Calculation of NSFR derivatives amounts.

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) (2) (3) (4) (5) (ii) For purposes of paragraph (5)(i) of this section, the gross derivative value of a derivative transaction not subject to a qualifying master netting agreement or of a QMNA netting set is equal to the value to the Board-regulated institution, calculated as if no variation margin had been exchanged and no settlement payments had been made based on changes in the value of the derivative transaction or QMNA netting set. (6) (7) (c) (1) The Board-regulated institution's NSFR derivatives liability amount, as calculated under paragraph (d)(2) of this section; and (2) The carrying value of NSFR liabilities in the form of an obligation to return initial margin or variation margin received by the Board-regulated institution. (d) (i) Zero; and (ii) The Board-regulated institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section, less the Board-regulated institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section. (2) A Board-regulated institution's NSFR derivatives liability amount is the greater of: (i) Zero; and (ii) The Board-regulated institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section, less the Board-regulated institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section. (e) (2) A Board-regulated institution's total derivatives liability amount is the sum of the Board-regulated insti

official document · source cfr-2024 · id 12:§ 249.107