Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:100:p8
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 100 (pt 8/12)
Character Range: 85349–88335

borrowed in securities financing transactions (for example, reverse repos and collateral swaps) where the ADI does not retain beneficial ownership of the securities. Conversely, an ADI must include securities lent in securities financing transactions where the ADI retains beneficial ownership. An ADI must not include securities received through collateral swaps if those securities do not appear on the ADI's balance sheet. If an ADI has encumbered securities in repos or other securities financing transactions, but retains beneficial ownership and the assets remain on the ADI's balance sheet, the ADI must allocate the security to the appropriate RSF category.

    26.         An ADI may net securities financing transactions with a single counterparty when calculating its NSFR, provided that the netting conditions set out in paragraph 38 of Attachment D of Prudential Standard APS 110 Capital Adequacy (APS 110) are met.

Calculation of derivative asset amounts

    27.         An ADI must calculate the value of derivative assets based on the replacement cost for derivative contracts (obtained by marking-to-market) where the contract has a positive value. When an eligible bilateral netting agreement is in place that meets the conditions in paragraphs 9 to 11 of Attachment H of APS 112 and paragraphs 8 and 9 of the annex of the Basel III leverage ratio framework and disclosure requirements,[23] the replacement cost for the set of derivative exposures covered by the contract must be calculated as the net replacement cost.

    28.         When calculating NSFR derivative assets, collateral received in connection with derivative contracts must not offset the positive replacement cost amount, regardless of whether or not netting is permitted under an ADI's operational accounting or risk-based framework, unless it is received in the form of a cash variation margin and meets the conditions specified in paragraph 23 of Attachment D to APS 110 and is in the same currency as the currency of settlement[24] of the derivative contract. Any remaining balance sheet liability associated with variation margin received that does not meet the criteria above or initial margin received must not offset derivative assets and must be assigned a zero per cent ASF factor.

Assets assigned a zero per cent RSF factor

    29.         An ADI must assign a zero per cent RSF factor to the following assets:

       (a)          notes and coins immediately available to meet obligations;

       (b)          central bank reserves and balances;[25]

       (c)          all claims on central banks with a residual maturity of less than six months; and

       (d)          trade date receivables arising from the sale of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period for the relevant exchange or type of transaction or (ii) have failed to, but are still expected to, settle.

Assets