15.2.2.7.1 In Case of Derivatives

Calculation of Contractually Due Collateral

The application computes the value of collateral that a bank is required to post contractually to its derivative counterparty as per the below procedure:

1. If Secured Indicator = No, then the contractually due collateral is 0. Else,
2. If Secured Indicator = Yes and CSA Type = One way then the contractually due collateral is 0. Else,
3. If Secured Indicator = Yes, CSA Type = Two way and Gross Exposure is >= 0, then the contractually due collateral is 0. Else,
4. If Secured Indicator = Yes, CSA Type = Two way and Gross Exposure is <0, the application computes the contractually due collateral as follows:

   Figure 14-9 Calculation of Contractually Due Collateral

   
   

   

   
   

   Where,

   Threshold: Unsecured exposure that a party to a netting agreement is willing to assume before making collateral calls.

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

Calculation of Contractually Receivable Collateral

The application computes the value of collateral that a derivative counterparty is required to post contractually to the bank as per the below procedure:

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

   Figure 14-10 Calculation of Contractually Receivable Collateral

   
   

   

   
   

   The contractually receivable collateral 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.