1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Net Stable Funding Ratio Calculation as Per Capital Requirements Regulation
  3. Preconfigured Regulatory LCR Scenario
  4. Derivatives

5.4.3 Derivatives

This section includes the NSFR assumptions for Derivatives.

Table 4-26 Preconfigured Derivatives NSFR Assumptions

Sl.No. Assumption Name Assumption Description Regulatory Requirement Addressed Regulatory Reference BIS: BCBS 295 Oct 2014
1 EBA-Derivative liabilities RSF Treatment of derivative liabilities. This assumption specifies 20% of derivative liabilities (negative replacement cost amounts) as calculated according to para 19 (before deducting variation margin posted). Paragraph 43 (d)
2 EBA-Derivative liabilities with netting agreement RSF Treatment of derivative liabilities with netting agreement. 20% of derivative liabilities (negative replacement cost amounts) as calculated according to para 19 (before deducting variation margin posted). Paragraph 44 (d)
3 EBA-NSFR Derivative liabilities ASF Treatment of derivative liabilities. Calculation of NSFR derivative liabilities. Paragraphs 19 and 20
4 EBA-NSFR Derivative assets RSF Treatment of derivative assets. Calculation of NSFR derivative assets. Paragraphs 34 and 35
5 EBA-Initial Margin for derivatives RSF Treatment of derivative assets posted as initial margin and toward default fund of a central counterparty (CCP). Cash, securities and other assets posted as initial margin for derivative contracts. Paragraph 42 (a)