6.3.2 Regulation Addressed through Business Rules

The list of pre-configured business rules and the corresponding reference to the regulatory requirement that it addresses is provided in the following tables:

Table 5-6 Pre-configured business rules

Rule Name	Rule Description	Regulatory Requirement Addressed	Regulatory Reference
LRM - Instrument - NSFR Encumbered Band Surrogate Key Population	This rule identifies the encumbrance band related to Net Stable Funding Ratio for the encumbrance date at the account level and updates the underlying related unique identifier in the FSI_LRM_INSTRUMENT table.	The encumbrance period for the asset for the purpose of required stable funding (RSF) calculations is identified as part of this rule	MC Paragraph - 10.4
LRM - Instrument - NSFR Residual Maturity Band Surrogate Key Population - Open Maturity	This rule identifies the maturity band related to Net Stable Funding Ratio for the maturity date at the account level for the open maturity products and updates the underlying related unique identifier in the FSI_LRM_INSTRUMENT table.	The products with no stated maturity for the computation of available stable funding (ASF) are identified as part of this rule.	MC Paragraph - 7.6 B
LRM - Stable and Operational Balance Percentage Calculation	This rule calculates the percentage of the stable balance and the operational balance with respect to the end of period balance of the accounts and updates the same in the FSI_LRM_INSTRUMENT table.	This rule computes the percentage of stable and less stable portion of deposits, held by retail and wholesale customers treated as retail for the purposes of LCR, for ASF calculation.	MC Paragraph - 7.3 and 7.4
LRM - Account Cash flow - Stable and Operational Amount Calculation	This rule calculates the cash flows associated with the stable portion and less stable portion of the accounts. In addition, this rule calculates the cash flows associated with the operational balance portion and non-operational balance portion. All these above values are updated in FCT_ACCOUNT_CASH_FLOWS.	This rule calculates the cash flows associated to stable and less stable deposits, held by retail and wholesale customers treated as retail for the purposes of LCR, having residual maturity of more than 1 year and cash flow maturity of more than 1 year. This rule applies the stable and less stable deposit percentage to cash flows with maturity of more than 1 year.	MC Paragraph - 7.2 C
LRM - Netted Derivatives - Derivative Liability Amount Calculation	This rule calculates the derivative liability amount for the netted contracts by considering the absolute value of sum of marked to market value of all the underlying contracts associated with the netting agreement.	All the derivative contracts associated with the netting agreement, where the aggregate mark to market value of the contracts prior to any variation margin adjustment is negative is computed as part of this rule.	MC Paragraph - 8.1
LRM - Netted Derivatives - Posted collateral Margin Amount Calculation	This rule calculates the sum of the value of the collaterals posted as variation margin related with the netted derivatives and updates this information in FSI_LRM_INSTRUMENT table.	The rule computes the value of the all the collaterals posted as variation margin for the netted derivative contracts related with the netting agreement	MC Paragraph - 8.1
LRM - Derivatives - Posted collateral Margin Amount Calculation	This rule calculates the sum of the value of the collaterals posted as variation margin related with the non-netted derivative contracts and updates this information in FSI_LRM_INSTRUMENT table.	The rule computes the value of the all the collaterals posted as variation margin for the non-netted derivative contracts.	MC Paragraph - 8.1
LRM - Derivatives - Received Variation Margin Calculation	This rule calculates the sum of the margin amount of cash variation margin received related with the non- netted derivative contracts and updates this information in FSI_LRM_INSTRUMENT table.	The rule computes the sum of the cash amount received as variation margin for the non-netted derivative contracts	MC Paragraph - 10.1
LRM - Netted Derivatives - Derivative Asset Amount Calculation	This rule calculates the derivative asset amount for the netted contracts by considering the absolute value of sum of the marked to market value of all the underlying contracts associated with the netting agreement.	All the derivative contracts associated with the netting agreement, where the aggregate mark to market value of the contracts prior to any variation margin adjustment is positive is computed as part of this rule.	MC Paragraph - 10.1
LRM - Netted Derivatives - Received Variation Margin Calculation	This rule calculates the sum of the margin amount of cash variation margin received related to the netted derivative contracts at the netting agreement level and updates this information in FSI_LRM_INSTRUMENT table.	The rule computes the sum of the cash amount received as variation margin for the netted derivative contracts associated with netting agreement.	MC Paragraph - 10.1
LRM - Derivatives - Posted collateral Initial Margin Amount Calculation	This rule calculates the sum of the margin amount of initial margin posted for all derivative contracts and updates this information in FSI_LRM_INSTRUMENT table.	This rule computes the sum of initial margin posted for derivative contracts.	MC Paragraph - 9.8 A
LRM - Derivatives - Additional Derivative Liability Amount Calculation	This rule calculates the additional portion of the derivative liabilities as a percentage of the derivative liability. This percentage is setup master parameterized for the users to edit the same. This value gets updated in the FSI_LRM_INSTRUMENT table.	20% of 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 configured in this rule. This additional derivative liability amount is used for the purpose of RSF computation.	MC Paragraphs - 9.9 D