3 Liquidity Coverage Ratio Calculation

LCR is the first standard that assesses the short-term liquidity challenges of a bank. The two standards - LCR and NSFR, complement each other, and are aimed at providing a holistic picture of a bank’s funding risk profile, and aid in better liquidity risk management practices.

Inputs

The OFS Liquidity Risk Regulatory Calculations for Bank Negara Malaysia (LRRCBNM) application requires the following inputs for LCR calculation:

· Liquidity haircut for each asset level should be provided through business assumptions, with the assumption category as valuation change, and assumption subcategory as the haircut.

· Business assumption which defines the outflow percentage should be defined through appropriate business assumptions. For example, Retail Deposit Run-off is defined through a business assumption with the assumption category as Incremental Cash Flow, and subcategory as Run-off.

· Business assumption which defines the inflow percentage should be defined through appropriate business assumptions. For example, Rollover Reverse Repo is defined through a business assumption with the assumption category as Cash Flow Movement, and subcategory as Rollover.

Process Flow

The application supports a ready-to-use BNM LCR, which has the regulatory scenario with associated HQLA haircuts, inflow and outflow percentage/rates preconfigured in the form of rules and business assumptions.

Identifying Asset Levels

High-Quality Liquid Assets (HQLA) are unencumbered high-quality liquid assets, that can be easily sold or used as collaterals to obtain funds at little or no loss of value even under stress scenarios. All assets, whether owned by the bank or received from counterparties as collaterals, that meet the high quality liquid asset criteria specified by Bank Negara Malaysia (BNM), are classified by the application as follows:

Level 1 assets can be included without limit, and Level 2 assets can only include 40% of the stock of HQLA. Of this, Level 2B assets can only include 15% of the stock of HQLA. Any asset not classified as an HQLA is considered as Other Asset.

Identifying and Treating Level 1 Assets

Central bank reserves (including required reserves), to the extent that the central bank policies allow them to be drawn down in times of stress. These include:

— They are explicitly and contractually repayable on notice from the depositing bank.

— They constitute a loan against which the bank can borrow on a term basis or an overnight but automatically renewable basis (only where the bank has an existing deposit with the relevant central bank).

f. The bank’s balances that are held under the Statutory Reserve Requirement (SRR).

b. Constitute a loan against which the bank can borrow on a term basis, or an overnight basis with an automatic renewal.

3. Foreign bank branches can include the RCLF from Bank as HQLA up to 40% of the minimum LCR requirement.

4. Debt securities issued in currencies other than Malaysian Ringgit, in the country in which the liquidity risk is being taken or in the bank’s home country where the issuer type is the sovereign or central bank and the risk weight assigned to the sovereign is greater than 0%.

5. Excess reserves held with foreign central banks, where an international rating agency has assigned a 0% risk weight to the foreign sovereign.

6. Excess reserves held with foreign central banks, where an international rating agency has assigned a non-0% risk weight to the foreign sovereign and a 0% risk weight has been assigned at national discretion under Basel II Framework, to the extent these balances cover the bank’s stressed net cash outflows in that specific currency.

7. Central bank excess reserves include the balance held by a bank at the central bank directly or through a correspondent bank less any minimum reserve requirement. It also includes overnight deposits or term deposits held with the central bank that meet the regulatory criteria. The value of eligible term deposits that are included in the net amount of any withdrawal penalty.

The process of identifying the value to be included in the stock of HQLA up to the extent of a bank stressed net cash outflows in a particular currency is documented in the following section.

8. Marketable securities representing claims on or claims explicitly guaranteed by sovereign and central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Commission, or multilateral development banks that satisfy all of the following conditions:

§ They have been assigned a rating corresponding to a 0% risk-weight as per the Capital Adequacy Framework or the Capital Adequacy Framework for Islamic Banks (Risk-Weighted Assets) by a recognized external credit assessment institution (ECAI).

§ A rating corresponding to a 0% risk-weight as per the Capital Adequacy Framework or the Capital Adequacy Framework for Islamic Banks (Risk-Weighted Assets) by a recognized external credit assessment institution (ECAI) has been assigned to them.

§ Traded in large, deep, and active repo or cash markets characterized by a low level of concentration.

§ Have a proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions.

§ Not an obligation of a financial institution or any of its affiliated entities.

9. Non-0% risk-weighted sovereign or central bank debt securities denominated in Malaysian ringgit:

§ In the country where the liquidity risk is being taken or in the home country of the banking institution.

§ Where the holdings of the debt and the currency requirements of the banking institution’s operations are a match.

§ Where an arrangement has been established between central banks of the country, which enable financial institutions operating in one jurisdiction to obtain liquidity denominated in that jurisdiction’s local currency from the local central bank in which the liquidity risk is being taken by the sovereign or central bank.

To meet this requirement the application identifies and updates the following flag:

a. The existence of the bank’s operations in a particular jurisdiction is identified. If the bank holds either liabilities or non-marketable assets in that jurisdiction, the application assumes that the bank has operations in that specific jurisdiction. This is identified in a country and currency combination.

b. The application then identifies whether the asset is held to meet the bank’s net stressed cash outflows in that currency arising from the bank’s operations in that specific jurisdiction by checking the following conditions:

ii. If the issuer’s country is the same as the country in which local operations are present in a particular jurisdiction as identified in step (i) above.

iii. If the account currency is the same as the currency in which local operations are present in a particular jurisdiction as identified in step (i) above.

If all the above criteria are met, the account country's liquidity risk flag is updated as Yes. This indicates that the particular asset is held to meet the net cash outflows in a particular jurisdiction.

c. Finally, the application identifies the amount to be included in the stock of HQLA when account country liquidity risk flag = Yes using the following calculation:

b. Identifies the currency of the branches in step (i), which are equal to the account currency.

c. If the condition in step (ii) is fulfilled, then the application updates the flag as Yes else No.

10. Debt securities issued by a non-0% risk-weighted domestic sovereign or central bank denominated in foreign currencies, where the holdings of such debt match the currency requirements of the banking institution’s operations in that jurisdiction.

11. Debt securities issued in foreign currencies are eligible up to the amount of the bank’s stressed net cash outflows in that specific foreign currency stemming from the bank’s operations in the jurisdiction where the bank’s liquidity risk is being taken, where the issuer type is domestic sovereign or central bank assigned a non-0% risk weight. Such marketable securities are included in the stock of HQLA only up to the extent of the bank’s net stressed cash outflows in that currency arising from bank’s operations in that foreign jurisdiction.

Assets classified as HQLA Level 1 are assigned a 0% haircut under the regulatory scenario prescribed by BNM.

Identifying and Treating Level 2A Assets

§ Not an obligation of a financial institution or any of its affiliated entities

2. Price has not decreased, or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress specified by the bank.

3. Corporate debt securities (including commercial paper) and covered bonds or sukuk that satisfy the following conditions:

§ Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities (in case of covered bonds).

— A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AAA or,

— If the long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than P1 or,

— If it does not have an assessment by a recognized ECAI, the probability of default as per the internal rating corresponding to a rating which is equal to or greater than AAA.

Price has not decreased, or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress which is specified by the bank.

4. Marketable debt securities, including commercial papers, issued by Cagamas Berhad with a rating of AAA/P1 by a recognized ECAI or internally rated as having a PD corresponding to a credit rating of AAA.

6. Banker's Acceptance and Islamic Bill of Exchange. Banker's Acceptance and Islamic Bill of Exchange which satisfies the following conditions:

§ Issuer type is not the bank itself for which the computations are being carried.

— A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AA or,

— If the long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than P2 or MARC2,

Price has not decreased, or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress which is specified by the bank.

7. Negotiable Instruments of Deposit (NIDs) or Islamic Negotiable Instruments which satisfy the following conditions:

§ Issuer type is not the bank itself for which the computations are being carried.

— A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AA or,

— If the long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than P2 or MARC2.

Price has not decreased, or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress which is specified by the bank.

Identifying and Treating Level 2B RMBS Assets

1. Residential mortgage-backed securities (RMBS) issued by Cagamas MBS Berhad that either has long term rating of AAA by a recognized ECAI or equivalent short-term rating.

Assets classified as HQLA Level 2B RMBS asset and not Level 2B Non-RMBS are assigned a 15% haircut under the regulatory scenario prescribed by BNM.

Identifying and Treating Level 2B Non-RMBS I Assets

Corporate debt securities (including commercial paper) which satisfy the following conditions:

· Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities.

§ A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) between AA- to AA+, or

§ Price has not decreased, or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress which is specified by the bank.

Assets classified as HQLA Level 2B Non-RBMS I are assigned a 20% haircut under the regulatory scenario prescribed by BNM.

Identifying and Treating Level 2B Non-RMBS II Assets

Corporate debt securities (including commercial paper) which satisfy the following conditions:

· Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities.

§ A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) between A- to A+, or

§ Price has not decreased, or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress which is specified by the bank.

Identifying Eligible HQLA

The application identifies whether a bank’s asset or a mitigant received under rehypothecation rights meets all the operational requirements prescribed by BNM. If an asset classified as HQLA meets all the relevant operational criteria, it is identified as eligible HQLA and included in the stock of HQLA. The application checks for the following operational criteria:

An asset is considered HQLA only if the bank has demonstrated the operational capability to monetize such an asset and has periodically monetized such an asset. The application captures this information for each asset as a flag.

The application looks at the encumbrance status and includes only those assets in the stock which are unencumbered. If partially encumbered, then the portion of the asset that is unencumbered is considered as HQLA and included in the stock. If an asset is pledged to the central bank, or a PSE, but is not used, the unused portion of such an asset is included in the stock. The application assigns the usage of a pledged asset in the ascending order of asset quality that is the lowest quality collateral is marked as used first.

Assets received under rehypothecation rights as part of the reverse repo and securities financing transactions are considered as eligible HQLA if they are not re-hypothecated. An asset pledged to central banks or PSEs, but not used is considered eligible HQLA. Any asset that a bank receives under a rehypothecation right is not considered eligible HQLA if the counterparty or beneficial owner of the asset has a contractual right to withdraw the asset at any time within 30 calendar days.

The application includes unsegregated assets, received as collateral under rehypothecation rights, for derivative transactions, in the stock of HQLA. Conversely, it excludes all segregated assets from the stock of HQLA.

To be considered eligible HQLA the asset is required to be under the control of the management function of the bank that manages liquidity, for example, Treasurer. The application captures this information for each asset as a flag.

The application assesses whether an HQLA is encumbered based on the following factors:

a. An asset must not be included in the stock if the sale of it without a replacement within 30 days removes a hedge that creates an open risk to the banking institution in the excess of an internal limit.

Calculating Stock of High-Quality Liquid Assets

All unencumbered assets classified as Level 1, 2A or 2B, which meet the HQLA eligibility criteria, are included in the stock of high-quality liquid assets (SHQLA). The formula for calculating SHQLA is as follows:

The application applies the relevant liquidity haircuts to the market value of each eligible HQLA based on the haircuts specified as part of a business assumption. The sum of haircut adjusted market value of all assets which are not ‘other assets’ and which are classified as ‘eligible HQLA’ comprises of the stock of HQLA. The stock includes the bank’s assets which are unencumbered, that is not placed as collateral; as well as assets received from counterparties where the bank has a rehypothecation right and where such assets are not re-hypothecated.

Calculating Stock of Liquid Assets

The stock of level 1 assets equals the market value of all level 1 liquid assets held by the bank as on the calculation date that is eligible HQLA, less the amount of the minimum/mandatory reserves less hedge termination costs (if any), less withdrawal penalty on time deposits (if any).

The stock of level 2A liquid assets equals 85 percent of the market value of all level 2A liquid assets held by the bank as on the calculation date that are eligible HQLA, less hedge termination costs (if any).

The stock of level 2B liquid asset amount equals 50 percent of the market value of all level 2B liquid assets held by the bank as on the calculation date that are eligible HQLA, less hedge termination costs (if any).

The stock of level 2B RMBS liquid asset amount equals 75 percent of the market value of all level 2B RMBS liquid assets held by the bank as of the calculation date that is eligible HQLA, less hedge termination costs (if any).

The stock of level 2B liquid assets equals 50 percent of the market value of all level 2B non-RMBS liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).

The stock of level 2B liquid assets include a deduction of 50 percent of the market value of all level 2B non-RMBS liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).

