CA-15.3.29
The minimum time risk horizons include:
a) The lesser of one year and remaining maturity of the derivative contract for unmargined transactions, floored at ten business days. Therefore, the adjusted notional at the trade level of an unmargined transaction must be multiplied by:
where Mi is the transaction i remaining maturity floored by 10 business days
where Mi is the transaction i remaining maturity floored by 10 business days
b) For margined transactions, the minimum margin period of risk is determined as follows:
— At least ten business days for non-centrally-cleared derivative transactions subject to daily margin agreements.
— Five business days for centrally cleared derivative transactions subject to daily margin agreements that clearing members have with their clients.
— 20 business days for netting sets consisting of 5,000 transactions that are not with a central counterparty.
— Doubling the margin period of risk for netting sets with outstanding disputes. Therefore, the adjusted notional at the trade level of a margined transaction should be multiplied by:
where i MPOR is the margin period of risk appropriate for the margin agreement containing the transaction i.
where i MPOR is the margin period of risk appropriate for the margin agreement containing the transaction i.
Added: October 2018