15.2.3.2 Regulation Addressed through Business Assumptions
The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified scenario parameters such as inflow rates, outflow rates, run-offs and haircuts and so on. The list of pre-configured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:
Table 14-12 Regulation Addressed through Business Assumptions
| Serial No. | Assumption Name | Assumption Description | Regulatory Requirement Addressed | BCBS 238, Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools Reference |
|---|---|---|---|---|
| 1 | HQLA Haircuts | Haircuts for high quality liquid assets. | The haircuts on high quality liquid assets are pre-defined as part of this assumption. This assumption applies a 0% haircut on level 1 assets, 15% on level 2A assets, 25% on level 2B RMBS assets and 50% on level 2B non-RMBS assets. | Paragraphs 49, 52, 54 |
| 2 | Highly Stable Retail Deposit and SME UWF Runoff | Run-offs on the highly stable portion of deposits from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail. | The run-off rates on the highly stable portion of deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 3% run-off on the stable portion of retail deposits that meet additional criteria for deposit insurance schemes and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 75 to 78, 85 to 92 |
| 3 | Penalty Free Highly Stable Retail and SME UWF Runoff | Run-offs on the portion of highly stable term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that are treated as a demand deposits. | The run-off rates on the portion of highly stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 3% run-off on the portion of stable retail deposits maturing beyond the LCR horizon that meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. | Paragraphs 75 to 78, 82 to 83, 85 to 92 |
| 4 | Stable Retail Deposit and Unsecured SME Funding Runoff | Run-offs on the stable portion of deposits from retail customers and unsecured wholesale funding from SMEs treated as retail. | The run-off rates on the stable portion of deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits that do not meet additional criteria for deposit insurance schemes and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 75 to 77, 85 to 92 |
| 5 | Penalty Free Stable Retail and SME UWF Runoff | Run-offs on the portion of stable term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that are treated as a demand deposits. | The run-off rates on the portion of stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 5% run-off on the portion of stable retail deposits maturing beyond the LCR horizon that do not meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. | Paragraphs 75 to 77, 82 to 83, 85 to 92 |
| 6 | Less Stable Retail Deposit and Unsecured SME Funding Runoff | Run-offs on the less stable portion of deposits from retail customers and unsecured wholesale funding from SMEs treated as retail. | The run-off rates on the less stable portion of deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 79 to 81, 85 to 92 |
| 7 | Penalty Free Less Stable Retail and SME UWF Runoff | Run-offs on the portion of less stable term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that are treated as a demand deposits. | The run-off rates on the portion of less stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits maturing beyond the LCR horizon that do not meet the deposit stability criteria and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. | Paragraphs 79 to 80, 82 to 83, 85 to 92 |
| 8 | High Run-off Category 1 Retail Deposit and SME UWF Runoff | Run-offs on the portion of deposits from retail customers and unsecured wholesale funding from SMEs treated as retail that are eligible for category 1 high run-offs. | The run-off rates on the deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR, that qualify for higher run-offs are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits that qualify for category 1 higher run-offs, and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 74, 79 to 81, 85 to 92 |
| 9 | Penalty Free HR Category 1 Retail Deposit and SME UWF Runoff | Run-offs on the portion of term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that are treated as a demand deposits and are eligible for category 1 high run-offs. | The run-off rates on the term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR, that qualify for higher run-offs are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits maturing beyond the LCR horizon that qualify for category 1 higher run-offs and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. | Paragraphs 74, 79 to 80, 82 to 83, 85 to 92 |
| 10 | High Run-off Category 2 Retail Deposit and SME UWF Runoff | Run-offs on the portion of deposits from retail customers and unsecured wholesale funding from SMEs treated as retail that are eligible for category 2 high run-offs. | The run-off rates on the deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR, that qualify for higher run-offs are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits that qualify for category 2 higher run-offs, and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 74, 79 to 81, 85 to 92 |
| 11 | Penalty Free HR Category 2 Retail Deposit and SME UWF Runoff | Run-offs on the portion of term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that are treated as a demand deposits and are eligible for category 2 high run-offs. | The run-off rates on the term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR, that qualify for higher run-offs are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits maturing beyond the LCR horizon that qualify for category 2 higher run-offs and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. | Paragraphs 74, 79 to 80, 82 to 83, 85 to 92 |
