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

4.2.7.2 Calculation of Contractually Receivable Collateral

The application computes the value of 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 3-15 Contractually Receivable Collateral


    Contractually Receivable Collateral

    The contractually receivable collateral does not receive a pre-specified inflow rate from the regulator and is, therefore, excluded from the LCR calculations. However, the application computes this for the purpose of reporting.