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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