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 FDIC-supervised 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 FDIC-supervised 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 FDIC-supervised institution. (d) (1) An FDIC-supervised institution's NSFR derivatives asset amount is the greater of: (i) Zero; and (ii) The FDIC-supervised institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section, less the FDIC-supervised institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section. (2) An FDIC-supervised institution's NSFR derivatives liability amount is the greater of: (i) Zero; and (ii) The FDIC-supervised institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section, less the FDIC-supervised institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section. (e) (1) An FDIC-supervised

official document · source cfr-2024 · id 12:§ 329.107