• Calculation of Derivative Liability Amounts

    • LM-12.4.3

      Derivative liabilities are calculated first based on the replacement cost for derivative contracts (obtained by marking to market) where the contract has a negative value. When an eligible bilateral netting contract is in place that meets the conditions as specified in the 'bilateral netting agreements' conditions specified in Appendix F, the replacement cost for the set of derivative exposures covered by the contract will be the net replacement cost.

      August 2018

    • LM-12.4.4

      In calculating NSFR derivative liabilities, collateral posted in the form ofvariation margin in connection with derivative contracts, regardless of the asset type, must be deducted from the negative replacement cost amount.8, 2


      8 NSFR derivative liabilities = (derivative liabilities) - (total collateral posted as variation margin on derivative liabilities).

      2 To the extent that the bank's accounting framework reflects on the balance sheet, in connection with a derivative contract, an asset associated with collateral posted as variation margin that is deducted from the replacement cost amount for purposes of the NSFR, that asset should not be included in the calculation of a bank's required stable funding ('RSF') to avoid any double-counting.

      August 2018