QA2018-54 - Derivatives T07.00

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Feb 01, 2024
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Guidance Documents Derivatives
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QA2018-54

Question


T07.00 Derivatives. In the case that the value of net collateral posted (c130) is greater than the net mark to market value (c120) and the estimated close-out amount (c140) is zero, then the estimated early termination value will not be the sum of c120, c130 and c140 as is stated in the LDT Guidance.


Response


In such cases the estimated early termination amount shall be reported as a negative number.