15.2.3.1 Regulation Addressed through Rules
The application supports multiple 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 rules and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:
Table 14-11 Regulation Addressed through Rules
| Serial No. | Rule Name | Rule Description | Regulatory Requirement Addressed | BCBS 238, Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools Reference |
|---|---|---|---|---|
| 1 | LRM - BIS Classification Of Small Business Customers To Retail | This rule identifies whether a small business customer is treated as a retail customer for the purposes of liquidity ratio calculations as per BIS. By default small business customer are treated as wholesale customers. | The classification of a small business customer as eligible for retail treatment or not as per BIS is configured as part of this rule. | Paragraphs 90 to 91 |
| 2 | LRM - BIS - Country liquidity risk indicator for NCOF | This computation rule identifies if a legal entity, holding debt securities issued by a foreign sovereign in that foreign currency, has undertaken liquidity risk in that country. The rule checks if the legal entity has operations in a foreign country, other than those for purely trading purposes, and updates the account liquidity risk flag as Yes, if this condition is met. | The identification of whether a legal entity has liquidity risk in a particular foreign jurisdiction is configured as part of this rule. This is further used for classifying debt securities held by the bank, issued in foreign currencies by non-zero risk weight sovereigns or central banks, as level 1 assets. | Paragraphs 50 (d) to 50 (e) |
| 3 | LRM - BIS - Mitigant Country Liquidity Risk Indicator For NCOF | This computation rule identifies if a legal entity, holds mitigants issued by a foreign sovereign in that foreign currency, has undertaken liquidity risk in that country. The rule checks if the legal entity has operations in a foreign country, other than those for purely trading purposes, and updates the account liquidity risk flag for such mitigants as Yes, if this condition is met. | The identification of whether a legal entity has liquidity risk in a particular foreign jurisdiction is configured as part of this rule. This is further used for classifying debt securities received as mitigants, issued in foreign currencies by non-zero risk weight sovereigns or central banks, as level 1 assets. | Paragraphs 50 (d) to 50 (e) |
| 4 | LRM - Excess And Contractually Due Collateral And Mitigant And Downgrade Trigger Amount Update | This rule computes and updates the values of contractually due collateral, excess collateral due, contractually receivable collateral, and excess collateral receivable and downgrade impact amount in the FSI_NETTING_AGREEMENT table. | The computation of collateral value that is contractually required to be posted to the counterparty and the excess collateral that can be recalled by the counterparty is configured as part of this rule. | Paragraphs 120 to 121 |
| 5 | BIS_Ins_Unins_Amt_Calc | This DT calculates the insured, un-insured amount and Established relationship indicator at Account Customer Level in the FSI_LRM_ACCT_CUST_DETAILS table. | The allocation of the insurance limit and the computation of insured and uninsured amount at an account level are configured as part of this data transformation. | Paragraph 75 |
| 6 | LRM - BIS - Classification Of Operational Deposits And Non-Operational Balance Computation | This rule classifies an account as operational deposit or not based on the criteria specified by BIS. It also updates the insured and uninsured operational balances and the non-operational balance for the accounts classified as operational in the FSI_LRM_INSTRUMENT table. | The classification of an account as operational or non-operational as per BIS guidelines is configured as part of this rule. | Paragraphs 94 to 95, 99 to 103 |
| 7 | LRM - Withdrawable portion without penalty for Insured And Operational And Non-operational Amount | This rule calculates the portion of insured, uninsured, operational and non-operational balances that can be withdrawn without incurring any penalty in the FSI_LRM_INSTRUMENT table. This rule also updates the operational account flag as 'N' for all the accounts which are classified as non-operational deposits. | The computation of the portion of an insured, uninsured, operational and non-operational deposit that can be withdrawn without incurring any penalty is configured as part of this rule. | Paragraphs 82 to 83 |
| 8 | LRM - Basel III Deposit Stability - Stable Amount Calculation | This rule calculates the stable amount as per BIS guidelines. | The computation of the stable portion of a deposit is configured as part of this rule. | Paragraph 75 |
| 9 | LRM - Basel III Deposit Stability - Less Stable Amount Calculation | This rule calculates the less stable amount as per BIS guidelines. | The computation of the less stable portion of a deposit is configured as part of this rule. | Paragraphs 75, 79 |
