(a) General requirement. An FDIC-supervised institution must calculate its derivatives RSF amount and certain components of its ASF amount relating to the FDIC-supervised institution's derivative transactions (which includes cleared derivative transactions of a customer with respect to which the FDIC-supervised institution is acting as agent for the customer that are included on the FDIC-supervised institution's balance sheet under GAAP) in accordance with this section.
(b) Calculation of required stable funding amount relating to derivative transactions. An FDIC-supervised institution's derivatives RSF amount equals the sum of:
(1) Current derivative transaction values. The FDIC-supervised institution's NSFR derivatives asset amount, as calculated under paragraph (d)(1) of this section, multiplied by an RSF factor of 100 percent;
(2) Variation margin provided. The carrying value of variation margin provided by the FDIC-supervised institution under each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set, to the extent the variation margin reduces the FDIC-supervised institution's derivatives liability value under the derivative transaction or QMNA netting set, as calculated under paragraph (f)(2) of this section, multiplied by an RSF factor of zero percent;
(3) Excess variation margin provided. The carrying value of variation margin provided by the FDIC-supervised institution under each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set in excess of the amount described in paragraph (b)(2) of this section for each derivative transaction or QMNA netting set, multiplied by the RSF factor assigned to each asset comprising the variation margin pursuant to § 329.106;
(4) Variation margin received. The carrying value of variation margin received by the FDIC-supervised institution, multiplied by the RSF factor assigned to each asset comprising the variation margin pursuant to § 329.106;
(5) Potential valuation changes.
(i) An amount equal to 5 percent of the sum of the gross derivative values of the FDIC-supervised institution that are liabilities, as calculated under paragraph (b)(5)(ii) of this section, for each of the FDIC-supervised institution's derivative transactions not subject to a qualifying master netting agreement and each of its QMNA netting sets, multiplied by an RSF factor of 100 percent;
(ii) For purposes of paragraph (5)(i) of this section, the gross derivative value of a derivative transaction not subject to a qualifying master netting agreement or of a QMNA netting set is equal to the value to the FDIC-supervised institution, calculated as if no variation margin had been exchanged and no settlement payments had been made based on changes in the value of the derivative transaction or QMNA netting set.
(6) Contributions to central counterparty mutualized loss sharing arrangements. The fair value of an FDIC-supervised institution's contribution to a central counterparty's mutualized loss sharing arrangement (regardless of whether the contribution is included on the FDIC-supervised institution's balance sheet), multiplied by an RSF factor of 85 percent; and
(7) Initial margin provided. The fair value of initial margin provided by the FDIC-supervised institution for derivative transactions (regardless of whether the initial margin is included on the FDIC-supervised institution's balance sheet), which does not include initial margin provided by the FDIC-supervised institution for cleared derivative transactions with respect to which the FDIC-supervised institution is acting as agent for a customer and the FDIC-supervised institution does not guarantee the obligations of the customer's counterparty to the customer under the derivative transaction (such initial margin would be assigned an RSF factor pursuant to § 329.106 to the extent the initial margin is included on the FDIC-supervised institution's balance sheet), multiplied by an RSF factor equal to the higher of 85 percent or the RSF factor assigned to each asset comprising the initial margin pursuant to § 329.106.
(c) Calculation of available stable funding amount relating to derivative transactions. The following amounts of an FDIC-supervised institution are assigned a zero percent ASF factor:
(1) The FDIC-supervised institution's NSFR derivatives liability amount, as calculated under paragraph (d)(2) of this section; and
(2) The carrying value of NSFR liabilities in the form of an obligation to return initial margin or variation margin received by the FDIC-supervised institution.
(d) Calculation of NSFR derivatives asset or liability amount.
(1) An FDIC-supervised institution's NSFR derivatives asset amount is the greater of:
(i) Zero; and
(ii) The FDIC-supervised institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section, less the FDIC-supervised institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section.
(2) An FDIC-supervised institution's NSFR derivatives liability amount is the greater of:
(i) Zero; and
(ii) The FDIC-supervised institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section, less the FDIC-supervised institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section.
(e) Calculation of total derivatives asset and liability amounts.
(1) An FDIC-supervised institution's total derivatives asset amount is the sum of the FDIC-supervised institution's derivatives asset values, as calculated under paragraph (f)(1) of this section, for each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set.
(2) An FDIC-supervised institution's total derivatives liability amount is the sum of the FDIC-supervised institution's derivatives liability values, as calculated under paragraph (f)(2) of this section, for each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set.
(f) Calculation of derivatives asset and liability values. For each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set:
(1) The derivatives asset value is equal to the asset value to the FDIC-supervised institution, after taking into account:
(i) Any variation margin received by the FDIC-supervised institution that is in the form of cash and meets the following conditions:
(A) The variation margin is not segregated;
(B) The variation margin is received in connection with a derivative transaction that is governed by a QMNA or other contract between the counterparties to the derivative transaction, which stipulates that the counterparties agree to settle any payment obligations on a net basis, taking into account any variation margin received or provided;
(C) The variation margin is calculated and transferred on a daily basis based on mark-to-fair value of the derivative contract; and
(D) The variation margin is in a currency specified as an acceptable currency to settle obligations in the relevant governing contract; and
(ii) Any variation margin received by the FDIC-supervised institution that is in the form of level 1 liquid assets and meets the conditions of paragraph (f)(1)(i) of this section provided the FDIC-supervised institution retains the right to rehypothecate the asset for the duration of time that the asset is posted as variation margin to the FDIC-supervised institution; or
(2) The derivatives liability value is equal to the liability value of the FDIC-supervised institution, after taking into account any variation margin provided by the FDIC-supervised institution.