5.3.1.3 Derivatives

Table 4-6 Derivatives list

Assumption Name	Assumption Description	Regulatory Requirement Addressed	Regulatory Reference :MAS Notice 652
MAS-ASF-Net NSFR derivative liabilities	ASF on 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 11(c), 16, 17, FN 13
MAS-RSF-Net NSFR derivative assets	RSF on 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 29, 30, 31, FN 19, 40(b)
MAS-RSF-Default fund contribution to CCP for derivatives	RSF treatment of default fund contributed to central counterparty for derivative transactions	The RSF factor applicable to all derivative contracts for default fund contribution to central counterparty, is pre-defined as part of this assumption. The assumption applies an 85% RSF factor to the market value of collateral posted.	Paragraphs 38(a)
MAS-RSF-Derivative liability portion inclusion as RSF	Additional 20% 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 0% RSF factor to the 20% of negative mark-to-mark value for the aforementioned derivative contracts.	Paragraphs 40(d)
MAS-RSF-Initial margin posted 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 an 85% RSF factor to the initial margin posted against the derivative contracts.	Paragraphs 38(a)