Identifying Eligible HQLA on Unwind

The application identifies the assets placed as collateral which are eligible HQLA if they are not encumbered. Placed collateral is marked as eligible HQLA on unwind if it fulfills all of the following criteria:

Unwinding of Transactions Involving Eligible HQLA

The application identifies all transactions maturing within the LCR horizon where HQLA is placed or received. These transactions include repos, reverse repos, secured lending transactions, collateral swaps and so on. Such transactions are unwound that is, the original position is reversed and the cash or stock of HQLA is adjusted accordingly. This is done to avoid including any asset in the stock that should be returned to its owner before the end of the LCR horizon. The unwinding of transactions results in adjustments to the stock of HQLA, such as additions to or deductions from the stock of HQLA.

Calculating Adjusted Stock of HQLA

Adjustments relate to the cash received or paid, and the eligible level 1 assets posted or received as collaterals, or underlying assets as part of secured funding, secured lending and asset exchange transactions.

Adjustments relate to eligible level 2A assets posted or received as collaterals, or underlying assets as part of secured funding, secured lending and asset exchange transactions.

Adjustments relate to eligible level 2B assets posted or received as collaterals, or underlying assets as part of secured funding, secured lending and asset exchange transactions.

The formula for calculating adjusted stock of level 2B RMBS assets is as follows:

Adjustments relate to eligible level 2B RMBS assets posted or received as collateral or underlying assets as part of a secured funding transaction, secured lending transaction, asset exchanges, or collateralized derivatives transaction.

The formula for calculating adjusted stock of level 2B non-RMBS I assets is as follows:

Adjustments relate to eligible level 2B Non-RMBS assets posted or received as collateral or underlying assets as part of a secured funding transaction, secured lending transaction, asset exchanges, or collateralized derivatives transaction.

The formula for calculating adjusted stock of level 2B non-RMBS II assets are as follows:

Calculating Adjustments to Stock of HQLA Due to Cap on Level 2 Assets

Level 2B assets can only constitute up to 15% of the stock of HQLA after considering the impact of unwinding transactions maturing within the LCR horizon. Adjustment to the stock of HQLA due to a cap on Level 2B assets that is adjustment for 15% cap is calculated as follows:

Level 2 assets can only constitute up to 40% of the stock of HQLA after considering the impact of unwinding transactions maturing within the LCR horizon. Adjustment to the stock of HQLA due to the cap on Level 2 assets that is adjustment for 40% cap is calculated as follows:

Classifying Operational Deposits

Operational deposits are those deposits placed by customers with a bank or balances kept by the bank with other financial institutions to meet their payment and settlement requirements and other operational requirements. The application classifies accounts as operational if they meet the following criteria:

1. They are held in specifically designated accounts that are held as operational accounts, by the customers at the bank.

2. They are priced without giving economic incentives to the customer to leave excess funds in the account.

3. They arise out clearing, custody or cash management relationship with the bank.

4. They do not arise out of correspondent banking services or in the context of prime brokerage services.

5. The termination of such agreements requires a minimum notice period of 30 days.

6. If the agreement can be terminated within 30 days, the customer must pay significant switching or termination costs to the bank.

Any excess balances held in an account classified as an operational deposit over and above that which is required to meet the operational requirements of the customer is assigned a higher outflow rate by the regulator. The application supports a methodology for computing the portion of the balance held for operational purposes which are truly required to meet the operational requirements of the customer. For details see Calculating Operational Amount.

Insurance Allocation

Identifying Insurance Eligible Accounts

The identification of insurance eligible accounts involves looking at the inclusion as well as the exclusion criteria. The application requires users to provide the following inclusion criteria:

OFS LRRCBNM allocates the insurance limit separately for each ownership category level. Ownership categories include single accounts, joint accounts, trust accounts and so on. As per the Perbadanan Insurans Deposit Malaysia (PIDM), a separate limit is assigned to a depositor combination based on the ownership category of accounts. Users are required to provide the ownership categories that get a separate limit. If a particular customer gets a single limit irrespective of whether the accounts are held as single, joint or a combination, the ownership category should have a single default value.

This is a list of product types that are covered under the respective jurisdiction’s deposit insurance scheme. The insurance limit is allocated to only those customer accounts whose product types match those covered by the deposit insurance. In the case of Malaysia, PIDM covers all types of deposits such as current accounts, savings accounts and term deposits, which must be provided as inputs.

The sequence in which the insured amount is to be allocated to each product type is captured. For instance, product prioritization may be specified as a current account, savings account, and term deposit. This indicates that the insured amount is allocated first to a current account held by the customer. After current accounts have been fully covered, the remaining amount is allocated to savings accounts and finally to term deposits.

In case product type prioritization is not specified, the default allocation will be proportionate to the EOP balance of each account irrespective of the product type.

This is a list of currencies in which the accounts are denominated that are eligible for insurance coverage under a deposit insurance scheme. Some jurisdictions cover foreign currency deposits under their deposit insurance schemes. If eligible currencies are specified for insurance, then the insured balance is allocated to all accounts belonging to the particular legal entity which have the associated attributes required for assigning the insured balance. For instance, if Perbadanan Insurans Deposit Malaysia (PIDM) insures only Malaysian Ringgit denominated deposits. The eligible currency against the PIDM insurance scheme should be provided as Malaysian Ringgit.

The application includes insurance exemption criteria covering deposits of foreign sovereigns, central and state governments, and banks and so on. The deposits that are eligible for insurance under a particular insurance scheme are identified based on the inclusion and exclusion criteria as specified by the users.

Allocating Deposit Insurance

As part of the BNM Run, the application allocates the deposit insurance to accounts based on the guidelines specified by the PIDM. The insurance limit captured against each deposit insurance scheme is allocated to the insurance eligible accounts under that scheme based on the ownership category and the depositor combination.

The insurance limit, that is the maximum deposit balance covered by an insurance scheme per customer, is captured against each insurance scheme - ownership category combination. Customers having an account in multiple legal entities get a separate deposit insurance limit per legal entity. In the case of the PIDM insurance scheme, the limit amount must be provided in Stage Insurance Scheme Master Table at the granularity of the insurance scheme.

1. The application identifies the established relationship flag at a customer level.

3. The insurance allocation is done based on the principal balance from the highest to the least, in the order of product type prioritization.

4. The insurance limit available is allocated to account 1 to n - 1 as per the following formula:

X : Number of accounts up to the current account to which insured amount is to be allocated

n : Total number of accounts of a customer which are eligible for insurance coverage under a given ownership category

The remaining available insurance is allocated to the last account that is account n for which insurance was not allocated.

5. If the insurance limit is available after allocating to the principal balances, it is allocated to the accrued interest from the highest to the least in the order of Product Type prioritization.

Following is an illustration of this procedure. It considers an insurance limit of 2,50000 Malaysian Ringgit for each depositor combination under each ownership category for each legal entity. The inputs to this calculation, including account details and customer details, are as follows.

Illustration: Insurance Allocation
Legal Entity	Account Number	Account Balance	Principal Balance	Accrued Interest	Account Holding Type	Primary Holder	Secondary Holder 1	Secondary Holder 2	Insurance Scheme	Availability of Joint Account Balance Split	Number of Account Holders	Principal Balance Per Customer	Accrued Interest Per Customer
Legal Entity 1	100001	959967	959967		Single	Customer A			DPA		1
Legal Entity 1	100002	100980	95931	5049	Single	Customer A			DPA		1
Legal Entity 1	100003	124342	112602	11740	Single	Customer A			DPA		1
Legal Entity 1	100004	80900	73619	7281	Joint	Customer A	Customer B		DPA	Yes	2
Legal Entity 1	100005	55226	55226		Joint	Customer A	Customer B	Customer D	DPA	No	3	18408.67	0.00
Legal Entity 2	200001	713335	713335		Single	Customer A			DPA		1
Legal Entity 2	200002	127132	127132		Joint	Customer B	Customer C		DPA	No	2	63566.00	0.00
Legal Entity 2	200003	138828	124946	13882	Joint	Customer C	Customer B		DPA	Yes	2
Legal Entity 2	200004	135429	135429		Joint	Customer B	Customer A	Customer C	DPA	No	3	45143.00	0.00
Legal Entity 3	300001	117603	95259	22344	Single	Customer B			FDIC		1
Legal Entity 3	300002	124775	107121	17654	Single	Customer B			FDIC		1
Legal Entity 3	300003	76065	76065		Single	Customer C			FDIC		1
Legal Entity 3	300004	82622	82622		Joint	Customer A	Customer B		FDIC	No	2	41311.00	0.00
Legal Entity 3	300005	113340	113340		Joint	Customer B	Customer A		FDIC	No	2	56670.00	0.00

The application allocates the insurance limit of Malaysian Ringgit 10,000,000 to all eligible accounts as follows:

Insurance Allocation for Customer A
Insurance Scheme	Legal Entity	Account Number	Account Type	Account Currency	Principal Balance	Accrued Interest	Available Insurance Limit	Insured Principal Balance	Available Insurance Limit - Interest	Insured Accrued Interest	Total Insured Amount	Uninsured Principal Balance	Uninsured Accrued Interest	Total Uninsured Amount
PIDM	Legal Entity 1	100001	Current Account	MYR	Y	Single	959967.00	0.00	250000.00	250000.00	64924.67	0.00	250000.00	709967.00
100002	Savings Account	SGD	N	Single	95931.00	5049.00	250000.00	95931.00	24630.30	5049.00	100980.00	0.00
100005	Current Account	MYR	Y	Joint	18408.67	0.00	83333.33	18408.67	64924.67	0.00	18408.67	0.00
100004	Savings Account	MYR	N	Joint	47852.35	5096.70	162500.00	47852.35	29727.00	5096.70	52949.05	0.00
100003	Term Deposit	MYR	N	Single	112602.00	11740.00	154069.00	112602.00	41467.00	11740.00	124342.00	0.00
Legal Entity 2	200001	Current Account	MYR	Y	Single	713335.00	0.00	250,000	250000.00	0.00	0.00	250000.00	463335.00
200004	Current Account	MYR	N	Joint	45143.00	0.00	83,333	45143.00	38190.33	0.00	45143.00	0.00
	Legal Entity 3	300004	Current Account	INR	N	Joint	41311.00	0.00	125,000	41311.00	83689.00	0.00	41311.00	0.00
	300005	Current Account	INR	N	Joint	56670.00	0.00	83,689	56670.00	27019.00	0.00	56670.00	0.00

Insurance Allocation for Customer B
Insurance Scheme	Legal Entity	Account Number	Account Type	Account Currency	Principal Balance	Accrued Interest	Available Insurance Limit	Insured Principal Balance	Available Insurance Limit - Interest	Insured Accrued Interest	Total Insured Amount	Uninsured Principal Balance	Uninsured Accrued Interest	Total Uninsured Amount
PIDM	Legal Entity 1	100005	Current Account	MYR	Y	Joint	18408.67	0.00	83333.33	18408.67	64924.67	0.00	18408.67	0.00
100004	Savings Account	MYR	N	Joint	25766.65	2184.30	87500.00	25766.65	61733.35	2184.30	27950.95	0.00
Legal Entity 2	200002	Current Account	MYR	N	Joint	63566.00	0.00	87500.00	63566.00	0.00	0.00	63566.00	0.00
200004	Current Account	MYR	N	Joint	45143.00	0.00	83333.33	45143.00	0.00	0.00	45143.00	0.00
200003	Savings Account	MYR	N	Joint	24989.20	2776.40	23934.00	23934.00	0.00	0.00	23934.00	1055.20
	Legal Entity 3	300001	Term Deposit	MYR	N	Single	95259.00	22344.00	250000.00	95259.00	9365.00	9365.00	104624.00	0.00
	300002	Savings Account	MYR	N	Single	107121.00	17654.00	154741.00	107121.00	27019.00	17654.00	124775.00	0.00
	300004	Current Account	INR	N	Joint	41311.00	0.00	125000.00	41311.00	27019.00	0.00	41311.00	0.00
	300005	Current Account	INR	N	Joint	56670.00	0.00	83689.00	56670.00	27019.00	0.00	56670.00	0.00

Insurance Allocation for Customer C
Insurance Scheme	Legal Entity	Account Number	Account Type	Account Currency	Principal Balance	Accrued Interest	Available Insurance Limit	Insured Principal Balance	Available Insurance Limit - Interest	Insured Accrued Interest	Total Insured Amount	Uninsured Principal Balance	Uninsured Accrued Interest	Total Uninsured Amount
PIDM	Legal Entity 2	200002	Current Account	THB	63566.00	0.00	1000000	63566.00	780228.60	0.00	63566.00	0.00	0.00	0.00
200003	Current Account	THB	45143.00	0.00	936434.00	45143.00	780228.60	0.00	45143.00	0.00	0.00	0.00
200004	Savings Account	THB	99956.80	11105.60	891291.00	99956.80	791334.20	11105.60	111062.40	0.00	0.00	0.00
Legal Entity 3	300003	Current Account	INR	N	Single	76065.00	0.00	250000.00	76065.00	173935.00	0.00	76065.00	0.00

Insurance Allocation for Customer D
Insurance Scheme	Legal Entity	Account Number	Account Type	Account Currency	Principal Balance	Accrued Interest	Available Insurance Limit	Insured Principal Balance	Available Insurance Limit - Interest	Insured Accrued Interest	Total Insured Amount	Uninsured Principal Balance	Uninsured Accrued Interest	Total Uninsured Amount
PIDM	Legal Entity 1	100005	Current Account	MYR	Y	Joint	18408.67	0.00	83,333	18408.67	64924.67	0.00	18408.67	0.00

Identifying Deposit Stability

Once the insurance limit is allocated at an account level, the application determines the deposit stability as follows:

A stable deposit is the portion of a deposit which is covered by deposit insurance provided by an effective deposit insurance scheme or a public guarantee that provides equivalent protection and which satisfies one of the following conditions:

§ The depositor has an established relationship with the reporting legal entity.

