4.2.10.1.1 Calculation of Excess Collateral Due

The application computes the value of the collateral that a derivative counterparty has posted to the bank, over the contractually required collateral, and therefore can be withdrawn by the counterparty, as follows:

1. If Secured Indicator is No, then the excess collateral due is 0.
2. If Secured Indicator is Y and Gross Exposure are less than or equal to 0, the application computes the excess collateral due as follows:
   
   

   

   
   

   Where,

   Adjusted collateral received: Collateral received from the counterparty less customer withdrawable collateral.

   Customer withdrawable collateral: Collateral received under rehypothecation rights that can be contractually withdrawn by the customer within the LCR horizon without a significant penalty associated with such a withdrawal.

3. If Secured Indicator is Y and Gross Exposure are greater than 0, the application computes the excess collateral due as follows:
   
   

   

   
   

   The excess collateral due is assumed to be recalled by the counterparty and therefore receives the relevant outflow rate specified by the regulator as part of the preconfigured business assumptions for LCR calculations.