NSFR: How should the amount of liablities and receivables from derivatives be calculated if there is no netting agreement with the counterparty?
According to the instructions for the NSFR template the liabilities and receivables from derivatives should be calculated according to regulatory netting rules: See Annex III, paragraph 6, template row 240 (liabilities from derivatives payables contracts) and 1290 (derivatives receivables) "An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. “Required funding” and template 1.2 “Stable funding” accordingly". How do we have to calculate the amount if there is no neeting agreement with the counterparty? Can we report the booking value from the balance sheet or do we have to assume a netting agreement?
The instructions (Annex XII. Part 5, point 6 of the
Draft ITS on Supervisory reporting) state that netting should be done according to regulatory rules, and not according to accounting rules.
If no netting set actually exists, institutions should not assume any fictional netting set for the purpose of this reporting.
*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.