The application identifies the existence of an established relationship if the depositor meets one of the following criteria:

— The depositor holds more than one account with the bank, with at least one account of a type other than a deposit.

If a deposit is partially covered by insurance and meets the other criteria, the insured portion of such deposits is treated as stable while the uninsured portion is treated as less stable. Stable deposits receive a 5% Run-off rate.

All insured and uninsured deposit or funding balances that do not meet the stable deposits criteria are classified as less stable deposits: This includes the following:

§ Insured balance of deposits which are not transactional account and the customer has no established relationship with the bank

Treating Lien Marked Deposits

A bank does lien marking of a deposit when the bank’s deposit or deposits is placed as a security against a loan or loans extended by the bank. It indicates that, when a customer receives a loan from a bank and contractually places the deposits held within the same bank as collateral, then the bank marks the respective deposits as lien marked deposits.

For lien marked deposits, the deposit proceeds are paid out only when the loan against the deposit is repaid in full. This indicates that the deposit placed against the loan is encumbered for the entire term of the loan until it is repaid. Multiple deposits can be placed against multiple liens, such as loans, line of credit, guarantees and so on forming many-to-many relationships.

The outflows for lien marked deposits which will not mature within the LCR horizon may be excluded from LCR calculation if the following conditions are met:

· The pledge arrangement is subject to a legally enforceable contract disallowing withdrawal of the deposit before the loan is fully settled or repaid

· The amount of deposit to be excluded cannot exceed the outstanding balance of the loan

Identifying Lien Marked Deposits

Lien marked deposits are identified against deposits in the staging area by the Lien Marked Indicator flag. The mapping between deposits which are lien marked and the lien against it is many to many and is a download for the application.

Treating Lien Marked Deposits

When all the guideline conditions are satisfied, the encumbered portion of lien marked deposits are excluded and hence receives a 0% factor. The unencumbered portion of the lien marked deposits is included and receives an appropriate run-off rate as applicable.

To cater to lien marked deposits, the following based measures are used in the business assumptions.

· Unencumbered stable balance: This measure populates the portion of a stable amount, which is unencumbered.

· Unencumbered less stable balance: This measure populates the portion of the less stable amount, which is unencumbered.

· Encumbered balance: This measure populates the encumbered amount of the deposit.

Secured Funding

For Secured Accounts involving collateral placed or collateral received, there is an option to compute balances and cash flows in two granularities:

This option enables the treatment of partially secured accounts and granular processing of an account with multiple collaterals. By default, secured funding computations happen at the account level for partially secured accounts. This can be changed to the Account-collateral level by updating the value of the SETUP_MASTER table entry for SEC_TRANS_TREATMENT_PURPOSE_VAL to YES.

By default, all computations are done at the account level. This means that if multiple collaterals are securing an account, the collateral level information will be aggregated and processed at an account level.

Collateral level measures, such as the ones at the HQLA Asset level, encumbrance period and so on, are computed at the account- collateral level. This means that if multiple collaterals are securing an account, the collateral level information is processed at the same account- collateral level without aggregating any data.

Calculating Contractually Required Collateral

Contractually required collateral is the amount of collateral that is contractually due from one party to the other based on the current exposure and collateral position. This amount must be paid to the party soon and results in outflow for the party owing the collateral and inflow to the party to whom the collateral is due. It can be of two types based on the direction of the exposure, Excess Collateral Due or Excess Collateral Receivable.

For Derivatives

This section details the calculation of contractually due collateral and contractually receivable collateral for derivatives.

Calculating Contractually Due Collateral

The application computes the value of the collateral that a bank is required to post contractually to its derivative counterparty as follows, if one of the following conditions are met.

2. If Secured Indicator is Yes and CSA Type is One way, then the contractually due collateral is 0.

3. If Secured Indicator is Yes, CSA Type is Two way and Gross Exposure is greater than or equal to 0, then the contractually due collateral is 0.

4. If Secured Indicator is Yes, CSA Type is Two way and Gross Exposure is less than 0, the application computes the contractually due collateral as follows:

Threshold is the unsecured exposure that a party to a netting agreement is willing to assume before making collateral calls.

The contractually due collateral is assumed to be posted and therefore receives the relevant outflow rate specified by the regulator as part of the pre-configured business assumptions for LCR calculations.

Calculating Contractually Receivable Collateral

The application computes the value of the collateral that a derivative counterparty is required to post contractually to the bank as follows, if one of the following conditions are met.

1. If Secured Indicator is No, then the contractually receivable collateral is 0.

2. If Secured Indicator is Yes and Gross Exposure is less than or equal to 0, then the contractually receivable collateral is 0.

3. If Secured Indicator is Yes and Gross Exposure is greater than 0, then the application computes the contractually receivable collateral as follows:

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 this to generate reports.

For Other Assets and Liabilities

This section details the calculation of contractually due collateral and contractually receivable collateral for other assets and liabilities.

Calculating Contractually Due Collateral

The application calculates contractually due collateral for other assets and liabilities as follows, if one of the following conditions are met.

1. If Balance Sheet Category is Asset, then the contractually due collateral is 0.

2. If Balance Sheet Category is Liability, and Secured Indicator is N, then the contractually due collateral is 0.

3. If Balance Sheet Category is Liability, and Secured Indicator is Y, then the application computes the contractually due collateral as follows

Calculating Contractually Receivable Collateral

The application calculates contractually receivable collateral for other assets and liabilities as follows, if one of the following conditions are met.

1. If Balance Sheet Category is Liability, then the contractually due collateral is 0.

2. If Balance Sheet Category is Asset, and Secured Indicator is N, then the contractually due collateral is 0.

3. If Balance Sheet Category is Asset, and Secured Indicator is Y then the application computes the contractually due collateral as follows:

Calculating Excess Collateral

Excess collateral is the value of collateral posted or received that is more than the collateral required based on the current levels of exposure and collateral position. This amount can be withdrawn by the party which has provided the collateral over its exposure and results in outflow to the party holding the excess collateral and an inflow to the party who has provided the excess collateral. It can be of two types, Excess Collateral Due or Excess Collateral Receivable.

For Derivatives

This section details the calculation of excess collateral due and excess collateral receivable for derivatives.

Calculating 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:

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:

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

Customer withdrawable collateral: Collateral received under re-hypothecation 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 pre-configured business assumptions for LCR calculations.

Calculating Excess Collateral Receivable

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

2. If Secured Indicator is Y and Gross Exposure are greater than or equal to 0, the application computes the excess collateral receivable as follows:

Adjusted collateral posted: Collateral posted by the bank less firm withdrawable collateral.

Firm withdrawable collateral: Collateral provided under re-hypothecation rights that can be contractually withdrawn by the bank within the LCR horizon without a significant penalty associated with such a withdrawal.

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

The excess collateral receivable does not receive a pre-specified inflow rate from the regulator and is, therefore, excluded from the LCR calculations. However, the application computes this to report.

For Other Assets and Liabilities

This section details the calculation of excess collateral due and excess collateral receivable for other assets and liabilities.

Calculating Excess Collateral Due

The application calculates the excess collateral due for other assets and liabilities as follows, if one of the following conditions are met.

1. If Balance Sheet Category is Liability, then the contractually due collateral is 0.

2. If Balance Sheet Category is Asset, and Secured Indicator is N, then the contractually due collateral is 0.

3. If Balance Sheet Category is Asset, and Secured Indicator is Y, then the application computes the contractually due collateral as follows:

Calculating Excess Collateral Receivable

The application calculates the excess collateral receivable for other assets and liabilities as follows, if one of the following conditions are met.

1. If Balance Sheet Category is Asset, then the contractually due collateral is 0.

2. If Balance Sheet Category is Liability, and Secured Indicator is N, then the contractually due collateral is 0.

3. If Balance Sheet Category is Liability, and Secured Indicator is Y, then the application computes the contractually due collateral as follows:

Calculating Downgrade Impact Amount

This section details the calculation of downgrade impact amount for derivatives and for other liabilities.

Calculating Downgrade Impact Amount for Derivatives

The application calculates the downgrade impact amount for derivatives as follows, if one of the following conditions are met.

1. If a downgrade trigger does not exist for the derivatives contract or netting agreement, the downgrade impact amount is 0.

3. If Net Exposure less than or equal to 0, the downgrade impact amount is calculated as follows:

Calculating Downgrade Impact Amount for Other Liabilities

The application calculates the downgrade impact amount for other liabilities, including annuities, that have an associated downgrade, derivatives as follows, if one of the following conditions are met.

1. If a downgrade trigger does not exist for the liability account, the downgrade impact amount is 0.

2. The downgrade impact amount for liabilities other than derivatives and securitizations is calculated as follows:

Any liability account that is triggered due to a particular level of rating downgrade has an outflow corresponding to a pre-specified percentage of the downgrade impact amount. For instance, if a 3-notch downgrade is specified, then the downgrade impact amount will outflow only for those accounts that have a trigger of 1-notch, 2-notches, and 3-notches. If a 2-notch downgrade is specified, then the downgrade impact amount will outflow only for those accounts that have a trigger of 1-notch and 2-notches. The rating downgrade and the outflow percentage as specified by the regulator are part of the pre-configured business assumptions for LCR calculations.

Calculating Net Derivative Cash Inflows and Outflows

Cash Flow Netting at Derivative Contract Level

1. When cash inflows and outflows are denominated in the same currency and occur at the same time bucket:

a. The cash inflows and outflows are summed up and the net value is computed as follows:

b. If the net cash flow is positive and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash outflow.

c. If the net cash flow is negative and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash inflow.

2. When cash inflows and outflows are denominated in different currencies but settle within the same day:

a. The cash inflows and outflows are summed up after being converted to the reporting currency and the net value is computed.

b. If the net cash flow is positive and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash outflow.

c. If the net cash flow is negative and there is no netting agreement associated with the derivative contract, the value is treated as net derivative cash inflow.

3. When cash inflows and outflows are denominated in different currencies and do not settle within the same day:

a. The cash outflows from each derivative contract without an associated netting agreement are summed up and treated as net derivative cash outflows.

b. The cash inflows from each derivative contract without an associated netting agreement are summed up and treated as net derivative cash inflow.

If a derivative contract has a netting agreement associated with it, the cash flow is further netted across contracts at the netting agreement level.

Cash Flow Netting at Netting Agreement Level

For derivative contracts which have a netting agreement associated with them, the net cash flows computed at the derivative contract level are further netted across multiple contracts under the same netting agreement as follows:

1. For derivative contracts, that belong to a single netting agreement, whose payment netting agreement flag is Yes:

a. The cash inflows and outflows occurring in each time bucket, denominated in each currency, are summed up across all contracts whose payment netting agreement flag is Yes and the net value is computed.

b. If the net cash flow is positive, the value is treated as net derivative cash outflow.

c. If the net cash flow is negative, the value is treated as net derivative cash inflow.

2. For derivative contracts, that belong to a single netting agreement, whose payment netting agreement flag is No:

a. The cash outflows occurring in each time bucket, denominated in each currency, are summed up separately for each derivative contract whose payment netting agreement flag is No and treated as net derivative cash outflow.

b. The cash inflows occurring in each time bucket, denominated in each currency, are summed up separately for each derivative contract whose payment netting agreement flag is No and treated as net derivative cash inflow.

