Common use of Calculation of derivatives asset and liability values Clause in Contracts

Calculation of derivatives asset and liability values. For each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set: (1) The derivatives asset value is equal to the asset value to the national bank or Federal savings association, after taking into account: (i) Any variation margin received by the national bank or Federal savings association that is in the form of cash and meets the following conditions: (A) The variation margin is not seg- regated; (B) The variation margin is received in connection with a derivative trans- action that is governed by a QMNA or other contract between the counterpar- ties to the derivative transaction, which stipulates that the counterpar- ties agree to settle any payment obli- gations on a net basis, taking into ac- count any variation margin received or provided; (C) The variation margin is cal- culated and transferred on a daily basis based on mark-to-fair value of the de- rivative contract; and (D) The variation margin is in a cur- rency specified as an acceptable cur- rency to settle obligations in the rel- evant governing contract; and (ii) Any variation margin received by the national bank or Federal savings association that is in the form of level 1 liquid assets and meets the condi- tions of paragraph (f)(1)(i) of this sec- tion provided the national bank or Fed- eral savings association retains the right to rehypothecate the asset for the duration of time that the asset is posted as variation margin to the na- tional bank or Federal savings associa- tion; or (2) The derivatives liability value is equal to the liability value of the na- tional bank or Federal savings associa- tion, after taking into account any variation margin provided by the na- tional bank or Federal savings associa- tion.

Calculation of derivatives asset and liability values. For each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set: (1) The derivatives asset value is equal to the asset value to the national bank or Federal savings association, after taking into account: (i) Any variation margin received by the national bank or Federal savings association that is in the form of cash and meets the following conditions: (A) The variation margin is not seg- regated; (B) The variation margin is received in connection with a derivative trans- action that is governed by a QMNA or other contract between the counterpar- ties to the derivative transaction, which stipulates that the counterpar- ties agree to settle any payment obli- gations on a net basis, taking into ac- count any variation margin received or provided; (C) The variation margin is cal- culated and transferred on a daily basis based on mark-to-fair value of the de- rivative contract; and (D) The variation margin is in a cur- rency specified as an acceptable cur- rency to settle obligations in the rel- evant governing contract; and (ii) Any variation margin received by the national bank or Federal savings association that is in the form of level 1 liquid assets and meets the condi- tions of paragraph (f)(1)(i) of this sec- tion provided the national bank or Fed- eral savings association retains the right to rehypothecate the asset for the duration of time that the asset is posted as variation margin to the na- tional bank or Federal savings associa- tion; or (2) The derivatives liability value is equal to the liability value of the na- tional bank or Federal savings associa- tion, after taking into account any variation margin provided by the na- tional bank or Federal savings associa- tion.na-

Calculation of derivatives asset and liability values. For each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set: (1) The derivatives asset value is equal to the asset value to the national bank or Federal savings association, after taking into account: (i) Any variation margin received by the national bank or Federal savings association that is in the form of cash and meets the following conditions: (A) The variation margin is not seg- regated; (B) The variation margin is received in connection with a derivative trans- action that is governed by a QMNA or other contract between the counterpar- ties to the derivative transaction, which stipulates that the counterpar- ties agree to settle any payment obli- gations on a net basis, taking into ac- count any variation margin received or provided; (C) The variation margin is cal- culated and transferred on a daily basis based on mark-to-fair value of the de- rivative contract; and (D) The variation margin is in a cur- rency specified as an acceptable cur- rency to settle obligations in the rel- evant governing contract; and (ii) Any variation margin received by the national bank or Federal savings association that is in the form of level aworley on LAPBH6H6L3 with DISTILLER 1 liquid assets and meets the condi- tions of paragraph (f)(1)(i) of this sec- tion provided the national bank or Fed- eral savings association retains the right to rehypothecate the asset for the duration of time that the asset is posted as variation margin to the na- tional bank or Federal savings associa- tion; or (2) The derivatives liability value is equal to the liability value of the na- tional bank or Federal savings associa- tion, after taking into account any variation margin provided by the na- tional bank or Federal savings associa- tion.