1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Excess Collateral
  5. In Case of Derivatives
  6. Calculation of Excess Collateral Due

6.2.9.1.1 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counterparty has posted to the bank, in excess of the contractually required collateral, and therefore can be withdrawn by the counterparty, as per the below procedure:

  • If Secured Indicator = No, then the excess collateral due is 0. Else,
  • If Secured Indicator = Y and Gross Exposure is <=0, the application computes the excess collateral due as follows:
    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    Customer withdrawable collateral: Collateral received under re-hypothecation rights that can be contractually withdrawn by the customer within the LCR horizon without a significant penalty associated with such a withdrawal

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