4.2.9.2 Calculation of Downgrade Impact Amount for Other Liabilities

In case of other liabilities, including annuities, that have an associated downgrade, the downgrade impact amount is calculated as follows:

1. If a downgrade trigger does not exist for the liability account, the downgrade impact amount is 0. Else,
2. The downgrade impact amount for liabilities other than derivatives and securitizations is calculated as follows:

   Figure 3-21 Downgrade Impact Amount for Other Liabilities

   
   

   

   
   

   Note:

   Any liability account that is triggered due to a particular level of ratings downgrade has an outflow corresponding to a pre-specified percentage of the downgrade impact amount. For instance, if a 3-notch downgrade is specified, then the downgrade impact amount will outflow only for those accounts that have a trigger of 1-notch, 2-notches and 3-notches. If a 2-notch downgrade is specified, then the downgrade impact amount will outflow only for those accounts that have a trigger of 1-notch and 2-notches.The ratings downgrade and the outflow percentage as specified by the regulator are part of the pre-configured business assumptions for LCR calculations.