1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Liquidity Coverage Ratio Calculation as Per Delegated Act
  3. Calculation of Contractually Required Collateral
  4. For Derivatives
  5. Calculating Contractually Receivable Collateral

4.4.1.2 Calculating Contractually Receivable Collateral

The application computes the value of the collateral that a derivative counterparty is required to post contractually to the bank as follows, if one of the following conditions are met:
  1. If Secured Indicator is No, then the contractually receivable collateral is 0.
  2. If Secured Indicator is Yes and Gross Exposure is less than or equal to 0, then the contractually receivable collateral is 0.
  3. If Secured Indicator is Yes and Gross Exposure is greater than 0, then the application computes the contractually receivable collateral as follows:

    Figure 3-11 Contractually Receivable Collateral


    This image displays the 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.