1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Contractually Required Collateral
  5. In Case of Derivatives
  6. Calculation of Contractually Due Collateral

4.2.10.1.1 Calculation of Contractually Due Collateral

The application computes the value of collateral that a bank is required to post contractually to its derivative counterparty as per the below procedure:
  1. If Secured Indicator = No, then the contractually due collateral is 0. Otherwise:
  2. If Secured Indicator = Yes and CSA Type = One way then the contractually due collateral is 0. Otherwise:
  3. If Secured Indicator = Yes, CSA Type = Two way and Gross Exposure is >= 0, then the contractually due collateral is 0. Otherwise:
  4. If Secured Indicator = Yes, CSA Type = Two way and Gross Exposure is <0, the application computes the contractually due collateral as follows:

    This image displays the Contractually Due Collateral.

    Where:
    Threshold: Unsecured exposure that a party to a netting agreement is willing to assume before making collateral calls.
  5. If Secured Indicator = Yes , CSA Type = Two way and Gross Exposure is <0,then the application computes contractually due collateral for Non-Netted Derivatives as follows:

    This image displays the Contractually Due Collateral.

    The contractually due collateral is assumed to be posted and therefore receives the relevant outflow rate specified by the regulator as part of the pre-configured business assumptions for LCR calculations.