AI Summary of Article 428d Derivative contracts
This Article outlines the calculation of required stable funding for derivative contracts, stipulating that institutions must consider the fair value of derivative positions on a net basis if included in a compliant netting set. If not, a gross basis is required, treating these positions independently.
Additionally, derivative contracts involving a full exchange of principal amounts are to be netted across currencies. Collateral received to mitigate derivative exposure is distinguished from deposits. Competent authorities can waive the impact of derivative contracts on the net stable funding ratio under specific conditions, promoting alignment with ECB monetary policy.
Article 428d Derivative contracts
1. Institutions shall apply this Article to calculate the amount of required stable funding for derivative contracts as referred to in Chapters 3 and 4.
2. Without prejudice to Article 428ah(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 set out in Article 429c(1). 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.
3. For the purposes of this Title, the 'fair value of a netting set' means the sum of the fair values of all the transactions included in a netting set.