Prudential Regulation Authority Rulebook

1.

This Article applies to initial margin, variation margin and derivatives assets and liabilities that are directly linked to derivative client clearing activities with a QCCP where the institution acts as clearing member, provided that:

1. (a) initial margin shall include:
1. (i) all amounts posted to the QCCP; and
2. (ii) amounts in excess of the amount posted to a QCCP only to the extent that such amounts are segregated from the assets of the institution and, as a result of that segregation, are not available to the institution freely to dispose of or exchange; and
2. (b) the institution does not provide to its clients guarantees of the performance of the QCCP and, as a result, does not incur any funding risk.

2.

Notwithstanding any other provision of this Part, where this Article applies institutions may exclude all amounts included in paragraph 1 from the calculation of the amount of required stable funding and available stable funding in accordance with Chapters 3 to 8, inclusive, of Title IV (The Net Stable Funding Ratio). If all amounts are not excluded the institution shall calculate the amount of required stable funding and available stable funding in accordance with Title IV (The Net Stable Funding Ratio).

3.

Where providing derivative client clearing services in its capacity as a clearing member of a QCCP the institution receives initial margin collateral from clients that is not included in paragraph 1(a):

1. (a) collateral assets accounted for on the balance sheet of the institution shall be subject to a required stable funding factor in accordance with Chapter 4 or Chapter 7 of Title IV (The Net Stable Funding Ratio); and
2. (b) associated liabilities shall be subject to an available stable funding factor in accordance with Chapter 3 or Chapter 6 of Title IV (The Net Stable Funding Ratio).