| 10 | LRM - High Stability Insured Indicator Assignment | This rule classifies an account as highly stable if it meets additional insurance criteria and updates the highly stable amount for such accounts in the FSI_LRM_INSTRUMENT table. This rule also updates the stable amount for accounts classified as highly stable as 0, to avoid double counting of stable amount. | The identification of whether a stable deposit account meets the additional insurance criteria and the computation of the highly stable portion of the deposit is configured as part of this rule. | Paragraphs 75 to 76 |
| 11 | LRM - High Stability Insured Indicator Assignment for Operational Deposits | This rule classifies an account as highly stable if it meets additional insurance criteria for Operational Deposits and updates the highly stable amount for such accounts in the FSI_LRM_INSTRUMENT table. This rule also updates the stable amount for accounts classified as highly stable as 0, to avoid double counting of stable amount. | The identification of whether a stable operational deposit account meets the additional insurance criteria and the computation of the highly stable portion of the operational deposit is configured as part of this rule. | Paragraph 104 |
| 12 | LRM - Withdrawable portion without penalty for Stable, Less Stable and Highly Stable Amount | This rule calculates the portion of the stable, less stable and highly stable amounts that can be withdrawn without incurring a penalty in the FSI_LRM_INSTRUMENT table. | The computation of the portion of the stable, less stable and highly stable amounts that can be withdrawn without incurring any penalty is configured as part of this rule. | Paragraphs 82 to 83 |
| 13 | LRM - HQLA Reclassification - Level 1 - Cash and Central Bank Reserves | This rule reclassifies cash, banknotes and central bank reserves, to the extent that the central bank policies allow them to be drawn down in times of stress, as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of cash and central bank reserves as HQLA level 1 assets is configured as part of this rule. | Paragraphs 50 (a) to 50 (b) |
| 14 | LRM - HQLA Reclassification - Level 1 - Marketable Securities - Issuer | This rule reclassifies marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of zero risk weight marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA level 1 assets is configured as part of this rule. | Paragraph 50 (c) |
| 15 | LRM - HQLA Reclassification - Level 1 - Marketable Securities - Guarantor | This rule reclassifies marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of zero risk weight marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA level 1 assets is configured as part of this rule. | Paragraph 50 (c) |
| 16 | LRM - HQLA Reclassification - Level 1 - Debt Securities - Domestic Currency | This rule reclassifies securities issued by non-zero risk weight sovereigns and central banks as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of securities issued in the domestic currency by non-zero risk weight sovereigns and central banks as HQLA level 1 assets is configured as part of this rule. | Paragraph 50 (d) |
| 17 | LRM - HQLA Reclassification - Level 1 - Debt Securities - Foreign Currency | This rule reclassifies securities issued by non-zero risk weight domestic sovereigns and central banks in foreign currency as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of securities issued in foreign currencies by non-zero risk weight domestic sovereigns and central banks as HQLA level 1 assets is configured as part of this rule. | Paragraph 50 (e) |
| 18 | LRM - HQLA Reclassification - Level 2A - Market Asset-Guarantor | This rule reclassifies marketable securities assigned a 20% risk weight and guaranteed by sovereigns, central banks, PSEs or multilateral development banks as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of 20% risk weight marketable securities guaranteed by sovereigns, central banks, PSEs or multilateral development banks as HQLA level 2A assets is configured as part of this rule. | Paragraph 52 (a) |
| 19 | LRM - HQLA Reclassification - Level 2A - Market Asset-Issuer | This rule reclassifies marketable securities assigned a 20% risk weight and issued by sovereigns, central banks, PSEs or multilateral development banks as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of 20% risk weight marketable securities issued by sovereigns, central banks, PSEs or multilateral development banks as HQLA level 2A assets is configured as part of this rule. | Paragraph 52 (a) |
| 20 | LRM - HQLA Reclassification - Level 2A - Non-Financial Corporate Bonds | This rule reclassifies debt securities other than covered bonds issued by non-financial corporates as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of corporate bonds, excluding covered bonds, as HQLA level 2A assets are configured as part of this rule. | Paragraph 52 (b) |
| 21 | LRM - HQLA Reclassification - Level 2A - Covered Bonds | This rule reclassifies covered bonds issued by non-financial corporates as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of covered bonds as HQLA level 2A assets is configured as part of this rule. | Paragraph 52 (b) |
