4.3.12.2 Cash Flow Netting at Netting Agreement Level
For derivative contracts, which have a netting agreement associated with them, the net cash flows computed at the derivative contract level are further netted across multiple contracts under the same netting agreement as follows:
- For derivative contracts that belong to a single netting agreement, whose
payment netting agreement flag is Yes:
- The cash inflows and outflows occurring in each time bucket, denominated in each currency, are summed up across all contracts whose Payment Netting Agreement flag is Yes and the net value is computed.
- If the Net Cash Flow is positive, the value is treated as Net Derivative Cash Outflow.
- If the Net Cash Flow is negative, the value is treated as Net Derivative Cash Inflow.
- For derivative contracts that belong to a single netting agreement, whose
payment netting agreement flag is No:
- The cash outflows occurring in each time bucket, denominated in each currency, are summed up separately for each derivative contract whose Payment Netting Agreement flag is No and treated as net derivative cash outflow.
- The cash inflows occurring in each time bucket, denominated in each currency, are summed up separately for each derivative contract whose Payment Netting Agreement flag is No and treated as net derivative cash inflow.
Note:
Cash Flow Netting for Netting Agreements is done separately for each currency. Cash flows are not netted across currencies. Instead, the inflows and outflows converted into the reporting currency are summed up separately to report the net derivatives cash inflow and net derivatives cash outflow at an entity level.