14.3.2.5 Derivatives

This section enlists all the preseeded assumptions for NSFR Derivatives.

Table 14-16 Preconfigured Derivatives Assumptions BIS NSFR

Serial No.	Assumption Name	Assumption Description	Regulatory Requirement Addressed	Basel Committee Banking supervision, Basel III, The net stable funding ratio, October 2014 (BCBS 295) Reference
1	RSF- Derivative liabilities	[BIS]: 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	RSF- Derivative liabilities with netting agreement	[BIS]: 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	ASF- Derivative liabilities	[BIS]: Calculation of derivative liabilities as per NSFR standard, by deducting variation margin posted from market value.	Calculation of NSFR derivative liabilities.	Paragraphs 19 and 20.
4	ASF- Derivative liabilities with netting agreement	[BIS]: ASF Treatment of derivative liabilities with netting agreement	Calculation of NSFR derivative liabilities.	Paragraphs 20 and 20.
5	RSF-Derivative assets	[BIS]: Calculation of derivative assets as per NSFR standard, by deducting variation margin received in the form of cash from market value.	Calculation of NSFR derivative assets.	Paragraphs 34 and 35.
6	RSF-Derivative assets with netting agreement	[BIS]: RSF Treatment of derivative assets with netting agreement.	Calculation of NSFR derivative assets.	Paragraphs 35 and 35.
7	RSF- Margin for derivatives	[BIS]: Cash, securities and other assets posted as initial margin for derivative contracts.	Cash, securities and other assets posted as initial margin for derivative contracts.	Paragraph 42 (a).