O.O.16: Total Collateral Required Due to a Change in Financial Condition
Refers to the total cumulative fair value of additional collateral the reporting entity’s counterparties will require the reporting entity to post as a result of a change in the reporting entity’s financial condition, which includes a downgrade of the reporting entity’s rating up to but not including default. Report figures based on contractual commitments. Collateral required includes, but is not limited to, collateral called from OTC derivative transactions and exchanges. Include outflows due to additional termination events, but do not include inflows from netting sets that are in a net receivable position. Do not double count balances reported in O.O.12.