14.2.2.7.1.2 Calculation of Contractually Receivable Collateral

The application computes the value of the collateral that a derivative counterparty is required to post contractually to the bank as per the below procedure:

  1. If Secured Indicator = No, then the contractually receivable collateral is 0. Else,
  2. If Secured Indicator = Yes and Gross Exposure is <= 0, then the contractually receivable collateral is 0. Else,
  3. If Secured Indicator = Yes and Gross Exposure is >0, then the application computes the contractually receivable collateral as follows:

    Figure 14-10 Formula to calculate contractually receivable collateral


    This illustration shows the formula to calculate 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