8.6.3.4 Based On

This option determines the measure that the assumption values are applied to in order to obtain cash flows. From the drop-down list, you are allowed to select the option on which different assumption values are applied.

The table below helps to understand the set of parameters for each assumption category and sub-category.

Table 7-70 List of assumptions

Assumption Category	Assumption Sub-Category	Based On
Cash Flow Movement	Cash Flow Movement	Cash Flows EOP Balance Fair Value Fair Value of Collateral Posted Fair Value of Collateral Received High Run-off Category 1 Balance High Run-off Category 2 Balance High Run-off Category 3 Balance Highly Stable Balance Insured Balance Less Stable Balance Market Value Market Value of Collateral Posted Market Value of Collateral Received Stable Balance Uninsured Balance
	Run-Off	Cash Flows EOP Balance High Run-off Category 1 Balance High Run-off Category 2 Balance High Run-off Category 3 Balance Highly Stable Balance Insured Balance Less Stable Balance Stable Balance Uninsured Balance Unsecured Balance Secured Balance
	Prepayment	Cash Flows
	Cash Flow Delay	Cash Flows
	Delinquency	Cash Flows
	Recovery	Cash Flows
	Rollover	Cash Flows Fair Value of Collateral Posted Fair Value of Collateral Received Market Value of Collateral Posted Market Value of Collateral Received Non-qualifying Amount Non-qualifying Less Stable Amount Non-qualifying Stable Amount Non-qualifying Unsecured Balance Qualifying Amount Secured Cash Flows Unsecured Cash Flows
	Asset Sale	EOP Balance Fair Value Market Value
Encumbrance	Encumbrance	Downgrade Impact Value Fair Value Fair Value of Collateral Posted Fair Value of Collateral Received Fair Value of Excess Collateral Fair Value of Required Collateral Largest 30 Day Cumulative Collateral Amount Market Value Market Value of Collateral Posted Market Value of Collateral Received Market Value of Excess Collateral Market Value of Required Collateral
	Ratings Downgrade	Downgrade Impact Value
	Valuation Changes	Fair Value Fair Value of Collateral Posted Fair Value of Collateral Received Fair Value of Excess Collateral Fair Value of Required Collateral Largest 30 Day Cumulative Collateral Amount Market Value Market Value of Collateral Posted Market Value of Collateral Received Market Value of Excess Collateral Market Value of Required Collateral
Incremental Cash Flow	Incremental Cash Flow	Available Undrawn Amount Cash Flows Downgrade Impact Value EOP Balance Fair Value Fair Value of Collateral Posted Fair Value of Collateral Received Fair Value of Excess Collateral Fair Value of Required Collateral General Ledger Balance High Run-off Category 1 Balance High Run-off Category 2 Balance High Run-off Category 3 Balance Highly Stable Balance Insured Balance Largest 30 Day Cumulative Collateral Amount Less Stable Balance Market Value Market Value of Collateral Posted Market Value of Collateral Received Market Value of Excess Collateral Market Value of Required Collateral Non-Contractual Obligation Amount Non Operational Balance Penalty Free Portion of Stable Balance Penalty Free Portion of Highly Stable Balance Stable Balance Undrawn Balance Uninsured Balance
	Run-Off	Available Undrawn Amount Dividend Payable EOP Balance EOP Balance net of Underlying HQLA Inflow EOP Balance net of Underlying HQLA Outflow EOP amount with significant penalty or withdrawal Encumbered Balance Fair Value of Collateral Posted Fair Value of Collateral Received Fund Value General Ledger Balance High Run-off Category 1 Balance High Run-off Category 2 Balance High Run-off Category 3 Balance Highly Stable Balance Insured Amount Withdrawal without penalty Insured Balance Insured Non-operational Amount Insured Operational Amount Less Stable Balance Less Stable Balance withdrawable amount without penalty Market Value Market Value of Collateral Posted Market Value of Collateral Received Minimum Amount Due