For single transactions of a netting group that belong to a collateral agreement, the system determines an attributable amount per collateral agreement. The way in which the attributable amount is determined depends on whether risk determination within the netting group takes place in a risk-adjusted or volume-oriented way.

The system determines and shows the attributable amounts individually per collateral group. To obtain the attributable amount for a collateral agreement, in the first step the system calculates the net present value of a collateral group from all the included transactions by totaling all net present values.

Net present value (NPV) = S(PV _i)

A distinction must be made between the following cases for the determination of the attributable amount of the collateral group. When considering these cases, the threshold amount and the accumulated settlement payments are included:

Depending on the netting group settings, the attributable amount of the collateral group can be additionally weighted with an average default probability.