15.3.2.1.3 Derivatives

Table 14-18 Derivatives

Serial No.	Assumption Name	Assumption Description	Regulatory Requirement Addressed	Basel Committee Banking supervision, Basel III, The net stable funding ratio, October 2014 (BCBS 295) Reference
1	RSF- Derivative liabilities	[BIS]: RSF Treatment of derivative liabilities	This assumption specifies 20% of derivative liabilities (negative replacement cost amounts) as calculated according to para 19 ( before deducting variation margin posted)	Paragraph 43 (d)
2	RSF- Derivative liabilities with netting agreement	[BIS]: RSF Treatment of derivative liabilities with netting agreement	20% of derivative liabilities (negative replacement cost amounts) as calculated according to para 19 ( before deducting variation margin posted)	Paragraph 44 (d)
3	ASF- Derivative liabilities	[BIS]: Calculation of derivative liabilities as per NSFR standard, by deducting variation margin posted from market value.	Calculation of NSFR derivative liabilities	Paragraphs 19 and 20
4	ASF - Derivative liabilities with netting agreement	[BIS]: ASF Treatment of derivative liabilities with netting agreement	Calculation of NSFR derivative liabilities	Paragraphs 20 and 20
5	RSF-Derivative assets	[BIS]: Calculation of derivative assets as per NSFR standard, by deducting variation margin received in the form of cash from market value.	Calculation of NSFR derivative assets	Paragraphs 34 and 35
6	RSF-Derivative assets with netting agreement	[BIS]: RSF Treatment of derivative assets with netting agreement	Calculation of NSFR derivative assets	Paragraphs 35 and 35
7	RSF- Margin for derivatives	[BIS]: Cash, securities and other assets posted as initial margin for derivative contracts	Cash, securities and other assets posted as initial margin for derivative contracts	Paragraph 42 (a)