1. User Guide
  2. Bank for International Settlements Basel III Liquidity Ratio Calculation
  3. Liquidity Coverage Ratio Calculation
  4. Liquidity Ratio Calculation Process Flow
  5. Determination of the Maturity of Cash Flows

15.2.2.4 Determination of the Maturity of Cash Flows

For the purposes of calculating the Liquidity Coverage Ratio, the application identified the maturity of certain transactions as follows:
  1. For liabilities having embedded optionality, such as callable features, that reduces the maturity of the account, the application considers the earliest date, i.e. the first call date, as the revised maturity date.
  2. For assets having embedded optionality that reduces the maturity of the account, where the collateral received is not re-hypothecated, the application considers the earliest date, i.e. the first call date, plus notice period as the revised maturity date.
  3. For derivatives having embedded optionality that reduces the maturity of the account, where the collateral received is not re-hypothecated, the application considers the earliest date, i.e. the first call date, as the revised maturity date.
  4. For assets or derivatives, where the collateral received has been re-hypothecated for a period greater than the maturity of the asset itself, the application considers the maturity date of the liability, against which the collateral received is re-hypothecated, as the revised maturity of the asset.
  5. For assets or derivatives having embedded optionality that reduces the maturity of the account, where the collateral received has been re-hypothecated for a period greater than the first call date plus notice period but less than the original maturity of the asset itself, the application considers the maturity date of the liability, against which the collateral received is re-hypothecated, as the revised maturity of the asset.
  6. For derivatives having embedded optionality that reduces the maturity of the account, where the collateral received has been re-hypothecated for a period greater than the first call date but less than the original maturity of the asset itself, the application considers the maturity date of the liability, against which the collateral received is re-hypothecated, as the revised maturity of the asset.
  7. For assets having embedded optionality that reduces the maturity of the account, where the collateral received has been re-hypothecated for a period less than the first call date plus notice period, the application considers the first call date plus notice period as the revised maturity of the asset.
  8. For derivatives having embedded optionality that reduces the maturity of the account, where the collateral received has been re-hypothecated for a period less than the first call date plus notice period, the application considers the first call date as the revised maturity of the asset.
  9. For assets and derivatives which do not have embedded optionality that reduces the maturity of the account, where the collateral received has been re-hypothecated for a period less than the maturity of the asset itself, the application considers the original maturity date of the asset, as the revised maturity of the asset.
  10. For assets and derivatives which do not have embedded optionality that reduces the maturity of the account, where the collateral received has not been re-hypothecated, the application considers the original maturity date of the asset, as the revised maturity of the asset.

Note:

The revised maturity is computed by the application as per regulatory expectation and is used for the calculation of LCR.