In calculating NSFR derivative assets, collateral received in connection with derivative contracts may not offset the positive replacement cost amount, regardless of whether or not netting is permitted under the bank's operative accounting or risk-based framework, unless it is received in the form of a cash variation margin and meets the conditions as specified in Appendix G¹⁴. Any remaining balance sheet liability associated with; (a) variation margin received that does not meet the criteria above, or (b) initial margin received, may not offset derivative assets and must be assigned a 0 percent ASF factor.

¹⁴ NSFR derivative assets = (derivative assets) - (cash collateral received as variation margin on derivative assets).