5.2.10.3.2 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:
- If a downgrade trigger does not exist for the liability account, the downgrade
impact amount is 0.
OR
- The downgrade impact amount for liabilities other than derivatives and securitizations is calculated as follows:
Figure 4-14 Downgrade Impact Amount
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.