Minimum Reserves Net Derivative Cash Flow net of collateral Net Derivative Cash Inflow net of collateral Net Intra-group Outflow Net Intra-group Inflow Non Contractual Obligation Amount Non Operational Balance Non-qualifying Amount Non-Qualifying Unsecured Balance Non-qualifying Stable Amount Non-qualifying Less Stable Amount Operational Balance Penalty Free Portion of High Run-off Category 1 Amount Penalty Free Portion of High Run-off Category 2 Amount Penalty Free Portion of High Run-off Category 3 Amount Penalty Free Portion of Highly Stable Balance Penalty Free Portion of Stable Balance Qualifying Amount Returnable Asset Value Secured Balance Secured Lending inflow Amount Segregated Inflow Amount Stable Balance Structured Outflow Amount Uncleared Balance Unencumbered Balance Unencumbered Highly Stable Amount Unencumbered Stable Amount Unencumbered Less Stable Amount Uninsured Amount Withdrawal without penalty Uninsured Balance Uninsured Non Operational Amount Uninsured Operational Amount Uninsured Operational Amount Unsecured Lending Dues Unsecured Balance Unsettled Amount Value of Fund
	Drawdown	Adjusted Undrawn Amount Available Undrawn Amount Portion of the undrawn amount that can be drawn in liquidity horizon period Structured Outflow Amount Undrawn Balance
	Liability Run-Off	Balance
	New Business	EOP Balance
	Ratings Downgrade	Downgrade Impact Value Underlying Mitigant Value
	Secured Funding / Financing	Cash Flows EOP Balance
	Valuation Changes	Additional Collateral Amount For Derivatives Collateral Valuation Change Amount Contractually Due Collateral Dividend Payable Excess Collateral Due Excess Contractual Obligation Amount Fair Value Fair Value of Collateral Posted Fair Value of Collateral Received Fair Value of Excess Collateral Fair Value of Required Collateral Largest 30 Day Cumulative Collateral Amount Market Value Market Value of Collateral Posted Market Value of Collateral Received Market Value of Excess Collateral Market Value of Required Collateral Net Derivative Cash Outflow net of collateral
Value Change	Available Stable Funding Factor	Cash Flows EOP Balance Less Stable Balance NSFR Derivative Liabilities Net NSFR Derivative Liabilities Non-Operational Balance Non-Operational Cash Flows Operational Balance Operational Cash Flows Stable Balance Standard Accounting Head Balance Total Less Stable Balance Total Less Stable Cash Flows Total Stable Balance Total Stable Cash Flows Net CFR Derivative Liabilities Variation Margin Received Initial Margin Received
	Haircut	Fair Value Market Value
	Required Stable Funding Factor	Additional Derivative Liability for RSF Cash Flows Derivative Liability Amount EOP Balance EOP Carrying Value Encumbered Balance Encumbered Carrying Value Fair Value Fair Value or Collateral Posted GL Balance Initial Margin Posted Market Value Market Value of Collateral Posted NSFR Derivative Assets Net NSFR Derivative Assets Non Contractual Obligation Amount Non-Operational Balance Non-Operational Carrying Value Operational Balance Operational Carrying Value Standard Accounting Head Balance Standard Accounting Head Carrying Value Undrawn Amount Unencumbered Balance Unencumbered Carrying Value Net CFR Derivative Assets Derivative Asset Amount Variation Margin Posted Default Fund Value

When the Intraday Assumption is selected as Yes in the Business Assumption Definition window the following set of parameters are displayed for each assumption category and sub-category:

Table 7-71 Intraday Assumption

Intraday Assumption Category	Intraday Assumption Sub-Category	Based On
Cash Flow Movement	Time Shift in Payments	Payments Received Payments Made
	Payments Default	Payments Received
Encumbrance	Withdrawal of Credit Lines	Undrawn Amount
Incremental Cash Flow	Intraday Drawdown	Undrawn Amount
	Large Unexpected Payments	Payments Made Payments Received
Value Change	Intraday Valuation Changes	Available Intraday liquidity