| 22 | LRM - HQLA Reclassification - Level 2B RMBS | This rule reclassifies residential mortgage backed securities as HQLA Level 2B RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of residential mortgage backed securities as HQLA level 2B RMBS assets is configured as part of this rule. | Paragraph 54 (a) |
| 23 | LRM - HQLA Reclassification - Level 2B Non-RMBS - Non-Financial Corporate Bonds | This rule reclassifies debt securities issued by non-financial corporates as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of debt securities, including commercial papers, issued by non-financial corporates as HQLA level 2B non-RMBS assets is configured as part of this rule. | Paragraph 54 (b) |
| 24 | LRM - HQLA Reclassification - Level 2B Non-RMBS - Non-Financial Common Equities | This rule reclassifies common equities issued by non-financial entities as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of common equities issued by non-financial entities as HQLA level 2B non-RMBS assets is configured as part of this rule. | Paragraph 54 (c) |
| 25 | LRM - Mitigant HQLA Reclassification - Level 1 - Cash | This rule reclassifies cash received as a mitigant as an HQLA Level 1 asset in accordance with the criteria specified by BIS in BCBS 238. | The classification of cash and central bank reserves as HQLA level 1 assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 50 (a) to 50 (b), 31, 39 to 40 |
| 26 | LRM - Mitigant HQLA Reclassification - Level 1 - Marketable Securities - Issuer | This rule reclassifies mitigants which are marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of zero risk weight marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA level 1 assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 50 (c), 31, 39 to 40 |
| 27 | LRM - Mitigant HQLA Reclassification - Level 1 - Marketable Securities - Guarantor | This rule reclassifies mitigants which are marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of zero risk weight marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks as HQLA level 1 assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 50 (c), 31, 39 to 40 |
| 28 | LRM - Mitigant HQLA Reclassification - Level 1 - Debt Securities - Domestic Currency | This rule reclassifies mitigants which are securities issued by non-zero risk weight sovereigns and central banks as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of securities issued in the domestic currency by non-zero risk weight sovereigns and central banks as HQLA level 1 assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 50 (d), 31, 39 to 40 |
| 29 | LRM - Mitigant HQLA Reclassification - Level 1 - Debt Securities - Foreign Currency | This rule reclassifies mitigants which are securities issued by non-zero risk weight domestic sovereigns and central banks in foreign currency as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of securities issued in foreign currencies by non-zero risk weight domestic sovereigns and central banks as HQLA level 1 assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 50 (e), 31, 39 to 40 |
| 30 | LRM - Mitigant HQLA Reclassification - Level 2A - Market Asset-Guarantor | This rule reclassifies mitigants which are marketable securities assigned a 20% risk weight and guaranteed by sovereigns, central banks, PSEs or multilateral development banks as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of 20% risk weight marketable securities guaranteed by sovereigns, central banks, PSEs or multilateral development banks as HQLA level 2A assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 52 (a), 31, 39 to 40 |
| 31 | LRM - Mitigant HQLA Reclassification - Level 2A - Market Asset-Issuer | This rule reclassifies mitigants which are marketable securities assigned a 20% risk weight and issued by sovereigns, central banks, PSEs or multilateral development banks as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of 20% risk weight marketable securities issued by sovereigns, central banks, PSEs or multilateral development banks as HQLA level 2A assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 52 (a), 31, 39 to 40 |
| 32 | LRM - Mitigant HQLA Reclassification - Level 2A - Non-Financial Corporate Bonds | This rule reclassifies mitigants which are debt securities other than covered bonds issued by non-financial corporates as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of corporate bonds, excluding covered bonds, as HQLA level 2A assets are configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 52 (b), 31, 39 to 40 |
| 33 | LRM - Mitigant HQLA Reclassification - Level 2A - Covered Bonds | This rule reclassifies mitigants which are covered bonds issued by non-financial corporates as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of covered bonds as HQLA level 2A assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 52 (b), 31, 39 to 40 |
| 34 | LRM - Mitigant HQLA Reclassification - Level 2B RMBS | This rule reclassifies mitigants which are residential mortgage backed securities as HQLA Level 2B RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of residential mortgage backed securities as HQLA level 2B RMBS assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 54 (a), 31, 39 to 40 |