| 12 | High Run-off Category 3 Retail Deposit and SME UWF Runoff | Run-offs on the portion of deposits from retail customers and unsecured wholesale funding from SMEs treated as retail that are eligible for category 3 high run-offs. | The run-off rates on the deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR, that qualify for higher run-offs are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits that qualify for category 3 higher run-offs, and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 74, 79 to 81, 85 to 92 |
| 13 | Penalty Free HR Category 3 Retail Deposit and SME UWF Runoff | Run-offs on the portion of term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that are treated as a demand deposits and are eligible for category 3 high run-offs. | The run-off rates on the term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR, that qualify for higher run-offs are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits maturing beyond the LCR horizon that qualify for category 3 higher run-offs and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. | Paragraphs 74, 79 to 80, 82 to 83, 85 to 92 |
| 14 | Insured Operational Balance Run-off | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is fully covered by deposit insurance. | The run-off rates on the insured portion of the balance held in operational accounts to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 3% run-off on insured operational balances that meet the additional criteria for deposit insurance schemes and a 5% run-off on those that do not meet the additional criteria. | Paragraphs 75 to 78, 93 to 104 |
| 15 | Uninsured Operational Balance Run-off | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is not covered by deposit insurance. | The run-off rates on the uninsured portion of the balance held in operational accounts to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 25% run-off on operational balances that are not covered by deposit insurance. | Paragraphs 93 to 104 |
| 16 | Run-off on Deposits in Institutional Network of Co-op Banks | Run-off on deposits placed with the central institution or specialized central service providers of an institutional network of co-operative banks due to statutory minimum deposit requirements or in the context of common task sharing and legal, statutory or contractual arrangements. | The run-off rates on deposits placed by a member institution with the central institution or specialized central service providers of an institutional network of co-operative banks are pre-defined as part of this assumption. This assumption applies a 75% rollover i.e. a 25% run-off on deposits in institutional networks of cooperative banks, which are non-operational in nature, placed due to statutory minimum deposit requirements or in the context of common task sharing and legal, statutory or contractual arrangements. | Paragraphs 105 to 106 |
| 17 | Run-off on UnSec Non-Op Funds from SMEs - Acct coll level | Run-off on the unsecured wholesale funding, provided by SMEs, that is not classified as an operational deposit. This is achieved by rolling over 1 – run-off rate to beyond the LCR horizon of 30 days. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from SME's, treated as wholesale customers for the purposes of LCR, are pre-defined as part of this assumption. This assumption applies a 80% rollover i.e. 20% run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover i.e. 40% run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | Paragraphs 107 to 108 |
| 18 | NFC, Sov, CB, MDB, PSE Non-op UWF Run-off - Acct coll level | Run-off on the unsecured wholesale funding (UWF), provided by non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and PSEs, that is not classified as an operational deposit. This is achieved by rolling over 1 – run-off rate to beyond the LCR horizon of 30 days. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, 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 80% rollover i.e. 20% run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover i.e. 40% run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | Paragraphs 107 to 108 |
| 19 | UWF Run-off on Non-operational Balance from SMEs | Run-offs on unsecured wholesale funding (UWF) from SMEs not treated as retail. | The run-off rates on the non-operational portion of operational deposits from SME's, treated as wholesale customers for the purposes of LCR, are pre-defined as part of this assumption. This assumption applies a 20% run-off on the non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance. | Paragraph 96, 107 to 108 |
| 20 | NFC, Sov, CB, MDB, PSE UWF Run-off on Non-op Balance | Run-off on the non-operational portion of unsecured wholesale funding provided by non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and PSEs that is classified as an operational deposit. | The run-off rates on the non-operational portion of operational deposits 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 non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance. | Paragraphs 96, 107 to 108 |
| 21 | Other LE Unsec Wholesale Funding Run-off - Acct coll level | Run-off on unsecured wholesale funding, from wholesale customers other than SMEs, non-financial corporate, sovereigns, central banks, multilateral development banks and PSEs, provided for non-operational purposes. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from wholesale counterparties other than SMEs, non-financial corporate, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 0% rollover i.e. 100% run-off on cash flows from non-operational funding accounts. | Paragraphs 105 to 106, 109 |