Cash flow netting for netting agreements is done separately for each currency. Cash flows are not netted across currencies. Instead, the inflows and outflows converted into the reporting currency are summed up separately to report the net derivatives cash inflow and net derivatives cash outflow at an entity level.

Calculating Twenty-Four Month Look-back Amount

The application computes the 24-month look-back amount, to define outflows due to increased liquidity requirements related to market valuation changes on derivatives as follows:

· The Mark-to-Market (MTM) value of collateral outflows and inflows due to valuation changes on derivative transactions are captured at a legal entity level. The values over a 24-month historical time window from the “As of Date” are identified.

· The application computes the largest 30-day absolute net collateral flow occurring within each rolling 30-day historical time window as follows:

a. The net Mark-to-Market collateral change is computed for each day within a particular 30-day historical time window as follows:

b. The cumulative net Mark-to-Market collateral change is computed for each day within a particular 30-day historical time window as follows:

c. The absolute net Mark-to-Market collateral change is computed for each day within the rolling 30-day historical time window as follows:

d. The largest 30-day absolute net collateral flow occurring within the rolling 30-day historical time window is identified as follows:

2. The largest 30-day absolute net collateral flow is computed in 30-day blocks on a rolling basis. For example, the first 30-day block is As of Date to As of Date - 29; the second 30-day block is As of Date - 1 to As of Date - 30 and so on.

3. The 24-month look-back amount is computed as the maximum of the largest absolute net collateral flow during all rolling 30-day periods in every 24 months.

The 24-month look-back calculations are illustrated in the following table, considering a 34-day historical time window instead of 24-months. This results in 5 rolling 30-day windows.

The largest 30-day absolute net collateral flow for each rolling 30-day period and the 24-month look-back value (in this example, the 34-day look-back value) is computed as follows:

Illustration: 24-month look-back calculations
Rolling 30-Day Period	Day	Mark-To-Market Collateral Outflows Due To Derivative Transaction Valuation Changes (a)	Mark-To-Market Collateral Inflows Due To Derivative Transaction Valuation Changes (b)	Net Mark-To-Market Collateral Change (c = a - b)	Cumulative Net Mark-To-Market Collateral Change (d = Cumulative c)	Absolute Net Mark-To-Market Collateral Change [e = Abs (d)]
As of Date to As of Date - 29	As of Date	65	14	51	51	51
As of Date - 1	65	9	56	107	107
As of Date - 2	74	83	-9	98	98
As of Date - 3	71	97	-26	72	72
As of Date - 4	84	89	-5	67	67
As of Date - 5	8	57	-49	18	18
As of Date - 6	40	59	-19	-1	1
As of Date - 7	42	87	-45	-46	46
As of Date - 8	100	6	94	48	48
As of Date - 9	41	30	11	59	59
As of Date - 10	45	9	36	95	95
As of Date - 11	9	32	-23	72	72
As of Date - 12	59	67	-8	64	64
As of Date - 13	61	10	51	115	115
As of Date - 14	22	36	-14	101	101
As of Date - 15	63	81	-18	83	83
As of Date - 16	36	3	33	116	116
As of Date - 17	61	22	39	155	155
As of Date - 18	94	37	57	212	212
As of Date - 19	3	18	-15	197	197
As of Date - 20	13	27	-14	183	183
As of Date - 21	24	56	-32	151	151
As of Date - 22	57	75	-18	133	133
As of Date - 23	66	87	-21	112	112
As of Date - 24	33	71	-38	74	74
As of Date - 25	29	30	-1	73	73
As of Date - 26	64	25	39	112	112
As of Date - 27	54	39	15	127	127
As of Date - 28	51	6	45	172	172
As of Date - 29	35	31	4	176	176
As of Date - 1 to As of Date - 30	As of Date - 1	65	9	56	56	56
As of Date - 2	74	83	-9	47	47
As of Date - 3	71	97	-26	21	21
As of Date - 4	84	89	-5	16	16
As of Date - 5	8	57	-49	-33	33
As of Date - 6	40	59	-19	-52	52
As of Date - 7	42	87	-45	-97	97
As of Date - 8	100	6	94	-3	3
As of Date - 9	41	30	11	8	8
As of Date - 10	45	9	36	44	44
As of Date - 11	9	32	-23	21	21
As of Date - 12	59	67	-8	13	13
As of Date - 13	61	10	51	64	64
As of Date - 14	22	36	-14	50	50
As of Date - 15	63	81	-18	32	32
As of Date - 16	36	3	33	65	65
As of Date - 17	61	22	39	104	104
As of Date - 18	94	37	57	161	161
As of Date - 19	3	18	-15	146	146
As of Date - 20	13	27	-14	132	132
As of Date - 21	24	56	-32	100	100
As of Date - 22	57	75	-18	82	82
As of Date - 23	66	87	-21	61	61
As of Date - 24	33	71	-38	23	23
As of Date - 25	29	30	-1	22	22
As of Date - 26	64	25	39	61	61
As of Date - 27	54	39	15	76	76
As of Date - 28	51	6	45	121	121
As of Date - 29	35	31	4	125	125
As of Date - 30	93	68	25	150	150
As of Date - 2 to As of Date - 31	As of Date - 2	74	83	-9	-9	9
As of Date - 3	71	97	-26	-35	35
As of Date - 4	84	89	-5	-40	40
As of Date - 5	8	57	-49	-89	89
As of Date - 6	40	59	-19	-108	108
As of Date - 7	42	87	-45	-153	153
As of Date - 8	100	6	94	-59	59
As of Date - 9	41	30	11	-48	48
As of Date - 10	45	9	36	-12	12
As of Date - 11	9	32	-23	-35	35
As of Date - 12	59	67	-8	-43	43
As of Date - 13	61	10	51	8	8
As of Date - 14	22	36	-14	-6	6
As of Date - 15	63	81	-18	-24	24
As of Date - 16	36	3	33	9	9
As of Date - 17	61	22	39	48	48
As of Date - 18	94	37	57	105	105
As of Date - 19	3	18	-15	90	90
As of Date - 20	13	27	-14	76	76
As of Date - 21	24	56	-32	44	44
As of Date - 22	57	75	-18	26	26
As of Date - 23	66	87	-21	5	5
As of Date - 24	33	71	-38	-33	33
As of Date - 25	29	30	-1	-34	34
As of Date - 26	64	25	39	5	5
As of Date - 27	54	39	15	20	20
As of Date - 28	51	6	45	65	65
As of Date - 29	35	31	4	69	69
As of Date - 30	93	68	25	94	94
As of Date - 31	51	97	-46	48	48
As of Date - 3 to As of Date - 32	As of Date - 3	71	97	-26	-26	26
As of Date - 4	84	89	-5	-31	31
As of Date - 5	8	57	-49	-80	80
As of Date - 6	40	59	-19	-99	99
As of Date - 7	42	87	-45	-144	144
As of Date - 8	100	6	94	-50	50
As of Date - 9	41	30	11	-39	39
As of Date - 10	45	9	36	-3	3
As of Date - 11	9	32	-23	-26	26
As of Date - 12	59	67	-8	-34	34
As of Date - 13	61	10	51	17	17
As of Date - 14	22	36	-14	3	3
As of Date - 15	63	81	-18	-15	15
As of Date - 16	36	3	33	18	18
As of Date - 17	61	22	39	57	57
As of Date - 18	94	37	57	114	114
As of Date - 19	3	18	-15	99	99
As of Date - 20	13	27	-14	85	85
As of Date - 21	24	56	-32	53	53
As of Date - 22	57	75	-18	35	35
As of Date - 23	66	87	-21	14	14
As of Date - 24	33	71	-38	-24	24
As of Date - 25	29	30	-1	-25	25
As of Date - 26	64	25	39	14	14
As of Date - 27	54	39	15	29	29
As of Date - 28	51	6	45	74	74
As of Date - 29	35	31	4	78	78
As of Date - 30	93	68	25	103	103
As of Date - 31	51	97	-46	57	57
As of Date - 32	12	31	-19	38	38
As of Date - 4 to As of Date - 33	As of Date - 4	84	89	-5	-5	5
As of Date - 5	8	57	-49	-54	54
As of Date - 6	40	59	-19	-73	73
As of Date - 7	42	87	-45	-118	118
As of Date - 8	100	6	94	-24	24
As of Date - 9	41	30	11	-13	13
As of Date - 10	45	9	36	23	23
As of Date - 11	9	32	-23	0	0
As of Date - 12	59	67	-8	-8	8
As of Date - 13	61	10	51	43	43
As of Date - 14	22	36	-14	29	29
As of Date - 15	63	81	-18	11	11
As of Date - 16	36	3	33	44	44
As of Date - 17	61	22	39	83	83
As of Date - 18	94	37	57	140	140
As of Date - 19	3	18	-15	125	125
As of Date - 20	13	27	-14	111	111
As of Date - 21	24	56	-32	79	79
As of Date - 22	57	75	-18	61	61
As of Date - 23	66	87	-21	40	40
As of Date - 24	33	71	-38	2	2
As of Date - 25	29	30	-1	1	1
As of Date - 26	64	25	39	40	40
As of Date - 27	54	39	15	55	55
As of Date - 28	51	6	45	100	100
As of Date - 29	35	31	4	104	104
As of Date - 30	93	68	25	129	129
As of Date - 31	51	97	-46	83	83
As of Date - 32	12	31	-19	64	64
As of Date - 33	34	36	-2	62	62

Illustration continued: 24-month look-back calculations
Rolling 30-Day Period	Largest 30-Day Absolute Net Collateral Flow [f = Max (e)]	24 Month Look-back Value [Max (f)]
As of Date to As of Date - 29	212	212
As of Date - 1 to As of Date - 30	161
As of Date - 2 to As of Date - 31	153
As of Date - 3 to As of Date - 32	144
As of Date - 4 to As of Date - 33	140

Calculating Operational Amount

regulator-prescribed lower outflow rate for operational deposits should be applied only to the portion of the EOP balance that is truly held to meet operational requirements. The application supports a new methodology to compute the operational portion of the EOP balance of operational deposits. The steps involved in computing the operational balance are as follows:

1. All deposits classified as operational as per regulatory guidelines are identified. This is a separate process in LRRCBNM.

2. The EOP balances of eligible operational accounts are obtained over a 90-day historical window including the As of Date, for example As of Date - 89 days. To identify historical observations, the f_reporting_flag must be updated as Y for one execution of the Run per day in the Liquidity Risk Solution (LRS) Run Management Execution Summary user interface. The application looks up the balance for such accounts against the Run execution for which the Reporting Flag is updated as Y for each day in the past.

The historical time window is captured as a parameter in the SETUP_MASTER table. The default value is 90 days which can be modified by the user. To modify this value, update the value under the component code DAYS_HIST_OPER_BAL_CALC_UPD

3. A rolling 5-day average is calculated for each account over the historical window.

The calculation of the operational balance can be either a direct download from the staging tables or through the historical balance approach.

The operational balance calculation based on historical lookback is optional. You can choose to compute the operational balances using this method or provide the value as a download. To provide the value as a download, update the value in the SETUP_MASTER table under the component code HIST_OPERATIONAL_BAL_CALC_UPD as N . If the value is ‘Y’ then the value would be calculated through a historical balance approach.

The insured and uninsured balances are calculated as part of a separate process, for example the insurance allocation process which is explained in detail in the relevant section under each jurisdiction.

The operational deposit computation process is illustrated assuming a 15-day historical window instead of 90-days and for the As of Date 28th February 2017. The historical balances for 15-days including the As of Date are provided as follows.

