R0 factor for Securities lending programs
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
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
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?
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).
Thank you! It makes much more sense now!
Sure, good luck.
I've linked the wiki to your memory trick. Thx!