Collateral reduces exposure in SA-CCR, but its recognised value is adjusted before it enters the Replacement Cost calculation. Three checks apply in sequence: Material
Positive Correlation, FX mismatc
Collateral reduces exposure, but not at full face value. A haircut is applied to each collateral item to account for the risk that its value may fall before it can be liquidated. Regulatory tables pro
The liquidation period is the number of days used to scale regulatory haircuts on collateral. It represents how long it would take to close out the trades and liquidate the collateral in a netting set
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