14.2.2.7.1.1 Calculation of Contractually Due Collateral

  1. If Secured Indicator is No, then the contractually due collateral is 0.
  2. If Secured Indicator is Yes and CSA Type is One way, then the contractually due collateral is 0.
  3. If Secured Indicator is Yes, CSA Type is Two way and Gross Exposure is greater than or equal to 0, then the contractually due collateral is 0.
  4. If Secured Indicator is Yes, CSA Type is Two way and Gross Exposure is less than 0, the application computes the contractually due collateral as follows:

The application computes the value of the collateral that a bank is required to post contractually to its derivative counterparty as follows:

Figure 14-9 Contractually Due Collateral formula


This image illustrates the formula to calculate Contractually Due Collateral.

Where,

Threshold is the unsecured exposure that a party to a netting agreement is willing to assume before making collateral calls.

The contractually due collateral is assumed to be posted and therefore receives the relevant outflow rate specified by the regulator as part of the pre-configured business assumptions for LCR calculations.