Il Comitato di Basilea ha pubblicato alcuni chiarimenti, sotto forma di FAQ, relativamente al trattamento prudenziale dei derivati regolati quotidianamente su mercati regolamentati (settled-to-market – STM) secondo il Liquidity Coverage Ratio (LCR) ed il Net Stable Funding Ratio (NSFR).
Di seguito si riportano espressamente le FAQ pubblicate dal Comitato di Basilea.
1. Should settlement payments (or receipts) made in the context of derivatives structured as “settled-to-market” (or “STM”) be captured in paragraph 123 of the LCR rules text?
Answer: Yes, if the settlements are made in relation to market valuation changes. The economic cash flows exchanged between parties to STM and non-STM derivatives are identical and therefore the “collateral flows” mentioned in paragraph 123 include payments and receipts which are deemed to settle outstanding exposures from derivatives structured as STM as well.
2. How should derivatives structured as “settled-to-market” (or “STM”) be captured in paragraph 43(d) of the NSFR rules text?
Answer: Derivatives structured as “settled-to-market” should be included in the calculation of the 20% of derivative liabilities (with a national discretion for jurisdictions to lower the value of this factor, with a floor of 5%) specified in paragraph (43 (d)). The replacement cost amount of these derivatives should be calculated as if no settlement payments and receipts had been made to account for the changes in the value of a derivative transaction or a portfolio of derivative transactions.
