4.3.12.1 Cash Flow Netting at Derivative Contract Level

Cash flows from each derivative contract are netted as follows:

1. When cash inflows and outflows are denominated in the same currency and occur at the same time bucket:
   1. The cash inflows and outflows are summed up and the net value is computed as follows:

      Figure 3-19 Net Cash Flow

      
      

      

      
      
   2. 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.
   3. 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.
2. When cash inflows and outflows are denominated in different currencies but settle within the same day:
   1. The cash inflows and outflows are summed up after being converted to the reporting currency and the net value is computed.
   2. 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.
   3. 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.
3. When cash inflows and outflows are denominated in different currencies and do not settle within the same day:
   1. The cash outflows from each derivative contract without an associated netting agreement are summed up and treated as Net Derivative Cash Outflows.
   2. The cash inflows from each derivative contract without an associated Netting Agreement are summed up and treated as Net Derivative Cash Inflow.

Note:

If a derivative contract has a netting agreement associated with it, the cash flow is further netted across contracts at the netting agreement level.