1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Ratio Constituents
  4. Calculating Contractually Required Collateral
  5. For Derivatives
  6. Calculating Contractually Receivable Collateral

4.3.9.1.2 Calculating Contractually Receivable Collateral

The application computes the value of the 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 3-9 Contractually Receivable Collateral


This image displays the Contractually Receivable Collateral.

The Contractually Receivable Collateral does not receive a pre-specified inflow rate from the regulator and therefore, excluded from the LCR calculations. However, the application computes this to report.