4.3.13 Calculating Twenty-Four Month Look-back Amount

The application computes the 24-month look-back amount, to define outflows due to increased liquidity needs related to market valuation changes on derivatives as follows:

• The Mark-to-Market (MTM) value of collateral outflows and inflows due to valuation changes on derivative transactions are captured at a legal entity level. The values over a 24-month historical time window from the As of date are identified.
• The application computes the largest 30-day absolute net collateral flow occurring within each rolling 30-day historical time window as follows:
  1. The net Mark-to-Market collateral change is computed for each day within a particular 30-day historical time window as follows:

     Figure 3-20 Net MTM Collateral Change

     
     

     

     
     
  2. The cumulative net Mark-to-Market collateral change is computed for each day within a particular 30-day historical time window as follows:

     Figure 3-21 Cumulative Net MTM Collateral Change

     
     

     

     
     

     Where:

     i: Each day within a particular 30-day historical time window.

     n: Each 30-day historical time window.

  3. The absolute net Mark-to-Market collateral change is computed for each day within the rolling 30-day historical time window as follows:

     Figure 3-22 Absolute Net MTM Collateral Change

     
     

     

     
     
  4. The largest 30-day absolute net collateral flow occurring within the rolling 30-day historical time window is identified as follows:

     Figure 3-23 Largest 30-day Absolute Net MTM Collateral Change

     
     

     

     
     

     Note:

     Steps (a) to (b) are repeated for each rolling 30-day historical time window.
  5. The 24-month look-back amount is calculated as follows:

     Figure 3-24 24-month Lookback Amount

     
     

     

     
     

     Note:

     1. This calculation is done for each legal entity separately.
     2. The largest 30-day absolute net collateral flow is computed in 30-day blocks on a rolling basis. For example, the first 30-day block is As of Date to As of Date - 29; the second 30-day block is As of Date - 1 to As of Date - 30 and so on.
     3. The 24-month look-back amount is computed as the maximum of the largest absolute net collateral flow during all rolling 30-day periods in every 24 months.

     The 24-month look-back calculations are illustrated in the following table, considering a 34-day historical time window instead of 24-months. This results in 5 rolling 30-day windows.

