7.3.1.3 Derivatives

Table 6-6 Derivatives

Assumption Name	Assumption Description	Regulatory Requirement Addressed	Regulatory Reference:BNM/RH/ED 029-3
BNM-Additional Derivative Liability for RSF	RSF Additional portion of derivative liabilities to be included as part of RSF.	The RSF factor applicable to all derivative contracts including netted derivative contracts, where the aggregate mark to market value of the contracts prior to any variation margin adjustment is negative, is pre-defined as part of this assumption. The assumption applies a 100% RSF factor to the 20% of negative mark-to-mark value for the aforementioned derivative contracts.	Paragraph 9.18(d)
BNM-Net NSFR Derivative Liabilities	ASF derivative liabilities net of derivative assets, where derivative liability is net of any variation margin posted and derivative asset is net of cash margin received.	The ASF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to market value of the contracts for an entity including any variation margin adjustment is negative, is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the derivative liabilities net of derivative assets, where the net aggregate mark to market value of the contracts is negative.	Paragraphs 8.13(c), 10.3
BNM-Net NSFR Derivative assets	RSF derivative assets net of derivative liabilities, where derivative liability is net of any variation margin posted and derivative asset is net of cash margin received.	The RSF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to market value of the contracts for an entity including any cash margin adjustment is positive, is pre-defined as part of this assumption. The assumption applies a 100% RSF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to market value of the contracts is positive.	Paragraphs 9.18(b), 10.7
BNM-Margin for derivatives	RSF Treatment of initial margin posted against derivative transactions.	The RSF factor applicable to the initial margin posted for the derivative contracts is pre-defined as part of this assumption. The assumption applies a 85% RSF factor to the initial margin posted against the derivative contracts.	9.17(b)