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190. Calculation of the numerator for counterparties (LCR, Basel III)
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Domain: World
Definition
The numerator for counterparties is calculated by aggregating the total of all types of liabilities to a single counterparty or group of connected or affiliated counterparties, as well as all other direct borrowings, both secured and unsecured, which the bank can determine arise from the same counterparty(58) (such as for overnight commercial paper / certificate of deposit (CP/CD) funding).
Additional information:
(58) For some funding sources, such as debt issues that are transferable across counterparties (such as CP/CD funding dated longer than overnight, etc), it is not always possible to identify the counterparty holding the debt.