10  Regulation YY Subject Area 

Liquidity Risk

Regulation YY

·        As of Date: This is a selection from the calendar.

·        Run Type: This is a drop-down selection. The drop-down list is filtered based on the As of Date selected.

·        Run Name: This is a drop-down selection. The drop-down list is filtered based on the As of Date and Run Type selected.

·        Run Execution ID: This is a drop-down selection. The drop-down list is filtered based on As of Date, Runt and Scenario selected.

·        Legal Entity: This is a drop-down selection. The drop-down list is filtered based on As of Date, Run Type and Run Name selected.

·        Run Type

·        Consolidation Type

Buffer Ratio Tolerance: This is a user-specified tolerance value in percentage terms. The default value is 100.

Available and Required Liquidity Buffer

Not applicable

This report displays the required buffer, available buffer, and the buffer ratio.

Custom Report Type

The report displays the Buffer Ratio, Net Cash Flow Needs, and Available Buffer.

Net Cash Flow Needs includes:

·        Net External Cash Flow Needs and Net Internal Cash Flow Needs in case of FBOs

·        Cash Flow Needs and Cash Flow Sources in case of BHCs

The color of Buffer Ratio and Available Buffer varies based on the Buffer Ratio Tolerance specified as follows:

·        Green Color: Buffer ratio >= 100% of Buffer Ratio Tolerance

·        Amber Color: Buffer ratio >=90% and < 100% of Buffer Ratio Tolerance

·        Red Color: Buffer ratio < 90% of Buffer Ratio Tolerance

Cash Flow Needs are displayed in Red color whereas Cash Flow Sources are displayed in Green.

Legal Entity

·        Cash Flows

·        Available Buffer

Buffer Ratio

Not applicable

Not applicable

Buffer and Buffer Requirement across Stress Horizons

Not applicable

This report displays the available buffer computed for the Buffer Horizon, Net Cash Outflows, Buffer Ratio, and Buffer Tolerance across multiple user-specified stress horizons.

Combination of Column and Line Graph

The user-specified stress horizons are displayed on the x-axis.

The following are displayed as columns on the primary y-axis:

·        Available Buffer

·        Net Cash Flow Needs

·        The following are displayed as a line graph on the secondary y-axis.

·        Buffer Ratio

·        Buffer Ratio Tolerance

·        Legal Entity

·        Stress Horizons

·        Available Buffer

·        Net Cash Flow Needs

·        Buffer Ratio Tolerance

·        Buffer Ratio

Not applicable

Not applicable

Not applicable

Cash Flow Projections

·        Reporting Bucket Definition

·        Bucket Level

This report displays the components of net cash flows across time buckets based on the bucket level selected.

Combination of Column and Line Graph

The time buckets at the user-selected bucket level are displayed on the x-axis.

FBO View:

The following are displayed as columns on the primary y-axis:

·        Intragroup Cash Inflow

·        Intragroup Cash Outflow

·        External Cash Inflow

·        External Cash Outflow

The following are displayed as a line graph on the secondary y-axis.

·        Intragroup Cumulative Inflow

·        Intragroup Cumulative Outflow

·        External Cumulative Inflow

·        External Cumulative Outflow

·        BHC View:

The following are displayed as columns on the primary y-axis:

·        Cash Inflow

·        Cash Outflow

The following are displayed as a line graph on the secondary y-axis.

·        Cumulative Inflow

·        Cumulative Outflow

·        Legal Entity

·        Time Bucket Definition

·        Intragroup Cash Inflow

·        Intragroup Cash Outflow

·        External Cash Inflow

·        External Cash Outflow

·        Cash Inflow

·        Cash Outflow

·        Intragroup Cumulative Inflow

·        Intragroup Cumulative Outflow

·        External Cumulative Inflow

·        External Cumulative Outflow

·        Cumulative Inflow

·        Cumulative Outflow

Not applicable

Not applicable

Available Buffer Composition

Buffer Composition By: This is a drop selection.

This report displays the breakup of the available buffer across different dimensions and provides multiple views of the buffer composition.

Custom Report

The available buffer is displayed as a square badge.

Pie Chart - Buffer Composition by Type

The breakup of the available buffer is displayed across the following asset types:

·        Cash

·        US Government Securities

·        US Government Agency Securities

·        US GSE Securities

·        Other Securities

Pie Chart - Buffer Composition by Asset Class

The break- up of available buffer is displayed across the following asset classes:

·        Level 1 Assets

·        Level 2A Assets

·        Level 2B Assets

·        Other Assets

Pie Chart - Buffer Composition by Asset Restriction

The break- up of available buffer is displayed across the following categories:

·        Unconsolidated Restricted Assets

·        Consolidated Restricted Assets

·        Unrestricted Assets

Tabular Report

The tabular report displays the break-down of the available buffer by the members of the selected dimension. The dimension members of the selected dimension are displayed as row items. The following are displayed as columns:

·        Fair Value

·        Post Haircut Value

·        Percentage of Available Buffer

Pie Chart

The breakup of the available buffer is displayed across the following asset types:

·        Cash

·        US Government Securities

·        Others

·        Legal Entity

·        Asset Type

·        Asset Class

·        Asset Restriction

·        Line of Business

·        Product Type

·        Issuer Type

·        Product

·        Currency

·        Customer Type

·        Available Buffer

·        Fair Value of Asset

·        Post Haircut Value of Asset

Percentage of Available Buffer

Segments of the Pie Chart in the buffer composition by dimensions section.

Level 1:

Report Type: Pie Chart

The selected segment of the pie chart is broken-down across the members of the selected dimension.

Level 2 Drill-thru On: Not applicable