MTM Impact on Derivative Positions

Refers to the absolute value of the largest 30-consecutive calendar day cumulative net mark-to- market collateral outflow or inflow realized during the preceding 24 months resulting from derivative transaction valuation changes, as set forth in the LRM Standards. The cumulative collateral outflow or inflow should be measured on a portfolio basis, which should include both 3rd party and affiliated transactions (for subsidiary reporting entities) that are external to the reporting entity’s scope of consolidation. However, as this product should be measured on a portfolio basis, the [Internal] and [Internal Counterparty] flags should not be used. The absolute amount should be determined across all currencies and reported in USD.