Prudential Regulation Authority Rulebook

1.

Institutions shall apply this Article to calculate the amount of required stable funding for derivative contracts as referred to in Chapters 3, 4, 6 and 7 of Title IV (The Net Stable Funding Ratio).

2.

Without prejudice to Articles 428ah(2) and 428az(2), institutions shall take into account the fair value of derivative positions on a net basis where those positions are included in the same netting set that fulfils the requirements referred to in Article 428d(2A). Where that is not the case, institutions shall take into account the fair value of derivative positions on a gross basis and shall treat those derivative positions as belonging to their own netting set for the purposes of Chapter 4 of Title IV (The Net Stable Funding Ratio).

2A.

For the purposes of Article 428d(2), institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Institutions shall not take into account cross-product netting, but may net within the product category as referred to in point (25)(c) of Article 272 of the CRR and credit derivatives where they are subject to a contractual cross-product netting agreement as referred to in point (c) of Article 295 of the CRR.

3.

For the purposes of this Title IV (The Net Stable Funding Ratio), the ‘fair value of a netting set’ means the sum of the fair values of all the transactions included in a netting set.

4.

Without prejudice to Articles 428ah(2) and 428az(2), all derivative contracts listed in points 2(a) to (e) of Annex II of the CRR that involve a full exchange of principal amounts on the same date shall be calculated on a net basis across currencies, including for the purpose of reporting in a currency that is subject to separate reporting in accordance with Article 415(2), even where those transactions are not included in the same netting set that fulfils the requirements set out in Article 428d(2A).

5.

Cash received as collateral to mitigate the exposure of a derivative position shall be treated as such and shall not be treated as deposits to which Chapters 3 and 6 of Title IV (The Net Stable Funding Ratio) applies.