OSFI - Net Collateral Amount Wrongly Populated From NICA (Doc ID 3037063.1)

Last updated on JULY 30, 2024

Applies to:

Symptoms

On: OFS_BASEL Version 8.1.2

Two issues with the RC calculation in OOTB tasks -

1. Technical issue:

We see that same 'C' (FSI_CAP_NETTABLE_POOL.N_NET_COLLATERAL_AMOUNT) and 'NICA' (FSI_CAP_NETTABLE_POOL.N_NET_INDEPENDENT_COLL_AMT) are populated from same source attribute FSI_NETTING_AGREEMENT_DETAILS.N_NET_COLLATERAL_AMOUNT in the following T2Ts -
NETTABLE_POOL_OTC_DATA_POP
NETTABLE_POOL_OTC_DATA_POP_OTHERS

As per regulation, C should be populated with Collateral amount post haircut and margin. But in OOTB configuration, it is populated with NICA.

2. Functional query:

OSFI Chapter 7 para 113 states the following -

"For margined trades, the replacement cost is:
RC=max{V−C;TH+MTA−NICA;0}
Where: V and C are defined as in the unmargined formulation, except that C now includes the net variation margin amount, where the amount received by the institution is accounted with a positive sign and the amount posted by the institution is accounted with a negative sign, TH is the positive threshold before the counterparty must send the institution collateral, and MTA is the minimum transfer amount applicable to the counterparty."

Changes

 No Changes

Cause

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