15.2.2.8.1 In Case of Derivatives

Calculation of Excess Collateral Due

The application computes the value of collateral that a derivative counterparty has posted to the bank, in excess of the contractually required collateral, and therefore can be withdrawn by the counterparty, as per the below procedure:

1. If Secured Indicator = No, then the excess collateral due is 0. Else,
2. If Secured Indicator = Y and Gross Exposure is <=0, the application computes the excess collateral due as follows:

   Figure 14-13 Calculation of Excess Collateral Due

   
   

   

   
   

   Where,

   Adjusted collateral received: Collateral received from the counterparty less customer withdrawable collateral

   Customer withdrawable collateral: Collateral received under re-hypothecation rights that can be contractually withdrawn by the customer within the LCR horizon without a significant penalty associated with such a withdrawal

3. If Secured Indicator = Y and Gross Exposure is >0, the application computes the excess collateral due as follows:

   Figure 14-14 Computation of excess collateral due

   
   

   

   
   

   The excess collateral due is assumed to be recalled by the counterparty and therefore receives the relevant outflow rate specified by the regulator as part of the pre-configured business assumptions for LCR calculations.

Calculation of Excess Collateral Receivable

The application computes the value of collateral that the bank has posted to its derivative counterparty, in excess of the contractually required collateral, and therefore can be withdrawn by the bank, as per the below procedure:

1. If Secured Indicator = No, then the excess collateral receivable is 0. Else,
2. If Secured Indicator = Y and Gross Exposure is >=0, the application computes the excess collateral receivable as follows:

   Figure 14-15 Calculation of Excess Collateral Receivable

   
   

   

   
   

   Where,

   Adjusted collateral posted: Collateral posted by the bank less firm withdrawable collateral

   Firm withdrawable collateral: Collateral provided under re-hypothecation rights that can be contractually withdrawn by the bank within the LCR horizon without a significant penalty associated with such a withdrawal

3. If Secured Indicator = Y and Gross Exposure is <0, the application computes the excess collateral receivable as follows:

   Figure 14-16 Computation of Excess Collateral Receivable

   
   

   

   
   

   The excess collateral receivable does not receive a pre-specified inflow rate from the regulator and is, therefore, excluded from the LCR calculations. However, the application computes this for the purpose of reporting.