Other Collateral Substitution Risk
Definition
Refers to the potential funding risk arising from the reporting entity’s counterparties of non-
Refers to the potential funding risk arising from the reporting entity’s counterparties of non- derivative transactions having the contractual ability to substitute collateral with higher liquidity value currently held by the reporting entity with collateral of lower liquidity value or collateral that the reporting entity cannot monetize either due to liquidity or operational constraints. Report only a single value in USD per reporting entity, representing the difference between the fair value of the collateral held and the fair value of collateral that could be received, after applying the haircut factors prescribed in the LRM Standards.
Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.
Cross-References
Reporting Notes
Report only a single value in USD per reporting entity, representing the difference between the fair value of the collateral held and the fair value of collateral that could be received, after applying the haircut factors prescribed in the LRM Standards.
Version History
Current version