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 Derivatives
  6. Calculating Excess Collateral Receivable

4.4.3.1.2 Calculating Excess Collateral Receivable

The application computes the value of the collateral that the bank has posted to its derivative counterparty, over the contractually required collateral, and therefore can be withdrawn by the bank, as follows:
  1. 1. If Secured Indicator is No, then the excess collateral receivable is 0.
  2. If Secured Indicator is Y and Gross Exposure are greater than or equal to 0, the application computes the excess collateral receivable as follows:

    Figure 3-16 Excess Collateral Receivable


    This image displays the Excess Collateral Receivable.

    Where:
    Adjusted collateral posted: Collateral posted by the bank less firm withdrawable collateral.
    Firm withdrawable collateral: Collateral provided under re-hypothecation rights that can be contractually withdrawn by the bank within the LCR horizon without a significant penalty associated with such a withdrawal.
  3. If Secured Indicator is Y and Gross Exposure are less than 0, the application computes the excess collateral receivable as follows:

    Figure 3-17 Excess Collateral Receivable


    This image displays the Excess Collateral Receivable.

    The excess collateral receivable does not receive a pre-specified inflow rate from the regulator and is, therefore, excluded from the LCR calculations. However, the application computes this to report.