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. Calculating Excess Collateral
  5. Calculating Downgrade Impact Amount
  6. Calculating Downgrade Impact Amount for Other Liabilities

4.4.3.3.2 Calculating Downgrade Impact Amount for Other Liabilities

The application calculates the downgrade impact amount for other liabilities, including annuities that have an associated downgrade, derivatives as follows, if one of the following conditions are met:
  1. If a downgrade trigger does not exist for the liability account, the downgrade impact amount is 0.
  2. The downgrade impact amount for liabilities other than derivatives and securitizations is calculated as follows:

    Figure 3-21 Downgrade Impact Amount


    This image displays the Downgrade Impact Amount.

    Note:

    Any liability account that is triggered due to a particular level of rating 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 rating downgrade and the outflow percentage as specified by the regulator are part of the preconfigured business assumptions for LCR calculations.