1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Downgrade Impact Amount
  5. Calculation of Downgrade Impact Amount for Derivatives

6.2.10.1 Calculation of Downgrade Impact Amount for Derivatives

The downgrade impact amount for derivatives is calculated as follows:

  • If a downgrade trigger does not exist for the derivatives contract or netting agreement, the downgrade impact amount is 0. Else,
  • If Net Exposure >0, the downgrade impact amount is 0. Else,
  • If Net Exposure <=0, the downgrade impact amount is calculated as follows:
    Downgrade Impact Amount