6.3.1.3 Derivatives

Table 5-5 Assumptions list

Assumption Name	Assumption Description	Regulatory Requirement Addressed	Regulatory ReferenceRBI/2017-18/178 DBR.BP.BC.No.106/21.04.098/2017-18
RBI- Additional Derivative Liability for RSF	[RBI]: 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 - 9.9 D
RBI - Net NSFR Derivative Liabilities - STMP	[RBI]: ASF derivative liablities net of derivative assets, where derivative liability is net of any variation margin posted and derivative asset is net of the cash margin received. The transactions are a part of the central bank's short term monetary policy and liquidity operations.	The ASF factor applicable to all the derivative contracts including netted derivative contracts which are a part of the central bank's short term monetary policy and liquidity operations, 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.	Paragraph 10.14
RBI - Net NSFR Derivative Liabilities - Non-STMP	[RBI]: ASF derivative liablities net of derivative assets, where derivative liability is the net of any variation margin posted and derivative asset is the net of cash margin received. The transactions made are not part of the central bank's short term monetary policy and liquidity operations.	The ASF factor applicable to all the derivative contracts including netted derivative contracts which are not a part of central bank's short term monetary policy and liquidity operations, 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.	Paragraph 10.14
RBI - Net NSFR Derivative assets	[RBI]: 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 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 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.	MC Paragraph - 9.9 B
RBI- Margin for derivatives	[RBI]: 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.	MC Paragraph - 9.8 A