     Table 3-5 Illustration: 24-month look-back calculations

     Rolling 30-Day Period	Day	Market To Market Outflows Due To Derivative Transaction Valuation Changes (a)	Market To Market Collateral Inflows Due To Derivative Transaction Valuation Changes (b)	Net Market To Market Collateral Change (c = a – b)	Cumulative Net Market To Market Collateral Change (d = Cumulative c)	Absolute Net Market To Market Collateral Change [e = Abs (d)]
     As of Date to As of Date - 29	As of Date	65	14	51	51	51
     	As of Date - 1	65	9	56	107	107
     	As of Date - 2	74	83	-9	98	98
     	As of Date - 3	71	97	-26	72	72
     	As of Date - 4	84	89	-5	67	67
     	As of Date - 5	8	57	-49	18	18
     	As of Date - 6	40	59	-19	-1	1
     	As of Date - 7	42	87	-45	-46	46
     	As of Date - 8	100	6	94	48	48
     	As of Date - 9	41	30	11	59	59
     	As of Date - 10	45	9	36	95	95
     	As of Date - 11	9	32	-23	72	72
     	As of Date - 12	59	67	-8	64	64
     	As of Date - 13	61	10	51	115	115
     	As of Date - 14	22	36	-14	101	101
     	As of Date - 15	63	81	-18	83	83
     	As of Date - 16	36	3	33	116	116
     	As of Date - 17	61	22	39	155	155
     	As of Date - 18	94	37	57	212	212
     	As of Date - 19	3	18	-15	197	197
     	As of Date - 20	13	27	-14	183	183
     	As of Date - 21	24	56	-32	151	151
     	As of Date - 22	57	75	-18	133	133
     	As of Date - 23	66	87	-21	112	112
     	As of Date - 24	33	71	-38	74	74
     	As of Date - 25	29	30	-1	73	73
     	As of Date - 26	64	25	39	112	112
     	As of Date - 27	54	39	15	127	127
     	As of Date - 28	51	6	45	172	172
     	As of Date - 29	35	31	4	176	176
     As of Date - 1 to As of Date - 30	As of Date - 1	65	9	56	56	56
     	As of Date - 2	74	83	-9	47	47
     	As of Date - 3	71	97	-26	21	21
     	As of Date - 4	84	89	-5	16	16
     	As of Date - 5	8	57	-49	-33	33
     	As of Date - 6	40	59	-19	-52	52
     	As of Date - 7	42	87	-45	-97	97
     	As of Date - 8	100	6	94	-3	3
     	As of Date - 9	41	30	11	8	8
     	As of Date - 10	45	9	36	44	44
     	As of Date - 11	9	32	-23	21	21
     	As of Date - 12	59	67	-8	13	13
     	As of Date - 13	61	10	51	64	64
     	As of Date - 14	22	36	-14	50	50
     	As of Date - 15	63	81	-18	32	32
     	As of Date - 16	36	3	33	65	65
     	As of Date - 17	61	22	39	104	104
     	As of Date - 18	94	37	57	161	161
     	As of Date - 19	3	18	-15	146	146
     	As of Date - 20	13	27	-14	132	132
     	As of Date - 21	24	56	-32	100	100
     	As of Date - 22	57	75	-18	82	82
     	As of Date - 23	66	87	-21	61	61
     	As of Date - 24	33	71	-38	23	23
     	As of Date - 25	29	30	-1	22	22
     	As of Date - 26	64	25	39	61	61
     	As of Date - 27	54	39	15	76	76
     	As of Date - 28	51	6	45	121	121
     	As of Date - 29	35	31	4	125	125
     	As of Date - 30	93	68	25	150	150
     As of Date - 2 to As of Date - 31	As of Date - 2	74	83	-9	-9	9
     	As of Date - 3	71	97	-26	-35	35
     	As of Date - 4	84	89	-5	-40	40
     	As of Date - 5	8	57	-49	-89	89
     	As of Date - 6	40	59	-19	-108	108
     	As of Date - 7	42	87	-45	-153	153
     	As of Date - 8	100	6	94	-59	59
     	As of Date - 9	41	30	11	-48	48
     	As of Date - 10	45	9	36	-12	12
     	As of Date - 11	9	32	-23	-35	35
     	As of Date - 12	59	67	-8	-43	43
     	As of Date - 13	61	10	51	8	8
     	As of Date - 14	22	36	-14	-6	6
     	As of Date - 15	63	81	-18	-24	24
     	As of Date - 16	36	3	33	9	9
     	As of Date - 17	61	22	39	48	48
     	As of Date - 18	94	37	57	105	105
     	As of Date - 19	3	18	-15	90	90
     	As of Date - 20	13	27	-14	76	76
     	As of Date - 21	24	56	-32	44	44
     	As of Date - 22	57	75	-18	26	26
     	As of Date - 23	66	87	-21	5	5
     	As of Date - 24	33	71	-38	-33	33
     	As of Date - 25	29	30	-1	-34	34
     	As of Date - 26	64	25	39	5	5
     	As of Date - 27	54	39	15	20	20
     	As of Date - 28	51	6	45	65	65
     	As of Date - 29	35	31	4	69	69
     	As of Date - 30	93	68	25	94	94
     	As of Date - 31	51	97	-46	48	48
     As of Date - 3 to As of Date - 32	As of Date - 3	71	97	-26	-26	26
     	As of Date - 4	84	89	-5	-31	31
     	As of Date - 5	8	57	-49	-80	80
     	As of Date - 6	40	59	-19	-99	99
     	As of Date - 7	42	87	-45	-144	144
     	As of Date - 8	100	6	94	-50	50
     	As of Date - 9	41	30	11	-39	39
     	As of Date - 10	45	9	36	-3	3
     	As of Date - 11	9	32	-23	-26	26
     	As of Date - 12	59	67	-8	-34	34
     	As of Date - 13	61	10	51	17	17
     	As of Date - 14	22	36	-14	3	3
     	As of Date - 15	63	81	-18	-15	15
     	As of Date - 16	36	3	33	18	18
     	As of Date - 17	61	22	39	57	57
     	As of Date - 18	94	37	57	114	114
     	As of Date - 19	3	18	-15	99	99
     	As of Date - 20	13	27	-14	85	85
     	As of Date - 21	24	56	-32	53	53
     	As of Date - 22	57	75	-18	35	35
     	As of Date - 23	66	87	-21	14	14
     	As of Date - 24	33	71	-38	-24	24
     	As of Date - 25	29	30	-1	-25	25
     	As of Date - 26	64	25	39	14	14
     	As of Date - 27	54	39	15	29	29
     	As of Date - 28	51	6	45	74	74
     	As of Date - 29	35	31	4	78	78
     	As of Date - 30	93	68	25	103	103
     	As of Date - 31	51	97	-46	57	57
     	As of Date - 32	12	31	-19	38	38
     As of Date - 4 to As of Date - 33	As of Date - 4	84	89	-5	-5	5
     	As of Date - 5	8	57	-49	-54	54
     	As of Date - 6	40	59	-19	-73	73
     	As of Date - 7	42	87	-45	-118	118
     	As of Date - 8	100	6	94	-24	24
     	As of Date - 9	41	30	11	-13	13
     	As of Date - 10	45	9	36	23	23
     	As of Date - 11	9	32	-23	0	0
     	As of Date - 12	59	67	-8	-8	8
     	As of Date - 13	61	10	51	43	43
     	As of Date - 14	22	36	-14	29	29
     	As of Date - 15	63	81	-18	11	11
     	As of Date - 16	36	3	33	44	44
     	As of Date - 17	61	22	39	83	83
     	As of Date - 18	94	37	57	140	140
     	As of Date - 19	3	18	-15	125	125
     	As of Date - 20	13	27	-14	111	111
     	As of Date - 21	24	56	-32	79	79
     	As of Date - 22	57	75	-18	61	61
     	As of Date - 23	66	87	-21	40	40
     	As of Date - 24	33	71	-38	2	2
     	As of Date - 25	29	30	-1	1	1
     	As of Date - 26	64	25	39	40	40
     	As of Date - 27	54	39	15	55	55
     	As of Date - 28	51	6	45	100	100
     	As of Date - 29	35	31	4	104	104
     	As of Date - 30	93	68	25	129	129
     	As of Date - 31	51	97	-46	83	83
     	As of Date - 32	12	31	-19	64	64
     	As of Date - 33	34	36	-2	62	62

The largest 30-day absolute net collateral flow for each rolling 30-day period and the 24-month look-back value (in this example, the 34-day look-back value) is computed as follows:

Table 3-6 Illustration continued: 24-month look-back calculations

Rolling 30-Day Period	Largest 30-Day Absolute Net Collateral Flow [f = Max (e)]	24 Month Look-back Value [Max (f)]
As of Date to As of Date - 29	212	212
As of Date - 1 to As of Date - 30	161
As of Date - 2 to As of Date - 31	153
As of Date - 3 to As of Date - 32	144
As of Date - 4 to As of Date - 33	140