1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Contractually Required Collateral
  5. In Case of Derivatives

6.2.8.1 In Case of Derivatives

This section describes the computation for value of collateral that a bank is required to post contractually to its derivative counterparty and collateral that a derivative counterparty is required to post contractually to the bank.