| 22 | UWF Run-off on Non-operational Balance of Other Entities | Run-off on the non-operational portion of unsecured wholesale funding (UWF) provided by customers other than non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs that is classified as an operational deposit. | The run-off rates on the non-operational portion of operational deposits from wholesale counterparties other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on the non-operational portion of operational deposits from such counterparties. | Paragraphs 96, 109 |
| 23 | Issued Debt Security Outflow | Outflows on debt securities issued by the bank itself. | The run-off rates on the debt securities issued by the bank itself are pre-defined as part of this assumption. This assumption applies a 90% rollover i.e. 10% run-off on issued securities that are sold exclusively in the retail market and held in retail accounts, and 0% rollover i.e. 100% run-off on all other issued securities. | Paragraphs 89 to 91, 110 |
| 24 | Secured Funding Run-Off - Acct coll level | Run-off on secured funding, excluding collateral swaps, received from sovereigns, central banks and multilateral development banks. | The run-off rates on the secured funding, excluding collateral swaps, received from sovereigns, central banks, multilateral development banks and PSEs, 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 i.e. 1 – run-off rates. | Paragraphs 112 to 115 |
| 25 | Run-off on Sec Funding From PSEs - Acct coll level | Run-off on secured funding, excluding collateral swaps, received from PSEs. | The run-off rates on the secured funding, excluding collateral swaps, received from PSEs, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to PSEs in the form of rollover rates i.e. 1 – run-off rates. | Paragraphs 112 to 115 |
| 26 | Run-off on Sec Funding From Others - Acct coll level | Run-off on secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks and PSEs. | The run-off rates on the secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks and PSEs, where the transaction is backed by level 2B non-RMBS or other assets, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to other counterparties, based on the asset quality of the placed collateral, in the form of rollover rates i.e. 1 – run-off rates. | Paragraphs 112 to 115 |
| 27 | Collateral Swap Run-off | Run-off on collateral swap transactions. | The run-off rates on collateral swaps are pre-defined as part of this assumption. This assumption applies the run-offs applicable to the market value of received collateral, when the collateral received under a swap transaction is of a higher quality than the collateral placed, as the difference between the liquidity haircuts applicable to the received and placed collateral. | Paragraphs 112 to 115 |
| 28 | Additional Collateral Required Due to Ratings Downgrade | Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch ratings 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 ratings downgrade. | Paragraph 118 |
| 29 | Loss of Re-hypothecation Rights Due to Ratings Downgrade | Increased liquidity needs arising from a loss of re-hypothecation rights on assets received as collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers that result in a loss of re-hypothecation rights due to a 3-notch ratings downgrade is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade. | Paragraph 118 |
| 30 | Increased Liquidity Needs Due to Change in Collateral Value | 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 assets 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 re-hypothecation rights on the same transaction. | Paragraph 119 |
| 31 | 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 120 |
| 32 | Increased Liquidity Needs from Contractually Due Collateral | Increased liquidity needs arising from 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 121 |
| 33 | 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 122 |
| 34 | Increased Liquidity Needs Due to Market Valuation Changes | Increased liquidity needs arising from market valuation changes on derivatives and other transactions. | The outflow rate on the collateral outflows occurring due market valuation changes on derivative 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 123 |
| 35 | 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 124 |
| 36 | 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. | Paragraph 125 |
| 37 | Loss of Funding from Financing Facility – Return of Assets | 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. | Paragraph 125 |
| 38 | 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 125 |
| 39 | Drawdowns on Committed Credit and Liquidity Facilities | Drawdowns on committed credit and liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs and PSEs. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs and PSEs is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties. | Paragraphs 126 to 131 (c) |
| 40 | 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 customers is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, for banks, including those subject to prudential regulation. | Paragraphs 131 (d) to 131 (f) |
