(a) General requirement. A Board-regulated institution must calculate its derivatives RSF
amount and certain components of its ASF amount relating to the Board-regulated
institution’s derivative transactions (which includes cleared derivative
transactions of a customer with respect to which the Board-regulated
institution is acting as agent for the customer that are included
on the Board-regulated institution’s balance sheet under GAAP) in
accordance with this section.
(b) Calculation of required stable funding amount
relating to derivative transactions. A Board-regulated institution’s
derivatives RSF amount equals the sum of:
(1) Current derivative
transaction values. The Board-regulated institution’s NSFR derivatives
asset amount, as calculated under paragraph (d)(1) of this section,
multiplied by an RSF factor of 100 percent;
(2) Variation
margin provided. The carrying value of variation margin provided
by the Board-regulated institution under each derivative transaction
not subject to a qualifying master netting agreement and each QMNA
netting set, to the extent the variation margin reduces the Board-regulated
institution’s derivatives liability value under the derivative transaction
or QMNA netting set, as calculated under paragraph (f)(2) of this
section, multiplied by an RSF factor of zero percent;
(3) Excess variation
margin provided. The carrying value of variation margin provided
by the Board-regulated institution under each derivative transaction
not subject to a qualifying master netting agreement and each QMNA
netting set in excess of the amount described in paragraph (b)(2)
of this section for each derivative transaction or QMNA netting set,
multiplied by the RSF factor assigned to each asset comprising the
variation margin pursuant to section 249.106;
(4) Variation
margin received. The carrying value of variation margin received
by the Board-regulated institution, multiplied by the RSF factor assigned
to each asset comprising the variation margin pursuant to section
249.106;
(5) Potential valuation changes.
(i) An amount equal to 5 percent of
the sum of the gross derivative values of the Board-regulated institution
that are liabilities, as calculated under paragraph (b)(5)(ii) of
this section, for each of the Board-regulated institution’s derivative
transactions not subject to a qualifying master netting agreement
and each of its QMNA netting sets, multiplied by an RSF factor of
100 percent;
(ii) For purposes
of paragraph (5)(i) of this section, the gross derivative value of
a derivative transaction not subject to a qualifying master netting
agreement or of a QMNA netting set is equal to the value to the Board-regulated
institution, calculated as if no variation margin had been exchanged
and no settlement payments had been made based on changes in the value
of the derivative transaction or QMNA netting set.
(6) Contributions
to central counterparty mutualized loss sharing arrangements. The fair value of a Board-regulated institution’s contribution to
a central counterparty’s mutualized loss sharing arrangement (regardless
of whether the contribution is included on the Board-regulated institution’s
balance sheet), multiplied by an RSF factor of 85 percent; and
(7) Initial
margin provided. The fair value of initial margin provided by
the Board-regulated institution for derivative transactions (regardless
of whether the initial margin is included on the Board-regulated institution’s
balance sheet), which does not include initial margin provided by
the Board-regulated institution for cleared derivative transactions
with respect to which the Board-regulated institution is acting as
agent for a customer and the Board-regulated institution does not
guarantee the obligations of the customer’s counterparty to the customer
under the derivative transaction (such initial margin would be assigned
an RSF factor pursuant to section 249.106 to the extent the initial
margin is included on the Board-regulated institution’s balance sheet),
multiplied by an RSF factor equal to the higher of 85 percent or the
RSF factor assigned to each asset comprising the initial margin pursuant
to section 249.106.
(c) Calculation of available stable funding amount relating to derivative
transactions. The following amounts of a Board-regulated institution
are assigned a zero percent ASF factor:
(1) The Board-regulated institution’s NSFR
derivatives liability amount, as calculated under paragraph (d)(2)
of this section; and
(2) The carrying
value of NSFR liabilities in the form of an obligation to return initial
margin or variation margin received by the Board-regulated institution.
(d) Calculation of NSFR derivatives
asset or liability amount.
(1) A Board-regulated institution’s NSFR
derivatives asset amount is the greater of:
(i) Zero; and
(ii) The Board-regulated institution’s
total derivatives asset amount, as calculated under paragraph (e)(1)
of this section, less the Board-regulated institution’s total derivatives
liability amount, as calculated under paragraph (e)(2) of this section.
(2) A Board-regulated
institution’s NSFR derivatives liability amount is the greater of:
(i) Zero; and
(ii) The Board-regulated institution’s
total derivatives liability amount, as calculated under paragraph
(e)(2) of this section, less the Board-regulated institution’s total
derivatives asset amount, as calculated under paragraph (e)(1) of
this section.
(e) Calculation of total derivatives asset and liability
amounts.
(1) A Board-regulated
institution’s total derivatives asset amount is the sum of the Board-regulated
institution’s derivatives asset values, as calculated under paragraph
(f)(1) of this section, for each derivative transaction not subject
to a qualifying master netting agreement and each QMNA netting set.
(2) A Board-regulated institution’s
total derivatives liability amount is the sum of the Board-regulated
institution’s derivatives liability values, as calculated under paragraph
(f)(2) of this section, for each derivative transaction not subject
to a qualifying master netting agreement and each QMNA netting set.
(f) Calculation of derivatives
asset and liability values. For each derivative transaction not
subject to a qualifying master netting agreement and each QMNA netting
set:
(1) The derivatives
asset value is equal to the asset value to the Board-regulated institution,
after taking into account:
(i) Any variation margin received by
the Board-regulated institution that is in the form of cash and meets
the following conditions:
(A) The variation margin is not segregated;
(B) The variation margin is received in connection
with a derivative transaction that is governed by a QMNA or other
contract between the counterparties to the derivative transaction,
which stipulates that the counterparties agree to settle any payment
obligations on a net basis, taking into account any variation margin
received or provided;
(C) The variation
margin is calculated and transferred on a daily basis based on mark-to-fair
value of the derivative contract; and
(D) The variation margin is in a currency specified as an acceptable
currency to settle obligations in the relevant governing contract;
and
(ii) Any variation
margin received by the Board-regulated institution that is in the
form of level 1 liquid assets and meets the conditions of paragraph
(f)(1)(i) of this section provided the Board-regulated institution
retains the right to rehypothecate the asset for the duration of time
that the asset is posted as variation margin to the Board-regulated
institution; or
(2)
The derivatives liability value is equal to the liability value of
the Board-regulated institution, after taking into account any variation
margin provided by the Board-regulated institution.
