Derivative 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 derivatives counterparty with collateral of lower liquidity value. Report only a single value in USD per reporting entity, 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.