Calculation of Twenty Four Month Look-back Amount

15.2.2.11 Calculation of Twenty Four Month Look-back Amount

The application computes the 24 month look-back amount, for the purpose of defining outflows due to increased liquidity needs related to market valuation changes on derivatives as per the procedure given below:

The Mark-to-Market (MTM) value of collateral outflows and inflows due to valuation changes on derivative transactions are captured at a legal entity level. The values over a 24-month historical time window from the “as of date” are identified.
The application computes the largest 30-day absolute net collateral flow occurring within each rolling 30-day historical time window as follows:
1. The net Mark-to-Market collateral change is computed for each day within a particular 30-day historical time window as follows:
  
  Figure 14-22 Net Mark-to-Market collateral change
2. The cumulative net Mark-to-Market collateral change is computed for each day within a particular 30-day historical time window as follows:
  
  Figure 14-23 Cumulative net Mark-to-Market collateral change
  
  Where,
  
  i : Each day within a particular 30-day historical time window
  
  n : Each 30-day historical time window
3. The absolute net Mark-to-Market collateral change is computed for each day within the rolling 30-day historical time window as follows:
  
  Figure 14-24 Absolute net Mark-to-Market collateral change
4. The largest 30-day absolute net collateral flow occurring within the rolling 30-day historical time window is identified as follows:
  
  Figure 14-25 Largest 30-day absolute net collateral flow
5. The 24-month look-back amount is calculated as follows:
  
  Figure 14-26 24-month look-back amount

Note:

This calculation is done for each legal entity separately.
The largest 30-day absolute net collateral flow is computed in 30 day blocks on a rolling basis that is first 30-day block is As of Date to As of Date - 29; second 30-day block is As of Date - 1 to As of Date - 30 and so on.
The 24 month look-back amount is computed as the maximum of the largest absolute net collateral flow during all rolling 30-day periods in each 24 month period.

The 24-month look-back calculations are illustrated below considering a 34-day historical time window instead of 24-months. This results in 5 rolling 30-day windows.

