of Article 22 ⬅️ | ➡️ Retour au sommaire

1.

The notional amounts or underlying values, as applicable, of the |OTC derivative contracts in a netting set shall be multiplied by the percentages in the following Table 1:

Table 1

Category

Add-on factor

Credit: 0-2 year residual maturity

2 %

Credit: 2-5 year residual maturity

5 %

Credit: 5+ year residual maturity

10 %

Commodity

15 %

Equity

15 %

Foreign exchange

6 %

Interest rate and inflation: 0-2 year residual maturity

1 %

Interest rate and inflation: 2-5 year residual maturity

2 %

Interest rate and inflation: 5+ year residual maturity

4 %

Other

15 %

2.

The gross initial margin of a netting set shall be calculated as the sum of the products referred to in paragraph 1 for all OTC derivative contracts in the netting set.

3.

The following treatment shall be applied to contracts which fall within more than one category:

(a)

where a relevant risk factor for an OTC derivative contract can be clearly identified, contracts shall be assigned to the category corresponding to that risk factor;

(b)

where the condition referred to in point (a) is not met, contracts shall be assigned to the category with the highest add-on factor among the relevant categories;

(c)

the initial margin requirements for a netting set shall be calculated in accordance with the following formula:

Net initial margin = 0,4 * Gross initial margin + 0,6 * NGR * Gross initial margin.

where:

(i)

net initial margin refers to the reduced figure for initial margin requirements for all OTC derivative contracts with a given counterparty included in a netting set;

(ii)

NGR refers to the net-to-gross ratio calculated as the quotient of the net replacement cost of a netting set with a given counterparty in the numerator, and the gross replacement cost of that netting set in the denominator;

(d)

for the purposes of point (c), the net replacement cost of a netting set shall be the bigger between zero and the sum of current market values of all OTC derivative contracts in the netting set;

(e)

for the purposes of point (c), the gross replacement cost of a netting set shall be the sum of the current market values of all OTC derivative contracts calculated in accordance with 2012 and Articles 16 and 17 of Delegated Regulation (EU) No 149/2013 with positive values in the netting set;

(f)

the notional amount referred to in paragraph 1 may be calculated by netting the notional amounts of contracts that are of opposite direction and are otherwise identical in all contractual features except their notional amounts.# Table 1 in anx_I

Credit Quality Step	Probability of default, as defined in Article 4(54) of Regulation (EU) 575/2013 lower than or equal to:
1	0,10 %
2	0,25 %
3	1 %
4	7,5 %

Table 1 in anx_II

C	=	the market value of the collateral;

Table 2 in anx_II

HC	=	the haircut appropriate to the collateral, as calculated under paragraph 2;

Table 3 in anx_II

HFX	=	the haircut appropriate to currency mismatch, as calculated under paragraph 6.

Table 4 in anx_II

Credit quality step with which the credit assessment of the debt security is associated	Residual maturity	Haircuts for debt securities issued by entities described in Article 4 (1) (c) to (e) and (h) to (k), in (%)	Haircuts for debt securities issued by entities described in Article 4 (1) (f), (g), (l) to (n) in (%)	Haircuts for securitisation positions meeting the criteria in Article 4 (1) (o) in (%)
1	≤ 1 year	0,5	1	2
> 1 ≤ 5 years	2	4	8
> 5 years	4	8	16
2-3	≤ 1 year	1	2	4
> 1 ≤ 5 years	3	6	12
> 5 years	6	12	24
4 or below	≤ 1 year	15	N/A	N/A
> 1 ≤ 5 years	15	N/A	N/A
> 5 years	15	N/A	N/A

Table 5 in anx_II

Credit quality step with which the credit assessment of a short term debt security is associated	Haircuts for debt securities issued by entities described in Article 4(1) (c) and (j) in (%)	Haircuts for debt securities issued by entities described in Article 4(1) (m) in (%)	Haircuts for securitisation positions and meeting the criteria in Article 4(1) (o) in (%)
1	0,5	1	2
2-3 or below	1	2	4

Table 1 in anx_III

H	=	the haircut to be applied;

Table 2 in anx_III

HM	=	the haircut where there is daily revaluation;

Table 3 in anx_III

NR	=	the actual number of business days between revaluations;

Table 4 in anx_III

TM	=	the liquidation period for the type of transaction in question;

Table 5 in anx_III

C	=	the market value of the collateral;

Table 6 in anx_III

H	=	the haircut as calculated in point (c) above.

Table 1 in anx_IV

Category	Add-on factor
Credit: 0-2 year residual maturity	2 %
Credit: 2-5 year residual maturity	5 %
Credit: 5+ year residual maturity	10 %
Commodity	15 %
Equity	15 %
Foreign exchange	6 %
Interest rate and inflation: 0-2 year residual maturity	1 %
Interest rate and inflation: 2-5 year residual maturity	2 %
Interest rate and inflation: 5+ year residual maturity	4 %
Other	15 %