1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Twenty Four Month Look-back Amount

4.2.11 Calculation of Twenty Four Month Look-back Amount

The application computes the 24 month look-back amount, for the purpose of defining outflows due to increased liquidity needs related to market valuation changes on derivatives as per the procedure given below:
  • 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:

    Net Mark-to-Market 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:

    Cumulative net Mark-to-Market 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:

    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:

    Largest 30-day absolute net collateral flow

    Note:

    Steps (1) to (4) are repeated for each rolling 30-day historical time window.
  5. The 24-month look-back amount is calculated as follows:

    24-month look-back 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 that is first 30-day block is As of Date to As of Date - 29; 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 each 24 month period.
    The 24-month look-back calculations are illustrated below considering a 34-day historical time window instead of 24-months. This results in 5 rolling 30-day windows.

    Table 3-1 24-month look-back calculations

    Rolling 30-Day Period Day Mark-To-Market Collateral Outflows Due To Derivative Transaction Valuation Changes (a) Mark-To-Market Collateral Inflows Due To Derivative Transaction Valuation Changes (b) Net Mark-To-Market Collateral Change (c = a – b) Cumulative Net Mark-To-Market Collateral Change (d = Cumulative c) Absolute Net Mark-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) are computed as follows:
    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