S.DC.21: Other Collateral Substitution Capacity
Refers to the potential funding capacity arising from the reporting entity’s contractual ability to substitute collateral with higher liquidity value currently posted to a counterparty of a non- derivative transaction with collateral of lower liquidity value. In calculating substitution capacity, include in scope only settled funding transactions (i.e., excluding forward-starting transactions) that have a residual maturity of greater than 30 days where the reporting entity has the contractual right to substitute assets pledged. The value reported should also be limited based upon the value of collateral a reporting entity currently holds and could substitute into the transaction on the reporting date. Specifically, a reporting entity must use the “Open” (day 0) maturity bucket to designate the value of substitution capacity limited by assets eligible for substitution that are currently owned outright and held unencumbered (i.e., the assets would be reported in I.A.1 or I.A.2). Additionally, a reporting entity must disclose capacity based upon assets eligible for substitution that are owned outright and currently encumbered, but will become unencumbered on the first good business day following the current reporting date. This additional capacity should be reported using the maturity bucket that corresponds to the calendar day when the assets eligible for substitution would become unencumbered. Report only values in USD, representing the difference between the fair value of the collateral held and the fair value of the collateral that could be posted, after applying the haircut factors prescribed in the LRM Standards. U.S. firms that are identified as Category III banking organizations with average weighted short-term wholesale funding of less than $75 billion; U.S. firms that are identified as Category IV banking organizations; FBOs that are identified as Category III foreign banking organizations with average weighted short-term wholesale funding of less than $75 billion; and FBOs that are identified as Category IV foreign banking organizations have the option of not reporting this product.