15.2.2 Liquidity Ratio Calculation Process Flow

This section aims to explain the procedure of calculating the Liquidity Coverage Ratio (LCR).

• Asset Level Identification
• Identification of Eligible HQLA
• Calculation of Stock of High Quality Liquid Asset (SHQLA)
• Determination of the Maturity of Cash Flows
• Deposit Stability Identification
• Classifying Operational Account
• Calculation of Contractually Required Collateral
• Calculation of Excess Collateral
• Calculation of Downgrade Impact Amount
• Calculation of Net Derivative Cash Inflows and Outflows
• Calculation of Twenty Four Month Look-back Amount
• Calculation of Operational Amount
• Calculation of HQLA Transferability Restriction
• Calculation of Net Cash Outflows
• Consolidation
• Alternative Liquidity Approaches
• Calculation of Liquidity Coverage Ratio

The application supports an out-of-the-box BIS Basel III LCR which has the regulatory scenario with associated HQLA haircuts, inflow and outflow rates pre-configured in the form of business assumptions.