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NSFR: Derivatives & updates (Derivatives (Current methodology vs Reg…
NSFR: Derivatives & updates
Introduction
Topics to be covered
Implementation date
Jurisdiction ready for implementation
Areas of deliberation/contention
Derivatives
Reason for this update on NSFR
Derivatives
Current methodology vs Reg requirement
SARB Directives
Current jurisdiction difference and what might impact implementation date
Jurisdictions that are ready to implement
Major jurisdictions that are not ready
Conclusion
Where does FirstRand stand and by extension GM
Update: Implementation
General Update
Reporting
(a) Started: reporting not prudential requirement. 20th business day
(b) Working with group to ensure that interpretaions are aligned. NB because derivatives just a big piece of our business need to ensure that included the way reg's require.
(c) Systems are being put in place to calibrate ratio. We are working with group on this as well
1) State
Currently no ASF: bc factor @ 0%. Though @ 0, covered at portfolio level
RSF: Driven by
(ii) 10% gross liab
(i) Net of Assets & liab
(iii) Initial Margin
Top 10 contributors for Liabs & Assets
Process: Data Collection
(i) CCR output files
Financial files (HFM): Collateral & IM
Impact
(i) Whats the impact on GM's NSFR
(ii) Looked at, at a consolidated level
GM currently meeting requirements
Currently no costing