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. For Other Assets and Liabilities
  6. Calculating Excess Collateral Due

4.4.3.2.1 Calculating Excess Collateral Due

The application calculates the excess collateral due for other assets and liabilities as follows, if one of the following conditions are met:
  1. If Balance Sheet Category is Liability, then the contractually due collateral is 0.
  2. If Balance Sheet Category is Asset, and Secured Indicator is N, then the contractually due collateral is 0.
  3. If Balance Sheet Category is Asset, and Secured Indicator is Y, then the application computes the contractually due collateral as follows:

    Figure 3-18 Excess Collateral Due


    This image displays the Excess Collateral Due.