6.2.4 Computing Derivatives
Derivatives are handled through applying both ASF and RSF factors as applicable. They can behave as either an asset or a liability, depending on the marked-to-market value. The application of factors on derivatives is done on the market value after subtracting the variation margin posted/received against the account. The computation is as follows:
- NSFR Derivative Liabilities = Derivative Liabilities – (Total collateral posted as variation margin against the derivative liabilities)
- NSFR Derivative Assets = Derivative Assets – (Cash collateral received as variation margin against the Derivative Assets)
- The factors are then applied as follows:
- ASF Factor Application
ASF Amount for Derivatives = 0% * Max ((NSFR derivative liabilities –NSFR derivative assets), 0)
- RSF Factor Application
RSF Amount for Derivatives = 100% * Max ((NSFR derivative assets- NSFR derivative liabilities), 0)
Derivative Liabilities refer to those derivative accounts where the market value is negative. Derivative Assets refer to those derivative accounts where the market value is positive. Apart from the variation margin, the initial margin against derivative contracts is also treated with the appropriate factor.
- ASF Factor Application