Computation of Operational Deposit
Clients With Operational Accounts	Eligible Operational Accounts	Historical Time Window	As of Date
2/14/2017	2/15/2017	2/16/2017	2/17/2017	2/18/2017	2/19/2017	2/20/2017	2/21/2017	2/22/2017	2/23/2017	2/24/2017	2/25/2017	2/26/2017	2/27/2017	2/28/2017
A	10001	102,000	102,125	102,250	102,375	102,500	102,625	102,750	102,875	103,000	103,125	103,250	103,375	103,500	103,625	103,750
10296	23,500	23,550	23,600	23,650	23,700	23,750	23,800	23,850	23,900	23,950	24,000	24,050	24,100	24,150	24,200
B	31652	65,877	59,259	59,234	59,209	59,184	59,159	59,134	59,109	59,084	59,059	59,034	59,009	58,984	58,959	58,934

Computation of Rolling Average and Cumulative Average
Clients with Operational Accounts	Eligible Operational Accounts	5-day Rolling Average	Cumulative Average (a)
2/18/2017	2/19/2017	2/20/2017	2/21/2017	2/22/2017	2/23/2017	2/24/2017	2/25/2017	2/26/2017	2/27/2017	2/28/2017
A	10001	102,250	102,375	102,500	102,625	102,750	102,875	103,000	103,125	103,250	103,375	103,500	95136
10296	23,600	23,650	23,700	23,750	23,800	23,850	23,900	23,950	24,000	24,050	24,100	22721
B	31652	60,553	59,209	59,184	59,159	59,134	59,109	59,084	59,059	59,034	59,009	58,984	56931

Computation of Operational and Non-operational Balances
Clients with Operational Accounts	Eligible Operational Accounts	Current Balance (b)	Operational Balance (c = a - b)	Non-Operational Balance	Insured Balance	Uninsured Balance	Insured Operational Balance	Insured Non-Operational Balance	Uninsured Non-Operational Balance
A	10001	103,750	95,136	8,615	100,000	3,750	95,136	4,865	3,750
10296	24,200	22,721	1,480		24,200		22,721	1,480
B	31652	58,934	56,931	2,003	58,934		56,931	2,003

2. For operational accounts that have an account start date greater than or equal to the historical days including the As of Date, missing balances are replaced by previously available balance.

3. For operational accounts that have an account start date less than the historical days including the As of Date:

· Missing balances between the account start date and As of Date are replaced by previously available balance.

· The rolling average is calculated only for the period from the account start date to the As of Date.

4. The methodology to compute operational balance is optional. This can be turned On or Off using the Setup_ master table, where the component code is HIST_OPERATIONAL_BAL_CALC_UPD. The option to provide the operational balance as a download is supported by the application.

Calculating HQLA Transferability Restriction

Regulators across jurisdictions recognize the existence of liquidity transfer restrictions, for banks that operate in multiple jurisdictions. Such transfer restrictions have implications for the group-wide consolidated LCR calculations and must be treated appropriately. In the LCR consolidation process, OFS LRS includes the restricted HQLA from a subsidiary in the consolidated stock of HQLA only to the extent of that subsidiary’s liquidity requirements such as its net cash outflow, by the regulatory requirements. The treatment of transferability restriction during consolidation is as follows:

1. The net cash outflows are computed for a subsidiary, on a consolidated basis. The consolidation entity is the subsidiary itself in this case. If the subsidiary is a leaf level entity, then the net cash outflow is calculated on a standalone basis.

2. The restricted and unrestricted stock of level 1, level 2A and level 2B is computed for the subsidiary on a consolidated basis. The flag F_TRANSFERABILITY_RESTRICTION will be derived as part of processing, based on the account country and currency.

3. The application checks whether the stock of restricted level 1 assets is greater than the net cash outflows. If yes, it includes the stock of restricted level 1 assets in the calculation of its immediate parent entity’s stock of HQLA up to the extent of its net cash outflows computed as part of step 1. If no, the entire stock of restricted level 1 assets is included in the consolidated calculations.

4. The application checks whether the stock of restricted level 1 and level 2A assets is greater than the net cash outflows. If yes, it includes the stock of restricted level 2A assets in the calculation of its immediate parent entity’s stock of HQLA up to the extent of its net cash outflows computed as part of step 1 less stock of restricted level 1 assets. If no, the entire stock of restricted level 2A assets is included in the consolidated calculations.

5. The application checks whether the sum of stock of restricted level 1, level 2A and level 2B assets is greater than the net cash outflows. If yes, it includes the stock of restricted level 2B assets in the calculation of its immediate parent entity’s stock of HQLA up to the extent of its net cash outflows computed as part of step 1 less stock of restricted level 1 and level 2A assets. If no, the entire stock of restricted level 2B assets is included in the consolidated calculations.

6. The unrestricted level 1, 2A and 2B assets are included fully in the calculation of its immediate parent entity’s stock of HQLA.

7. Steps 1 to 6 are repeated for each sub-consolidation level within the organization structure of the consolidation entity until the consolidation entity itself.

1. The allocation of restricted assets is done in the descending order of asset quality to maximize the stock of HQLA.

2. This calculation is part of the LCR consolidation process. To get a complete view of the process, refer to Consolidation, where the consolidation process is described.

Calculating Net Cash Outflows

The net cash outflows are computed after applying the scenario specified by the user, as a set of business assumptions, to the contractual cash flows. The process of computing the net cash outflows is as follows:

The application applies the business assumptions, specified on products involving cash inflows, selected as part of the Run. The regulatory assumptions specified in the Regulation Addressed through Business Assumptions section are pre-defined and packaged as part of the out-of-the-box Run to determine the inflows over the liquidity horizon. The business assumption adjusted cash inflows occurring over the liquidity horizon are summed up to obtain the total cash inflow. These include inflows from earning assets such as loans, assets that are not eligible for inclusion in the stock of HQLA, derivatives inflows and so on.

The application applies the business assumptions, specified on products involving cash outflows, selected as part of the Run. The regulatory assumptions specified in the Regulation Addressed through Business Assumptions section are pre-defined and packaged as part of the out-of-the-box Run to determine the outflows over the liquidity horizon. The business assumption adjusted cash outflows occurring over the liquidity horizon are summed up to obtain the total cash outflow. These include outflows from liabilities, derivatives outflows, outflows due to changes in financial conditions such as rating downgrade and valuation changes and so on.

The total net cash outflows are defined as the total expected cash outflows minus total expected cash inflows for the LCR horizon, for example, the subsequent 30 calendar days. Total expected cash outflows are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down. Total expected cash inflows are calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates at which they are expected to flow in up to an aggregate cap of 75% of total expected cash outflows. This requires that a bank must maintain a minimum amount of stock of HQLA equal to 25% of the total cash outflows.

Banks will not be permitted to double count items. For example, if an asset is included as part of the “stock of HQLA” (like the numerator), the associated cash inflows cannot also be counted as cash inflows (part of the denominator). Where an item could be counted in multiple outflow categories, (such as, committed liquidity facilities granted to cover debt maturing within the 30 calendar day period), a bank should assume only up to the maximum contractual outflow for that product.

The inflow and outflow rates as prescribed by BNM for computing LCR are pre-defined within the application and ready to be used. Users are also allowed to define bank-specific inflow and outflow rates and apply them to the contractual cash flows to view the stock of HQLA, net cash outflows, and LCR across multiple scenarios.

Consolidation

The approach to consolidation as per LCR approach followed by the OFS LRRCBNM is as follows:

The application assesses whether a subsidiary is to be consolidated or not by checking the regulatory consolidated flag F_REGULATORY_ENTITY_IND against each legal entity. The application consolidates the cash inflows and outflows of a subsidiary and computes the consolidated LCR, only if the subsidiary is a regulatory consolidated subsidiary. If the entity is an unconsolidated subsidiary, the cash inflows and outflows from the operations of such subsidiaries are ignored (unless otherwise specifically included in the denominator of LCR per regulations) and only the equity investment in such subsidiaries is considered as the bank’s asset and appropriately taken into the numerator or denominator based on the asset level classification.

For instance, legal entity 1 has 3 subsidiaries, legal entity 2, legal entity 3 and legal entity 4. The regulatory consolidated flag F_REGULATORY_ENTITY_IND for legal entity 4 is ‘No’. In this case, legal entity 4 is treated as a third party for consolidation and its assets and cash flows are completely excluded from calculations. Legal entity 1’s interest in legal entity 4 including common equity of legal entity 4 and assets and liabilities where legal entity 4 is the counterparty will not be eliminated as legal entity 4 is considered a third-party during consolidation.

The process of consolidating HQLA differs slightly based on whether the subsidiary is a material entity that is expected to report LCR separately from the parent or not. This is done to ensure consistency in the results when consolidating at a parent level and when calculating the LCR at the material subsidiary level as well. The methods followed for consolidating HQLA are:

a. For material subsidiaries subject to individual LCR requirements, consolidation is done as follows:

— The application identifies whether the subsidiary is a consolidated subsidiary.

— If condition (a) is fulfilled, it identifies whether the consolidated subsidiary is subject to LCR requirement that is, whether the subsidiary in question is a regulated entity.

— If condition (b) is fulfilled, then it calculates the net cash outflow by eliminating all the inter-branch transactions at each country level of the consolidated subsidiary. If the consolidated subsidiary has operations in three countries, then the transactions between all the branches lying in the same country are eliminated. The application consolidates post-haircut restricted HQLA to the extent of the consolidated subsidiary’s net cash outflow that is, to the extent required to satisfy minimum LCR requirements of that subsidiary as part of the covered company’s HQLA. Restricted HQLA are the assets that have a restriction on their transferability to the parent entity, or are the assets that are denominated in non-convertible currencies.

— It consolidates the entire amount of post-haircut unrestricted HQLA held at the consolidated subsidiary as part of the covered company’s HQLA.

— It consolidates all cash inflows and outflows which are part of the net cash flow calculation.

b. For subsidiaries not subject to individual LCR requirements, consolidation is done as follows:

— The application identifies whether the subsidiary is a consolidated subsidiary.

— If condition (a) is fulfilled, it identifies whether the consolidated subsidiary is subject to minimum LCR requirement that is, whether the subsidiary in question is a regulated entity.

— If condition (b) is not fulfilled, it eliminates all inter-company transactions until the level of the immediate parent of the consolidated subsidiary and then calculates the net cash outflow.

— The application consolidates post-haircut restricted HQLA to the extent of the consolidated subsidiary’s net cash outflow and the entire amount of post-haircut unrestricted HQLA as part of the covered company’s HQLA.

— It consolidates all cash inflows and outflows which are part of the net cash flow calculation.

Consolidation is done on a step by step basis based on each level of the organization structure starting from the most granular level. This indicates that intercompany transactions are eliminated at each sub-consolidation level till the final level of the consolidation (generally BHC) is reached. The consolidated HQLA calculated at the level of the immediate subsidiary of the BHC is added to the HQLA held by the BHC. All intercompany cash flows are eliminated and the LCR is calculated by the LCR approach.

In this case, at the first level of consolidation, calculation of net cash outflows and HQLA is done on a solo basis for legal entities 6, 7, 8, 9 and 10 as they do not have any subsidiaries. For regulated entities such as material entities, intercompany transactions are not eliminated; whereas for non-regulated entities, intercompany transactions are eliminated to the next level of consolidation that is, legal entities 3 and 5. The restricted HQLA from entities 6 and 7 are consolidated to the extent of their net cash outflows, while the unrestricted HQLA is transferred fully to legal entity 3. The cash inflows and outflows are consolidated to the full extent.

At the second level of consolidation that is, legal entity 3, intercompany transactions are eliminated till legal entity 1, if LE 3 is a non-regulated entity. The HQLA is calculated as a sum of the consolidated restricted and unrestricted HQLA of entities 6 and 7 and the HQLA of legal entity 3. The net cash outflow is calculated based on the cash flows of entities 3, 6 and 7, post-elimination of intercompany transactions if applicable. The consolidated HQLA is calculated based on the procedure detailed in Step 2.

This process continues in a step-by-step manner till the highest parent level which is the bank holding company in this example.

Calculating Liquidity Coverage Ratio

The liquidity coverage ratio is calculated for a legal entity on both solo and consolidated basis. The formula for calculating the liquidity coverage ratio is as follows:

Significant Currency Liquidity Coverage Ratio Calculation

The liquidity coverage ratio is also calculated for each legal entity at the level of each significant currency to identify potential currency mismatches. This is done by first identifying significant currencies for a legal entity, at a solo or consolidated level as specified in the Run, as follows:

According to the BNM announcement as follows, significant currency indicates aggregate of liabilities denominated in that currency amount including off-market balance sheet, foreign exchange forward and cross-currency swap to 5% or more of the bank’s total liabilities.

The application further computes and reports the stock of HQLA, net cash outflows and LCR for each currency identified as significant in the manner detailed in the earlier sections. This calculation is done on both a solo and consolidated basis.

Preconfigured Regulatory LCR Scenario as per BNM

OFS LRRCBNM supports an out-of-the-box BNM LCR which has the regulatory scenario with associated HQLA haircuts, inflow and outflow percentage/ rates preconfigured in the form of business assumptions. This section explains the business assumptions and the corresponding regulatory reference.

This section provides only contextual information about the business assumptions. For more detailed information, see the OFS LRS application (UI). For detailed processes and tasks, see the Run Chart.

