LM-12.4.3

Shari'a-compliant hedging contract liabilities are calculated first based on the replacement cost for Shari'a-compliant hedging 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 Shari'a-compliant hedging contracts exposures covered by the contract will be the net replacement cost.

LM-12.4.4

In calculating NSFR Shari'a-compliant hedging contract liabilities, collateral posted in the form of variation margin in connection with Shari'a-compliant hedging contracts, regardless of the asset type, must be deducted from the negative replacement cost amount.^8,2

⁸ NSFR Shari'a-compliant hedging contract liabilities = (Shari'a-compliant hedging contracts liabilities) - (total collateral posted as variation margin on Shari'a-compliant hedging contract liabilities).

² To the extent that the bank's accounting framework reflects on the balance sheet, in connection with a Shari'a-compliant hedging 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.