Table 14-4 Example 1

Rolling 30-Day Period	Day	Mark-To-Market Collateral Outflows Due To Derivative Transaction Valuation Changes (a)	Mark-To-Market Collateral Inflows Due To Derivative Transaction Valuation Changes (b)	Net Mark-To-Market Collateral Change (c = a – b)	Cumulative Net Mark-To-Market Collateral Change (d = Cumulative c)	Absolute Net Mark-To-Market Collateral Change [e = Abs (d)]
As of Date to As of Date - 29	As of Date	65	14	51	51	51
	As of Date - 1	65	9	56	107	107
	As of Date - 2	74	83	-9	98	98
	As of Date - 3	71	97	-26	72	72
	As of Date - 4	84	89	-5	67	67
	As of Date - 5	8	57	-49	18	18
	As of Date - 6	40	59	-19	-1	1
	As of Date - 7	42	87	-45	-46	46
	As of Date - 8	100	6	94	48	48
	As of Date - 9	41	30	11	59	59
	As of Date - 10	45	9	36	95	95
	As of Date - 11	9	32	-23	72	72
	As of Date - 12	59	67	-8	64	64
	As of Date - 13	61	10	51	115	115
	As of Date - 14	22	36	-14	101	101
	As of Date - 15	63	81	-18	83	83
	As of Date - 16	36	3	33	116	116
	As of Date - 17	61	22	39	155	155
	As of Date - 18	94	37	57	212	212
	As of Date - 19	3	18	-15	197	197
	As of Date - 20	13	27	-14	183	183
	As of Date - 21	24	56	-32	151	151
	As of Date - 22	57	75	-18	133	133
	As of Date - 23	66	87	-21	112	112
	As of Date - 24	33	71	-38	74	74
	As of Date - 25	29	30	-1	73	73
	As of Date - 26	64	25	39	112	112
	As of Date - 27	54	39	15	127	127
	As of Date - 28	51	6	45	172	172
	As of Date - 29	35	31	4	176	176
As of Date - 1 to As of Date - 30	As of Date - 1	65	9	56	56	56
	As of Date - 2	74	83	-9	47	47
	As of Date - 3	71	97	-26	21	21
	As of Date - 4	84	89	-5	16	16
	As of Date - 5	8	57	-49	-33	33
	As of Date - 6	40	59	-19	-52	52
	As of Date - 7	42	87	-45	-97	97
	As of Date - 8	100	6	94	-3	3
	As of Date - 9	41	30	11	8	8
	As of Date - 10	45	9	36	44	44
	As of Date - 11	9	32	-23	21	21
	As of Date - 12	59	67	-8	13	13
	As of Date - 13	61	10	51	64	64
	As of Date - 14	22	36	-14	50	50
	As of Date - 15	63	81	-18	32	32
	As of Date - 16	36	3	33	65	65
	As of Date - 17	61	22	39	104	104
	As of Date - 18	94	37	57	161	161
	As of Date - 19	3	18	-15	146	146
	As of Date - 20	13	27	-14	132	132
	As of Date - 21	24	56	-32	100	100
	As of Date - 22	57	75	-18	82	82
	As of Date - 23	66	87	-21	61	61
	As of Date - 24	33	71	-38	23	23
	As of Date - 25	29	30	-1	22	22
	As of Date - 26	64	25	39	61	61
	As of Date - 27	54	39	15	76	76
	As of Date - 28	51	6	45	121	121
	As of Date - 29	35	31	4	125	125
	As of Date - 30	93	68	25	150	150
As of Date - 2 to As of Date - 31	As of Date - 2	74	83	-9	-9	9
	As of Date - 3	71	97	-26	-35	35
	As of Date - 4	84	89	-5	-40	40
	As of Date - 5	8	57	-49	-89	89
	As of Date - 6	40	59	-19	-108	108
	As of Date - 7	42	87	-45	-153	153
	As of Date - 8	100	6	94	-59	59
	As of Date - 9	41	30	11	-48	48
	As of Date - 10	45	9	36	-12	12
	As of Date - 11	9	32	-23	-35	35
	As of Date - 12	59	67	-8	-43	43
	As of Date - 13	61	10	51	8	8
	As of Date - 14	22	36	-14	-6	6
	As of Date - 15	63	81	-18	-24	24
	As of Date - 16	36	3	33	9	9
	As of Date - 17	61	22	39	48	48
	As of Date - 18	94	37	57	105	105
	As of Date - 19	3	18	-15	90	90
	As of Date - 20	13	27	-14	76	76
	As of Date - 21	24	56	-32	44	44
	As of Date - 22	57	75	-18	26	26
	As of Date - 23	66	87	-21	5	5
	As of Date - 24	33	71	-38	-33	33
	As of Date - 25	29	30	-1	-34	34
	As of Date - 26	64	25	39	5	5
	As of Date - 27	54	39	15	20	20
	As of Date - 28	51	6	45	65	65
	As of Date - 29	35	31	4	69	69
	As of Date - 30	93	68	25	94	94
	As of Date - 31	51	97	-46	48	48
As of Date - 3 to As of Date - 32	As of Date - 3	71	97	-26	-26	26
	As of Date - 4	84	89	-5	-31	31
	As of Date - 5	8	57	-49	-80	80
	As of Date - 6	40	59	-19	-99	99
	As of Date - 7	42	87	-45	-144	144
	As of Date - 8	100	6	94	-50	50
	As of Date - 9	41	30	11	-39	39
	As of Date - 10	45	9	36	-3	3
	As of Date - 11	9	32	-23	-26	26
	As of Date - 12	59	67	-8	-34	34
	As of Date - 13	61	10	51	17	17
	As of Date - 14	22	36	-14	3	3
	As of Date - 15	63	81	-18	-15	15
	As of Date - 16	36	3	33	18	18
	As of Date - 17	61	22	39	57	57
	As of Date - 18	94	37	57	114	114
	As of Date - 19	3	18	-15	99	99
	As of Date - 20	13	27	-14	85	85
	As of Date - 21	24	56	-32	53	53
	As of Date - 22	57	75	-18	35	35
	As of Date - 23	66	87	-21	14	14
	As of Date - 24	33	71	-38	-24	24
	As of Date - 25	29	30	-1	-25	25
	As of Date - 26	64	25	39	14	14
	As of Date - 27	54	39	15	29	29
	As of Date - 28	51	6	45	74	74
	As of Date - 29	35	31	4	78	78
	As of Date - 30	93	68	25	103	103
	As of Date - 31	51	97	-46	57	57
	As of Date - 32	12	31	-19	38	38
As of Date - 4 to As of Date - 33	As of Date - 4	84	89	-5	-5	5
	As of Date - 5	8	57	-49	-54	54
	As of Date - 6	40	59	-19	-73	73
	As of Date - 7	42	87	-45	-118	118
	As of Date - 8	100	6	94	-24	24
	As of Date - 9	41	30	11	-13	13
	As of Date - 10	45	9	36	23	23
	As of Date - 11	9	32	-23	0	0
	As of Date - 12	59	67	-8	-8	8
	As of Date - 13	61	10	51	43	43
	As of Date - 14	22	36	-14	29	29
	As of Date - 15	63	81	-18	11	11
	As of Date - 16	36	3	33	44	44
	As of Date - 17	61	22	39	83	83
	As of Date - 18	94	37	57	140	140
	As of Date - 19	3	18	-15	125	125
	As of Date - 20	13	27	-14	111	111
	As of Date - 21	24	56	-32	79	79
	As of Date - 22	57	75	-18	61	61
	As of Date - 23	66	87	-21	40	40
	As of Date - 24	33	71	-38	2	2
	As of Date - 25	29	30	-1	1	1
	As of Date - 26	64	25	39	40	40
	As of Date - 27	54	39	15	55	55
	As of Date - 28	51	6	45	100	100
	As of Date - 29	35	31	4	104	104
	As of Date - 30	93	68	25	129	129
	As of Date - 31	51	97	-46	83	83
	As of Date - 32	12	31	-19	64	64
	As of Date - 33	34	36	-2	62	62

The largest 30-day absolute net collateral flow for each rolling 30-day period and the 24 month look-back value (in this example, the 34 day look-back value) are computed as follows:

Table 14-5 Example 2

Rolling 30-Day Period	Largest 30-Day Absolute Net Collateral Flow [f = Max (e)]	24 Month Look-back Value [Max (f)]
As of Date to As of Date - 29	212	212
As of Date - 1 to As of Date - 30	161
As of Date - 2 to As of Date - 31	153
As of Date - 3 to As of Date - 32	144
As of Date - 4 to As of Date - 33	140