The Regulatory Reference column for each rule or assumption has reference to the name of the Document Identifiers such as MC and should be read in conjunction with the Document Identifier listed in the preceding table.

Document Identifiers for the Regulatory References
Regulation Reference Number	Document Number	Document Name	Issued Date
MC	BNM/RH/PD 029-13	Liquidity Coverage Ratio	25 Aug2016
BNMFAQ		Deposit Insurance Handbook

Regulation Addressed through Business Rules

The application supports multiple preconfigured rules and scenarios based on BNM specified scenario parameters such as inflow rates, outflow rates, run-offs, haircuts and so on.

Preconfigured BNM LCR Business Rules
Sl. No.	Rule Name	Rule Description	Regulatory Requirement Addressed	Regulatory Reference BNM/RH/PD 029-13
1	LRM - BNM - HQLA Level 1 - Cash and Central Bank Reserve	This rule reclassifies cash, central bank reserves as HQLA Level 1 assets by the criteria specified by BNM.	The classification of cash and central bank reserves as HQLA level 1 asset is configured as part of this rule.	Paragraph 10.1
2	LRM - BNM - HQLA Level 1 - Sovereign, CB, PSE, and MDB Issued Zero Risk Weight Securities	This rule reclassifies zero risk weight securities issued by central banks, sovereigns, Public Sector Enterprises, International Organizations, and multilateral development banks as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable zero risk weight securities, issued by foreign sovereigns, central banks, and multinational development banks as HQLA Level 1 assets is configured as part of this rule.	Paragraph 10.1
3	LRM - BNM - HQLA Level 1 - Sovereign, CB, PSE, and MDB Guaranteed Zero Risk Weight Securities	This rule reclassifies zero risk weight securities guaranteed by central banks, sovereigns, Public Sector Enterprises, International Organizations, and multilateral development banks as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable zero risk weight securities, guaranteed by foreign sovereigns, central banks, and multinational development banks as HQLA Level 1 assets is configured as part of this rule.	Paragraph 10.1
4	LRM - BNM - HQLA Level 1 - Sec by Sovereign and CB with Non-Zero Risk Weight in Domestic Currencies	This rule reclassifies non-zero risk weight securities issued by sovereigns and central banks, denominated in their local currency as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable securities, issued by non-zero risk weight foreign sovereigns, central banks, and multinational development banks, denominated in their local currency as HQLA Level 1 assets are configured as part of this rule.	Paragraph 10.1
5	LRM - BNM - HQLA Level 1 - Sec by Sovereign and CB with Non-Zero Risk Weight in Foreign Currency	This rule reclassifies non-zero risk weight securities issued by sovereigns and central banks, denominated in foreign currency as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable securities, issued by non-zero risk weight foreign sovereigns, central banks, and multinational development banks, denominated in their foreign currency as HQLA Level 1 assets are configured as part of this rule.	Paragraph 10.1
6	LRM - BNM - HQLA Level 1 - Restricted Committed Liquidity Facility	This rule reclassifies the undrawn portion of committed facilities received from Central Bank of Malaysia under Restricted Committed Liquidity Facilities as HQLA Level 1 assets by the criteria specified by BNM.	The classification of the undrawn portion of committed facilities received from Central Bank of Malaysia under Restricted Committed Liquidity Facilities as HQLA Level 1 assets is configured as part of this rule.	Paragraph 10.1
7	LRM - BNM - HQLA Level 2A - Sovereign, CB, PSE, and MDB 20 percent Risk Weight Securities	This rule reclassifies the non-zero risk weight securities either issued or guaranteed by Sovereign, Central Bank, PSE and Multilateral Development Bank as HQLA Level 2A assets, by the criteria specified by BNM.	The classification of marketable zero and non-zero risk weight securities either issued or guaranteed by foreign sovereigns, central banks, and multinational development banks as HQLA Level 2A assets is configured as part of this rule.	Paragraph 10.1
8	LRM - BNM - HQLA Level 2A - Corporate Debt Securities	This rule reclassifies the corporate debt securities as HQLA Level 2A assets, by the criteria specified by BNM.	The classification of debt securities issued by corporates and covered bonds as HQLA Level 2A assets are configured as part of this rule.it also classifies	Paragraph 10.1
9	LRM - BNM - HQLA Level 2A - Bankers Acceptance and Islamic Instruments	This rule reclassifies banker's acceptance, Cagamas Berhad debt securities, negotiable instruments of deposit and Islamic negotiable instruments as HQLA Level 2A assets by the criteria specified by BNM. This rule also reclassifies those securities that are guaranteed by sovereigns, multilateral development banks as HQLA Level 2A by the criteria specified by BNM.	The classification of debt securities issued by Cagmas Berhad as HQLA Level 2A assets is configured as part of this rule. It also classifies banker's acceptance, certificate of deposits, negotiable instruments of deposit and Islamic negotiable instruments as HQLA Level 2A assets as part of this rule.	Paragraphs 10.1, 10.2 and 10.3
10	LRM - BNM - HQLA Level 2B - Corporate Debt Securities and RMBS Securities	This rule reclassifies the corporate debt securities and residential mortgage-backed securities as HQLA level 2B RMBS and level 2B Non-RMBS assets by the criteria specified by BNM.	The classification of a residential mortgage-backed security, issued by Cagmas Berhad as HQLA level 2B RMBS assets is configured as part of this rule. It also classifies the debt securities including commercial papers, issued by non-financial corporates as HQLA level 2B Non-RMBS I and HQLA level 2B RMBS II as part of this rule.	Paragraph 10.1
11	LRM - BNM - Bank Own Assets - Meets HQLA Operational Requirements Flag Update	This rule identifies whether the bank's assets, both unencumbered assets as well as those placed as collateral, meet the operational requirements prescribed by BNM guidelines, except for being unencumbered in the case of placed collateral. In the case of unencumbered assets, it updates the Meets HQLA Operational Requirements Flag. In case of placed collateral, it updates the Meets HQLA Operational Requirements on Unwind Flag.	The identification of whether an asset owned by the bank meets the operational requirements set forth by BNM for its inclusion in the stock of HQLA is configured as part of this rule.	Paragraphs 11 and 12
12	LRM - BNM - Mitigants - Meets HQLA Operational Requirements Flag Update	This rule identifies whether a mitigant meets the operational requirements prescribed by BNM guidelines, to be considered for inclusion in the stock of HQLA. It updates the Meets HQLA Operational Requirements Flag for such mitigants.	The identification of whether collateral received from a counterparty, that is further placed as collateral, meets the operational requirements set forth by BNM on unwinding is configured as part of this rule.	Paragraphs 11 and 12
13	LRM - BNM - Re-hypothecated Mitigants - Meets HQLA Operational Requirements Flag Update	This rule identifies whether a re-hypothecated mitigant meets the operational requirements prescribed by BNM guidelines, except for being unencumbered. It updates the Meets HQLA Operational Requirements on Unwind Flag for such mitigants.	The identification of whether the collateral received from counterparty meets the operational requirements set forth by BNM is configured as part of this rule.	Paragraphs 11 and 12
14	LRM - BNM - Instruments - Eligible High-Quality Liquid Assets Flag Update	This computation rule updates the HQLA Eligibility Flag for the bank’s unencumbered assets classified as HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA. It also updates the Eligible HQLA on the Unwind flag for all assets placed as collateral that are classified as HQLA that fulfill the HQLA operational requirements on unwinding and therefore are to be unwound.	The identification of whether a bank's asset classified as an HQLA, meets all the operational criteria and is therefore eligible to be included in the stock of HQLA is configured as part of this rule.	Paragraphs 11 and 12
15	LRM - BNM - Mitigants - Eligible High-Quality Liquid Assets Flag Update	This computation rule updates the HQLA Eligibility Flag for mitigants classified as HQLA that fulfill the HQLA operational requirements prescribed by BNM guidelines, and therefore can be included in the stock of HQLA.	The identification of whether the collateral received from the counterparty, classified as an HQLA, meets all the operational criteria and is therefore eligible to be included in the stock of HQLA is configured as part of this rule.	Paragraphs 11 and 12
16	LRM - BNM - Level 1 Stock Adjustment - Deduction	This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the amount received. In case of asset exchange transactions, where the collateral posted is a non-level 1 HQLA and the collateral received in a level 1 HQLA the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received.	The identification of secured funding and asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
17	LRM - BNM - Level 1 Stock Adjustment - Addition	This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In the case of secured lending transactions, where the collateral received is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the amount paid. In case of asset exchange transactions, where the collateral received is a non-level 1 HQLA and the collateral posted in a level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted.	The identification of secured lending and asset exchange transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
18	LRM - BNM - Level 2A Stock Adjustment - Deduction	This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2A HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2A asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received.	The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
19	LRM - BNM - Level 2A Stock Adjustment - Addition	This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2A HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2A asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted.	The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
20	LRM - BNM - Level 2B RMBS Stock Adjustment - Deduction	This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2B RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2B RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received.	The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2B RMBS assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
21	LRM - BNM - Level 2B RMBS Stock Adjustment - Addition	This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2B RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2B RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted.	The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of level 2B RMBS assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
22	LRM - BNM - Level 2B(I) Non-RMBS Stock Adjustment - Deduction	This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2B I Non-RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2B I Non-RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received.	The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2B I Non-RMBS assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
23	LRM - BNM - Level 2B(I) Non-RMBS Stock Adjustment - Addition	This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2B I Non-RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2B I Non-RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted.	The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of level 2B I Non-RMBS assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
24	LRM - BNM - Level 2B(II) Non-RMBS Stock Adjustment - Deduction	This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2B II Non-RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2B II Non-RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received.	The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of 2B II Non-RMBS assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
25	LRM - BNM - Level 2B(II) Non-RMBS Stock Adjustment - Addition	This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2B II Non-RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2B II Non-RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted.	The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of 2B II Non-RMBS assets due to such an unwind is configured as part of this rule.	Paragraph 10.6
26	LRM - BNM - HQLA Level 1 - Cash and Central Bank Reserve	This rule reclassifies cash, central bank reserves as HQLA Level 1 assets by the criteria specified by BNM.	The classification of cash and central bank reserves as HQLA level 1 asset is configured as part of this rule.	Paragraph 10.1
27	LRM - BNM - HQLA Level 1 - Sovereign, CB, PSE, and MDB Issued Zero Risk Weight Securities	This rule reclassifies zero risk weight securities issued by central banks, sovereigns, Public Sector Enterprises, International Organizations, and multilateral development banks as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable zero risk weight securities, issued by foreign sovereigns, central banks, and multinational development banks as HQLA Level 1 assets is configured as part of this rule.	Paragraph 10.1
28	LRM - BNM - HQLA Level 1 - Sovereign, CB, PSE, and MDB Guaranteed Zero Risk Weight Securities	This rule reclassifies zero risk weight securities guaranteed by central banks, sovereigns, Public Sector Enterprises, International Organizations, and multilateral development banks as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable zero risk weight securities, guaranteed by foreign sovereigns, central banks, and multinational development banks as HQLA Level 1 assets is configured as part of this rule.	Paragraph 10.1
29	LRM - BNM - HQLA Level 1 - Sec by Sovereign and CB with Non-Zero Risk Weight in Domestic Currencies	This rule reclassifies non-zero risk weight securities issued by sovereigns and central banks, denominated in their local currency as HQLA Level 1 assets, by the criteria specified by BNM.	The classification of marketable securities, issued by non-zero risk weight foreign sovereigns, central banks, and multinational development banks, denominated in their local currency as HQLA Level 1 assets are configured as part of this rule.	Paragraph 10.1

Regulation Addressed through Business Assumptions

The application supports multiple assumptions with preconfigured rules and scenarios based on regulator specified scenario parameters such as HQLA haircuts, inflow and outflow percentage/rates and so on. The list of preconfigured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:

