15.2.2.10.1 Cash Flow Netting at Derivative Contract Level
Cash flows from each derivative contract are netted as follows:
- If the cash inflows and outflows are denominated in the same currency and occur
in the same time bucket:
- The cash inflows and outflows are summed up and the net value is
computed as follows:
Figure 14-21 Net Cash Flow
- If the net cash flow is positive and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash outflow.
- If the net cash flow is negative and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash inflow.
- The cash inflows and outflows are summed up and the net value is
computed as follows:
- If the cash inflows and outflows are denominated in different currencies but
settle within the same day:
- The cash inflows and outflows are summed up after being converted to the reporting currency and the net value is computed.
- If the net cash flow is positive and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash outflow.
- If the net cash flow is negative and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash inflow.
- If the cash inflows and outflows are denominated in different currencies and do
not settle within the same day:
- The cash outflows from each derivative contract without an associated netting agreement are summed up and treated as net derivative cash outflow.
- The cash inflows from each derivative contract without an associated netting agreement are summed up and treated as net derivative cash inflow.
- If a derivative contract has a netting agreement associated with it, the cash flow is further netted across contracts at the netting agreement level.