Versions

 

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.

August 2018