Sl. No.	Business Assumption Name	Business Assumption Description	Regulatory Requirement Addressed	Regulatory Reference BNM/RH/PD 029-13
Outflows
1	BNM-Non-operational stable retail deposits	Run-offs on the stable portion of non-operational deposits from retail customers and unsecured wholesale funding from SMEs treated as retail.	The outflow rate on the stable portion of non-operational deposits, from retail customers and SMEs treated as retail customers, for LCR, is pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits, that are either not encumbered or encumbrance period is less than LCR horizon, which either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon.	Paragraphs 14.1 to 14.3, 14.8, 15.17 to 15.18
2	BNM-Non-operational less stable retail deposits	Run-offs on the less stable portion of non-operational deposits from retail customers and unsecured wholesale funding from SMEs treated as retail.	The outflow rate on the less stable portion of non-operational deposits, from retail customers and SMEs treated as retail customers, for LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits, that are either not encumbered or encumbrance period is less than LCR horizon, which either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon.	Paragraphs 14.1 to 14.2, 14.7, 14.8, 15.17 to 15.18
3	BNM-Non-op less stable retail deposit within 30 day	Run-offs on the less stable portion of non-operational deposits, maturing within 30 days from retail customers and unsecured wholesale funding from SMEs treated as retail.	The outflow rate on the less stable portion of non-operational deposits, from retail customers and SMEs treated as retail customers, for LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits, that are either not encumbered or encumbrance period is less than LCR horizon, which either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon.	Paragraphs 14.1 to 14.2, 14.7, 14.8, 15.17 to 15.18
4	BNM-Insured Operational deposits	Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities, that is fully covered by deposit insurance.	The outflow rate on the insured portion of the balance held in operational accounts, with other financial institutions, for clearing, custody, and cash management are pre-defined as part of this assumption. This assumption applies a 5% run-off on insured operational balances that are covered by deposit insurance.	Paragraph 15.6
5	BNM-Uninsured Operational deposits	Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities, that are not covered by deposit insurance.	The outflow rate on the uninsured portion of the balance held in operational accounts, with other financial institutions, for clearing, custody, and cash management are pre-defined as part of this assumption. This assumption applies a 25% run-off on uninsured operational balances that are not covered by deposit insurance.	Paragraph 15.6
6	BNM-Outflows on non-operational part of operational account	Outflows on the non-operational portion of an operational deposit, provided by corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB.	The outflow rate on the non-operational portion of the balance held in operational accounts, with other financial institutions, for clearing, custody, and cash management are pre-defined as part of this assumption. This assumption applies a 20% run-off on non-operational balances that are fully covered under deposit insurance and 40% run-off on accounts that are not fully covered under deposit insurance.	Paragraphs 15.12 to 15.13, 15.19, 15.20
7	BNM-Unsecured fully insured non-operational funding	Run-off on the portion of the non-operational balance, from deposits generated by clearing, custody, and cash management activities, that is fully covered by deposit insurance.	The outflow rate on the unsecured fully insured non-operational funding, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are pre-defined as part of this assumption. This assumption applies a 20% run-off on these balances.	Paragraphs 15.3, 15.20
8	BNM-Unsecured non-operational funding	Outflows on funding provided by corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB, that is not fully insured	The outflow rate on the unsecured non-operational funding that is not fully covered under deposit insurance received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off on these balances.	Paragraphs 15.3, 15.19
9	BNM-UWF from Non-qualifying Borrowings and Annuity Contracts	Outflows on non-qualified term funding from annuity contracts and borrowings from the central bank, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the non-qualified borrowings and annuity contracts, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off on these balances.	Paragraphs 15.3, 15.19, 15.21
10	BNM-UWF from qualified Borrowings and Annuity Contract	Outflows on qualified term funding from annuity contracts and borrowings from the central bank, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the qualified borrowings and annuity contracts, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off rate on these balances in the form of a 60% rollover rate.	Paragraphs 15.3, 15.19, 15.21
11	BNM-Unsecured part of secured non-op funding from Sov	Outflows on the unsecured portion of secured funding, provided by sovereigns, local governments or state enterprises, which are not classified as an operational deposit.	The run-off rates on the unsecured portion of secured funding, that is not classified as an operational deposit, received from sovereigns, local governments or state enterprises, are pre-defined as part of this assumption. This assumption applies a 20% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance.	Paragraphs 15.9, 15.3, 15.20
12	BNM-Unsec part of Sec Non-qualifying Borrowings and Annuity	Outflows on the unsecured non-qualifying portion of qualified secured borrowings and annuity contracts, provided by the central bank, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the unsecured portion of secured non-qualified borrowings and annuity contracts, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off rate on these balances.	Paragraphs 15.3, 15.19, 15.21
13	BNM-Outflows on non-op part of operational dep from other LE	Run-off on the portion of the non-operational balance, from deposits generated by clearing, custody, and cash management activities from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB.	The outflow rate on the non-operational portion of the balance held in operational accounts received from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB is pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraphs 15.12 to 15.13, 15.22
14	BNM-Non-op part of unsecured Operational deposits	Outflows on the non-operational balance of unsecured deposits generated by clearing, custody, and cash management activities.	The outflow rate on the non-operational portion of the unsecured balance held in operational accounts, with other financial institutions, for clearing, custody and cash management are pre-defined as part of this assumption are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraphs 15.12 to 15.13, 15.22
15	BNM-Outflows on Unsec CASA deposits from other LE	Outflows on the CASA deposits, provided by entities other than clearing, custody, and cash management activities from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB, that are not classified as operational deposits.	The outflow rate on the funding from CASA deposits, provided by entities other than clearing, custody, and cash management activities, received from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraph 15.19
16	BNM-Outflows on Unsec CASA deposits	Outflows on the unsecured CASA deposits.	The outflow rate on the funding from unsecured CASA deposits, provided by entities other than clearing, custody, and cash management activities are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraph 15.19
17	BNM-Unsec non-op dep from other LE with non-qualifying Amt	Outflows on the non-qualifying portion of unsecured qualifying term deposits from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB, which are not classified as operational deposits.	The outflow rate on the funding from a non-qualifying portion of unsecured qualifying term deposits, relieved from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraphs 15.3, 15.22
18	BNM-Unsec non-op dep with non-qualifying Amt	Outflows on the non-qualifying portion of unsecured qualifying term deposits, which are not classified as operational deposits.	The outflow rate on the funding from a non-qualifying portion of the unsecured qualifying term deposit received from wholesale counterparties is pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraphs 15.3, 15.22
19	BNM-Unsec dep from other LE with qualifying Amt	Outflows on the qualifying portion of unsecured qualifying term deposits from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the funding from qualifying portion of unsecured qualifying term deposit received from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB is pre-defined as part of this assumption. This assumption applies a 0% run-off on these balances	Paragraphs 15.3, 15.22
20	BNM-Unsec funding from Term and Certificate of deposit	Outflows on the qualifying portion of unsecured qualifying term deposits and certificates of deposit.	The outflow rate on the funding from the qualifying portion of unsecured qualifying term deposits and certificates of deposit received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 0% run-off on these balances	Paragraphs 15.3, 15.22
21	BNM-Other LE Unsec Funding from Non-qualifying Borrowings	Outflows on the non-qualifying borrowings, provided by entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the funding from non-qualifying borrowings received from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB is pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraphs 15.3, 15.22
22	BNM-Outflows from Unsec Borrowings and Annuity Contracts	Outflows on the unsecured non-qualifying borrowings and annuity contracts.	The outflow rate on the funding from borrowings and annuity contracts, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances	Paragraphs 15.3, 15.22
23	BNM-Outflows from Unsec cash flows from other LE	Outflows on the unsecured cash flows of qualifying borrowings and annuity contracts, provided by entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the funding from unsecured cash flows of qualifying borrowings and annuity contracts received from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances in the form of a 0% rollover rate.	Paragraphs 15.3, 15.22
24	BNM-Outflows from Unsec qualified borrowings	Outflows on the unsecured cash flows of qualified borrowings and annuity contracts.	The outflow rate on the funding from unsecured cash flows of qualifying borrowings and annuity contracts, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances.	Paragraphs 15.3, 15.22
25	BNM-Unsec part of sec non-qualified funding from other LE	Outflows on the unsecured portion of secured non-qualifying term funding from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the funding from an unsecured portion of secured non-qualifying borrowings and annuity contracts received from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances.	Paragraphs 15.3, 15.22
26	BNM-Unsec part of sec non-qualified funding	Outflows on the unsecured portion of secured non-qualifying term funding.	The outflow rate on the funding from the unsecured portion of secured non-qualifying borrowings and annuity contracts, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances.	Paragraphs 15.3, 15.22
27	BNM-Unsec part of sec qualified funding from other LE	Outflows on the unsecured portion of secured qualifying term funding from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the funding from an unsecured portion of secured qualifying borrowings and annuity contracts received from entities other than the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances in the form of a 0% rollover rate.	Paragraphs 15.3, 15.22
28	BNM-Outflows on Non-op unsecured funding	Outflows on unsecured funding that are not classified as operational deposits.	The outflow rate on the unsecured funding from debt securities and sukuks, which are not classified as operational deposits are pre-defined as part of this assumption. This assumption applies a 0% run-off on the qualified funding from debt securities and sukuk’s. It also applies run off of 10% and 100% for non-qualified securities issued exclusively to retail counterparties and those issued to counterparties other than retail respectively.	Paragraphs 15.3, 15.24 to 15.25
29	BNM-Unsec part of Sec cash flows from qualifying to fund	Outflows on the unsecured cash flows of qualified secured borrowings and annuity contracts, provided by the central bank, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rate on the funding from an unsecured portion of cash flows of qualified secured borrowings and annuity contracts received from the central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise, and MDB are pre-defined as part of this assumption. This assumption applies a 40% run-off on these balances in the form of a 60% rollover rate.	Paragraphs 15.3, 15.19, 15.21
30	BNM-Non-Qualifying Unsecured part of secured non-op funding	Outflows on the unsecured non-qualifying portion of qualified secured term funding, provided by sovereigns, that is not classified as an operational deposit.	The run-off rates on the funding from an unsecured non-qualifying portion of qualified secured term funding, that is not classified as an operational deposit, received from sovereigns, local governments or state enterprises, are pre-defined as part of this assumption. This assumption applies a 20% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance.	Paragraphs 15.3, 15.20
31	BNM-Unsecured Non-Op Funding with qualifying Amt	Outflows on the qualified portion of qualifying term deposit, provided by corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB, that is not classified as an operational deposit.	The run-off rates on the funding from an unsecured qualified portion of qualifying term deposit, that is not classified as an operational deposit, received from sovereigns, local governments or state enterprises, are pre-defined as part of this assumption. This assumption applies a 0% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance.	Paragraphs 15.3, 15.19
32	BNM-Non Op Unsec Wholesale Funding with Non-qualifying Amt	Outflows on the non-qualifying portion of qualifying term deposit, provided by corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB, that is not classified as an operational deposit.	The outflow rate on the non-qualifying portion of qualifying term deposit, that are not classified as operational deposits, received from corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB, pre-defined as part of this assumption. This assumption applies a 20% run-off on non-operational balances that are fully covered under deposit insurance and 40% run-off on accounts that are not fully covered under deposit insurance.	Paragraphs 15.3, 15.19, 15.20
33	BNM-Secured Funding -Security Lending and Collateral Swaps	Outflows on collateral swap transactions and security lending from entities such as central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs.	The run-off rates on the secured funding, including collateral swaps, from all counterparties, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type.	Paragraphs 16.1 to 16.3
34	BNM-Secured funding outflows based on the secured balance	Outflows on repurchase agreement and security lending from entities such as central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs.	The outflow rates on the repurchase agreement and secured lending, received from the central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on a secured balance.	Paragraphs 16.1 to 16.3
35	BNM-Additional Collateral Required Due to Ratings Downgrade	Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch rating downgrade.	The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch rating downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch rating downgrade.	Paragraph 17.7
36	BNM-Loss of Rehypothecation Rights Due to Ratings Downgrade	Increased liquidity needs arising from a loss of rehypothecation rights on assets received as collateral due to a 3-notch rating downgrade.	The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers, which result in a loss of rehypothecation rights due to a 3-notch rating downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under rehypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade.	Paragraph 17.7
