4.2.8.2 Calculation of Excess Collateral Receivable

The application computes the value of collateral that the bank has posted to its derivative counterparty, in excess of the contractually required collateral, and therefore can be withdrawn by the bank, as per the below procedure:

1. If Secured Indicator = No, then the excess collateral receivable is 0. Else,
2. If Secured Indicator = Y and Gross Exposure is >=0, the application computes the excess collateral receivable as follows:

   Figure 3-18 Calculation of Excess Collateral Receivable

   
   

   

   
   
   Where,
   Adjusted collateral posted: Collateral posted by the bank less firm withdrawable collateral Firm withdrawable collateral:
   Collateral provided under re-hypothecation rights that can be contractually withdrawn by the bank within the LCR horizon without a significant penalty associated with such a withdrawal
3. If Secured Indicator = Y and Gross Exposure is <0, the application computes the excess collateral receivable as follows:

   Figure 3-19 Excess collateral receivable

   
   

   

   
   
   The excess collateral receivable 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.