BANK 3.4.16 Treatment of collateral

(1) When a banking business firm is calculating its derivatives exposures, the firm must not deduct collateral that it has received from counterparties.
(2) The firm must gross up its exposures by the amount of any collateral provided by the firm if the provision of the collateral has reduced the value of the firm's balance-sheet assets under the relevant accounting standard.
Inserted by QFCRA RM/2019-6 (as from 1st January 2020).