37	BNM-Increased Liquidity Needs Due to Change in Coll Val	Increased liquidity needs arising from the potential change in the value of posted collateral.	The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 asset posted as collateral is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of non-level 1 posted collateral computed after netting the non-level 1 collateral received under rehypothecation rights on the same transaction.	Paragraph 17.5
389	BNM-Increased Liquidity Needs Due To Excess Collateral	Increased liquidity needs arising from excess non-segregated collateral received that can be recalled by the counterparty.	The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral.	Paragraph 17.9
39	BNM-Increased Liquidity Needs from Contractually Due Coll	Increased liquidity needs arising from the collateral that is contractually required to be posted to the counterparty but has not yet been posted.	The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral.	Paragraph 17.6
40	BNM-Increased Liquidity Needs Due to Market Valuation Change	Increased liquidity needs arising from market valuation changes on derivatives and other transactions.	The outflow rate on the collateral outflows occurring due to market valuation changes on derivatives and other transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow rate on the largest absolute net 30-day collateral flow occurring during the preceding 24 months under the historical look-back approach.	Paragraph 17.5
41	BNM-Loss of Funding from Financing Facility Maturing Debt	Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt.	The run-off rate on the maturing amounts of asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon. It also applied 100% run-off on the EOP balance of the structured financing facilities that mature beyond the LCR horizon but have a redemption notice period of 30 days or less.	Paragraph 18
42	BNM-Loss of Funding from Financing Facility, Return of Asset	Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to potential return of assets.	The run-off rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the value of the assets that are returnable within the LCR horizon. It also applies a 100% run-off on the value of the assets that are returnable beyond the LCR horizon but have a redemption notice period of 30 days or less	Paragraph 18
43	BNM-Loss of Funding from Financing Facility Liquidity Draws	Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to drawdown of liquidity facilities provided by the bank.	The outflow rate on the undrawn amount available to be drawn down on the liquidity facility extended to the structured financing facility is pre-defined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate on the liquidity facilities extended as support for structured financing purposes.	Paragraph 18
44	BNM-Draws on Committed Facilities Extended to Banks	Drawdowns on committed credit and liquidity facilities extended to banks.	The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to banks is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate.	Paragraphs 19.1 to 19.6
45	BNM-Drawdowns on Committed Credit and Liquidity Facilities	Drawdowns on the cash flows occurring on the loan that has been approved but not yet disbursed, within the LCR horizon.	The outflow rate on the cash flows occurring on the loan that has been approved but not yet disbursed, within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow rate as a drawdown rate.	Paragraphs 19.1 to 19.6
46	BNM-Draws on Committed Facilities Extended to Other Entity	Drawdowns on committed credit and liquidity facilities to other legal entities	The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to other legal entities is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate.	Paragraphs 19.1 to 19.6
47	BNM-Uncommitted Facility Outflows	Drawdowns on uncommitted credit and liquidity facilities extended to customers.	The outflow rate on the undrawn amount available to be drawn down on the uncommitted credit and liquidity facilities extended to customers is pre-defined as part of this assumption. This assumption applies a 0% drawdown on the uncommitted facilities. The drawdown rates are allowed to be updated to reflect the rates specified by national regulators.	Paragraphs 21.1
48	BNM-Other Contingent Funding Obligation Outflows	Outflows related to trade and non-trade finance related instruments.	The outflow rate on the trade and non-trade finance related instruments is pre-defined as part of this assumption. This assumption applies a 0.5% run-off on such trade finance obligations.	Paragraphs 21.1
49	BNM-Other Contractual Obligations to Non-Financial Customers	Outflows related to other contractual obligations to extend funds within 30 days to retail and non-financial wholesale counterparties.	The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, more than 50% of contractual inflows from such customers within the LCR horizon, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount.	Paragraph 20.1 (ii)
50	BNM-Other Contractual Obligations to Financial Institutions	Outflows related to other contractual obligations to extend funds within 30 days to financial institutions.	The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, more than 50% of contractual inflows from such customers within the LCR horizon, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount.	Paragraph 20.1 (i)
51	BNM-Contractual Interest Payment Outflows	Outflows related to contractual payments of interest.	The outflow rate on the interest payments contractually due within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow on interest in the form of a 0% rollover rate.	Paragraph 20.2
52	BNM-Non-contractual Obligation Outflows	Outflows from non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations	The outflow rate on the non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations is pre-defined as part of this assumption. This assumption applies a 0% outflow rate on non-contractual obligations. The outflow rate is allowed to be updated to reflect the rates specified by national regulators.	Paragraph 21.1
53	BNM-Outflows Related to Short Positions	Outflows related to customer and bank short positions.	The outflow rate on the customer and firm short positions is pre-defined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions.	Paragraph 21.1
54	BNM-Derivative cash outflows	Net cash outflows from derivative transactions.	The inflow rate on the 30-day cash inflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives.	Paragraph 17.1
55	BNM-Non-qualifying retail stable deposits	Runoffs on the Non-qualifying stable portion of qualifying term deposits from customers treated as retail.	The run-off rates on the Non-qualifying stable portion of qualifying term deposits from retail customers and SMEs who are treated like retail customers for LCR are pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits.	Paragraphs 14.1 to 14.3, 14.8, 15.17 to 15.18
56	BNM-Non-qualifying retail less stable deposits	Runoffs on the Non-qualifying less stable portion of qualifying term deposits from customers treated as retail.	The run-off rates on the Non-qualifying less stable portion of qualifying term deposits from retail customers and SMEs who are treated like retail customers for LCR are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits.	Paragraphs 14.1 to 14.2, 14.7, 14.8, 15.17 to 15.18
57	BNM-Qualifying retail deposits	Runoffs on the qualifying portion of qualifying term deposits from customers treated as retail.	The run-off rates on the qualifying portion of qualifying term deposits from retail customers and SMEs who are treated like retail customers for LCR are pre-defined as part of this assumption. This assumption applies a 0% run-off on these balances.	Paragraph 14.8, 15.17 to 15.18
58	BNM-Secured funding outflows from other entities	Outflows on security lending from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB	The outflow rates on secured funding, excluding collateral swaps from entities other than the central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on the market value of received collateral.	Paragraphs 16.1 to 16.3
59	BNM-Secured balance outflows from other entities	Outflows on repurchase agreements and secured lending from entities other than corporates, SMEs, sovereign, the central bank, local government, state enterprise or MDB.	The outflow rates on the repurchase agreement and security lending from entities other than the central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on a secured balance.	Paragraphs 16.1 to 16.3
60	BNM-Drawdowns on Committed Funding Facilities	Drawdowns on committed facilities received by the bank.	The inflow rate on the undrawn amount available to be drawn down, on the committed credit and liquidity facilities received by the bank, is pre-defined as part of this assumption. This assumption applies a 0% inflow rate on the credit and liquidity lines received by the bank.	Paragraph 21.1
61	BNM-Loss of Funding on Structured Financing Instruments	Loss of funding on asset-backed securities, covered bonds, and other structured financing instruments.	The run-off rate on the maturing asset-backed securities, covered bonds, and other structured financing instruments is pre-defined as part of this assumption. This assumption applies a 100% run-off on structured financing instruments that mature within the LCR horizon.	Paragraph 18.1
62	BNM-Increased Liquidity Needs Due to Substitutable Collateral	Increased liquidity needs arising from contracts that allow a counterparty to substitute lower quality collateral for the current higher quality collateral.	The outflow rate on the collateral that the counterparty can contractually substitute with lower quality collateral is pre-defined as part of this assumption. This assumption applies an outflow rate equal to the difference between the liquidity haircuts of collateral that can be potentially substituted by the counterparty and the collateral that substitutes it.	Paragraph 17.10
63	BNM-Other Contingent Funding Obligations with DS issued	Outflows related to debt securities issued by the bank having maturity greater than 30 days.	The run-off rate on the debt securities issued where the bank is the dealer or market maker, with remaining maturity greater than 30 days are pre-defined as part of this assumption. This assumption applies a 10% run-off on the market value of the debt security.	Paragraph 21.1
64	BNM - Contractual Dividend Payment Outflows	Outflows related to contractual payments of dividends.	The outflow rate on the dividends payable within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow on dividends payable.	Paragraph 20.2
65	BNM-Secured funding outflows based on secured cash flow	Outflows on annuity contracts, borrowings and deposits from the central bank, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rates on secured funding, excluding repos, security lending transactions, derivatives, issued securities and credit/liquidity facilities, received from the central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type in the form of rollover rates that is 1 - run-off rates on secured cash flows.	Paragraphs 16.1 to 16.3
66	BNM- Secured cash flow from other entities	Outflows on annuity contracts, borrowings and deposits from entities other than the central bank, SMEs, corporates, sovereign, local government, PSE, state enterprise, and MDB.	The outflow rates on the annuity contracts, borrowings from entities other than the central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of rollover rates that is 1 - run-off rates on secured cash flows.	Paragraphs 16.1 to 16.3
71	BNM-Funds Fully Invested in Liquid Assets	Outflows on the total value of the funds which are fully invested in liquid assets	The outflow rate on the total value of the fund which is fully invested in liquid assets is pre-defined as part of this assumption. This assumption applies a 10% run-off on these balances	Paragraph 27.7
72	BNM-Funds Not Fully Invested In Liquid Assets-Based on Party	Outflows on funding provided by the corporate, sovereign, central bank, MDB and PSE, retail, unsecured wholesale counterparties for UA funds that are not fully invested in liquid assets	The outflow rate on the value of the fund received from the retail, central bank, corporates, SMEs, sovereign, PSE, and MDB, where the fund is not fully invested in liquid assets are pre-defined as part of this assumption. This assumption applies a 10% run-off on the outflows from retail and SME's treated as retail and customers and 40% for all other customers.	Paragraph 27.7
73	BNM-Funds Not Fully Invested In Liquid Assets-Others	Outflows on funding provided by parties other than the corporate, sovereign, central bank, MDB and PSE, retail, unsecured wholesale counterparties for UA funds that are not fully invested in liquid assets	The outflow rate on the value of the fund received from customers other than retail, the central bank, corporates, SMEs, sovereign, PSE, and MDB, where the fund is not fully invested in liquid assets are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances.	Paragraph 27.7
Inflows
1	BNM-Revolving, Non-Maturity and Non-Performing Inflow Excl	Exclusion of inflows from revolving products, products that do not have a specified maturity, and products that are not fully performing.	The exclusion of cash inflows from revolving assets, assets that do not have a stated maturity and assets that are not fully performing is pre-defined as part of this assumption. This assumption applies a 100% rollover on the inflows from such assets. The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are also pre-defined as part of this assumption. It applies a 0% inflow on such operational deposits.	Paragraphs 22.3, 22.4, 26.2
2	BNM - Open Maturity Loans-retail and wholesale parties	Inflows due to minimum payments received within the LCR horizon on open maturity loans with retail counterparties	The inflow rate on the minimum payments of principal, interest, and fee, that are contractually due within the LCR horizon, on an open maturity loan with retail counterparties and SMEs that are treated as wholesale, is pre-defined as part of this assumption. This assumption applies a 50% inflow on such minimum payments from retail counterparties and non-financial wholesale counterparties. it also applies a 100% inflow on such minimum payments from financial wholesale counterparties	Paragraph 22.4
3	BNM - Other Deposit Inflows	Inflows from deposits placed with the central bank or with other banks that are not included as a level 1 asset in the stock of HQLA.	The inflow rate on the deposits held with central banks and other financial institutions maturing within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate.	Paragraph 26.1
4	BNM - Secured Lending - Repo and Security Borrowings	Inflows from secured lending transactions excluding collateral swaps.	The inflow rates on the secured lending, excluding collateral swaps, are pre-defined as part of this assumption. This assumption applies the regulatory inflows to secured lending transactions based on the asset level of the collateral received.	Paragraphs 23.1 to 23.2
5	BNM-Other Inflows from Retail and SME	Other inflows from fully performing loans, which have a specified maturity and are extended to retail customers and SMEs treated as retail.	The inflow rate on the fully performing loans with a stated maturity, extended to retail customers and SMEs who are treated like retail customers for LCR, is pre-defined as part of this assumption. This assumption applies a 50% rollover that is 50% inflow on performing retail loans.	Paragraph 22.2
6	BNM - Other Inflows from WSME, NFC, Sov, CB, MDB and PSE	Other inflows from fully performing loans, which have a specified maturity and are extended to small and medium enterprises treated as wholesale (WSME), non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and public sector enterprises (PSE).	The inflow rate on the fully performing loans with a stated maturity, extended to wholesale SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and public sector enterprises is pre-defined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on performing loans from central banks and a 50% rollover that is 50% inflow on those from other non-financial counterparties specified earlier.	Paragraph 22.2
7	BNM - Secured Lending - Collateral Swaps	Inflows from collateral swap transactions.	The inflow rates on collateral swaps are pre-defined as part of this assumption. This assumption applies the inflows applicable to the market value of placed collateral, when the collateral placed under a swap transaction is of a higher quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral.	Paragraphs 23.1 to 23.2
8	BNM-Derivative cash inflows	Net cash inflows from derivative transactions.	The inflow rate on the 30-day cash inflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives.	Paragraph 24