| 41 | Draws on Committed Facilities Extended to Other Entities | Drawdowns on committed credit and liquidity facilities extended to entities other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs and banks. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs and banks is pre-defined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate to all counterparties excluding the aforementioned counterparties. | Paragraph 131 (g) |
| 42 | 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 other contractual obligations to extend funds to financial institutions, not covered in the previous assumptions, is pre-defined as part of this business assumption. This assumption applies a 100% outflow rate on such contractual obligations. | Paragraph 132 |
| 43 | 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, in excess of 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 133 |
| 44 | Other Contingent Funding Obligation Outflows | Outflows related to trade finance related instruments. | The outflow rate on the trade finance related instruments is pre-defined as part of this assumption. This assumption applies a 5% run-off on such trade finance obligations. | Paragraph 138 |
| 45 | 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. | Paragraph 140 |
| 46 | 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 the non-contractual obligations. The outflow rate is allowed to be updated to reflect the rates specified by national regulators. | Paragraph 140 |
| 47 | 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 141 |
| 48 | 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 141 |
| 49 | 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. | Paragraphs 113, 115, 140, 141, 147 |
| 50 | Secured Lending Inflows | 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 in the form of rollover rates i.e. 1 – run-off rates. A 0% inflow rate is applied to assets used for covering short positions. | Paragraphs 145 to 146 |
| 51 | Collateral Swap Inflows | 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. A 0% inflow rate is applied when the underlying asset received is used for covering short positions. | Paragraphs 145 to 146 |
| 52 | 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 149 |
| 53 | Other Inflows from Retail Counterparties | 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 the purposes of LCR, is pre-defined as part of this assumption. This assumption applies a 50% rollover i.e. 50% inflow on performing retail loans. | Paragraphs 150 to 151, 153 |
| 54 | 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 i.e. 100% inflow on performing loans from central banks and a 50% rollover i.e. 50% inflow on those from other non-financial counterparties specified earlier. | Paragraphs 150 to 151, 154 |
| 55 | Other Inflows from Other Wholesale Counterparties | Other inflows from fully performing loans extended to financial entities, excluding central bank, multilateral development bank and public sector enterprise, and to non-financial wholesale counterparties, excluding corporate, sovereign, central bank, multilateral development bank and public sector enterprise. | The inflow rate on the fully performing loans with a stated maturity, extended to counterparties other than retail, 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 i.e. 100% inflow on performing loans from other financial entities and a 50% rollover i.e. 50% inflow on those from other non-financial counterparties. | Paragraphs 150 to 151, 154 |
| 56 | Revolving, Non-Maturity and Non-Performing Inflow Exclusion | 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. | Paragraphs 151 to 152 |
| 57 | Open Maturity Loan Minimum Payment Inflows | Inflows due to minimum payments received within the LCR horizon on open maturity loans | 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, is pre-defined as part of this assumption. This assumption applies a 100% inflow on such minimum payments. | Paragraph 152 |
| 58 | Operational Deposit Inflows | Inflows from operational deposits held with other financial institutions and deposits held with the centralized institution of a cooperative banking network. | The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are pre-defined as part of this assumption. This assumption applies a 0% inflow on such operational deposits. | Paragraphs 156 to 157 |
| 59 | Non-HQLA Security Inflows | Inflows from securities not included in the stock of HQLA. | The inflow rate on the performing securities that are excluded from the stock of HQLA is pre-defined as part of this assumption. This assumption applies a 100% inflow on securities classified as Other Assets and securities classified as HQLA but do not meet the eligibility criteria for inclusion in the stock of HQLA. It also applies a 0% inflow rate on non-performing securities and securities that are classified as HQLA and meet the criteria for inclusion in the stock of HQLA, to avoid double counting. | Paragraph 155 |
| 60 | Contractual Interest Inflows | Inflows related to contractual receipt of interest. | The inflow rate on the interest contractually receivable, on fully performing assets other than non-HQLA securities, 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. | Paragraphs 142, 160 |
Note:
The LRM application does not have assumptions configured for Derivatives Cash Inflows (Paragraphs 158 to 159) and Derivatives Cash Outflows (Paragraphs 116 to 117) as this has a 100 % rate specified by the regulator. LRM calculates the netted derivative cash flows occurring within the LCR horizon and includes them in the calculations. For the purpose of stress testing if you require a less than 100 % rate on the inflows and outflows of such transactions, then you need to configure a separate business assumption for the same