R0 factor for Securities lending programs

easylifeweasylifew
in Odomirok.19-RBC

Odomirok P254, Off-balance Sheet and Other Items -> Non-controlled assets -> Collateral loaned in securities lending program, the factor for Securities lending programs is 0.2% instead of 1.0%. I didn't find this in the wiki (maybe I miss it).

Comments

  • easylifeweasylifew

    By the way, I have a trick to remember R0 Off-balance Sheet Items: D.A.N.C.E
    D-> DTA
    A-> guarantee for Affiliates
    N-> Non-controlled assets
    C-> Contingent liabilities
    E-> collateral for sEcurities lEnding programs

  • easylifeweasylifew

    Now I am confused.
    R0 has a charge of 0.2% of "Collateral loaned in securities lending program" under "Non-controlled assets" of "Off-balance Sheet and Other Items". - Odomirok P254
    R1 also has a charge for "Off-balance sheet collateral and Schedule DL", associated with securities lending programs. - Odomirok P257

    Are we double counting the risk? What are the differences between them? If an amount of off-balance sheet "Collateral loaned in securities lending program" appears in the exam, should I use R0 or R1 to calculate it?

  • Staff - ACStaff - AC

    The text says 0.2% is an exception for "conforming" securities lending programs. This sounds like not all of them. Maybe that's why it wasn't mentioned in the wiki.

    I think the difference is collateral loaned to others (R0) versus collateral held (R1).

  • easylifeweasylifew

    Thank you! It makes much more sense now!

  • Staff - ACStaff - AC

    Sure, good luck.

  • grahamgraham

    I've linked the wiki to your memory trick. Thx!

Sign In or Register to comment.