Qualified Master Netting Agreement

The definition of master qualifying clearing agreement is revised as follows:§ 329.3 Definitions** * * *Master Qualifying Clearing Agreement means a written agreement, a legally enforceable agreement, provided that, for the purposes of this Subsection, an establishment supervised by the FDIC must meet the requirements of Section 329.4(a) with respect to that Agreement.* * * ***By order of the Board of Directors of the Federal Deposit Insurance Corporation.Datiert: 20 September 2016.Valérie J. When calculating weighted exposure amounts using the internal model approach of the non-framework contract, an entity must use the model value of the previous business day. In the calculation of the „fully adjusted risk value“ (E*) for receivables; which are the subject of an eligible framework contract for repo operations and/or securities or commodity lending or lending operations and/or other capital market-oriented operations, the entity shall calculate the volatility adjustments to be applied in the manner defined in BIPRU programmes 5.6.6 R to PIBRU 5.6.11 R, or by using the prudential volat approach 5.4.30 R to PIBRU 5.4.65 R for the global method of financial guarantee. The use of its own volatility adjustment estimates is subject to the same conditions and requirements as for the global financial guarantee method. The entity shall apply the adjustment of the volatility of foreign exchange risk (fx) to the net positive or negative position in any currency other than the settlement currency of the master clearing contract. to give the non-defaulting party the right to terminate and conclude in a timely manner all transactions provided for under the agreement in the event of default, including bankruptcy or insolvency of the counterparty; and a company can use the internal non-framework contract model approach, regardless of the choice it has made between the standardized approach and the NI approach for calculating weighted exposure amounts. However, where an entity uses the internal models approach of the net framework agreement, it must do so for all counterparties and securities, with the exception of intangible portfolios for which it may use the prudential volatility adjustment approach or the approach of its own volatility adjustment estimates according to the estimates of PIBRU 5.4.30 R to PIBRU 5.4.65 R. of one part of the other. Where an undertaking no longer meets the requirements of PIBRU 5 with regard to the internal model approach of the non-framework contract, the undertaking must immediately inform the competent regulatory authority. The qualified clearing master agreement or the rules applicable to a cleared transaction shall expressly stipulate that counterparties undertake to settle all payment obligations arising from a qualifying master clearing agreement defined in section 2 of the 2013 revised capital rule.net base, taking into account any variation margin received or provided under the contract if a credit event occurs: counterparties are involved….