| 35 | LRM - Mitigant HQLA Reclassification - Level 2B Non-RMBS - Non-Financial Corporate Bonds | This rule reclassifies mitigants which are debt securities issued by non-financial corporates as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of debt securities, including commercial papers, issued by non-financial corporates as HQLA level 2B non-RMBS assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 54 (b), 31, 39 to 40 |
| 36 | LRM - Mitigant HQLA Reclassification - Level 2B Non-RMBS - Non-Financial Common Equities | This rule reclassifies mitigants which are common equities issued by non-financial entities as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of common equities issued by non-financial entities as HQLA level 2B non-RMBS assets is configured as part of this rule. It also addresses the requirement of considering assets received as collateral under re-hypothecation rights as HQLA provided they meet all the required criteria. | Paragraphs 54 (c), 31, 39 to 40 |
| 37 | LRM - BIS Substitutable HQLA Reclassification - Level 1 - Cash | This rule reclassifies cash and banknotes that can be contractually substituted for existing collateral received, as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of cash that can potentially be substituted for existing collateral, as HQLA level 1 assets is configured as part of this rule. | Paragraphs 50 (a), 122 |
| 38 | LRM - BIS Substitutable HQLA Reclassification - Level 1 - Marketable Securities - Issuer | This rule reclassifies marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank and European Community, or multilateral development banks that can be contractually substituted for existing collateral received, as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of zero risk weight marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks, that can potentially be substituted for existing collateral, as HQLA level 1 assets is configured as part of this rule. | Paragraphs 50 (c), 122 |
| 39 | LRM - BIS Substitutable HQLA Reclassification - Level 1 - Marketable Securities - Guarantor | This rule reclassifies the marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks that can be contractually substituted for existing collateral received, as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of zero risk weight marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community and multilateral development banks, that can potentially be substituted for existing collateral, as HQLA level 1 assets is configured as part of this rule. | Paragraphs 50 (c), 122 |
| 40 | LRM - BIS Substitutable HQLA Reclassification - Level 1 - Debt Securities - Domestic Currency | This rule reclassifies securities issued by non-zero risk weight sovereigns and central banks that can be contractually substituted for existing collateral received, as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of securities issued in the domestic currency by non-zero risk weight sovereigns and central banks that can potentially be substituted for existing collateral, as HQLA level 1 asset is configured as part of this rule. | Paragraphs 50 (d), 122 |
| 41 | LRM - BIS Substitutable HQLA Reclassification - Level 1 - Debt Securities - Foreign Currency | This rule reclassifies issued by domestic non-zero risk weight securities sovereigns and central banks in foreign currency that can be contractually substituted for existing collateral received, as HQLA Level 1 assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of securities issued in foreign currencies by non-zero risk weight domestic sovereigns and central banks that can potentially be substituted for existing collateral, as HQLA level 1 asset is configured as part of this rule. | Paragraphs 50 (e), 122 |
| 42 | LRM - BIS Substitutable HQLA Reclassification - Level 2A - Market Asset-Guarantor | This rule reclassifies marketable securities assigned a 20% risk weight and guaranteed by sovereigns, central banks, PSEs or multilateral development banks that can be contractually substituted for existing collateral received, as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of 20% risk weight marketable securities guaranteed by sovereigns, central banks, PSEs or multilateral development banks, that can potentially be substituted for existing collateral, as HQLA level 2A assets is configured as part of this rule. | Paragraphs 52 (a), 122 |
| 43 | LRM - BIS Substitutable HQLA Reclassification - Level 2A - Market Asset-Issuer | This rule reclassifies marketable securities assigned a 20% risk weight and issued by sovereigns, central banks, PSEs or multilateral development banks that can be contractually substituted for existing collateral received, as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of 20% risk weight marketable securities issued by sovereigns, central banks, PSEs or multilateral development banks, that can potentially be substituted for existing collateral, as HQLA level 2A assets is configured as part of this rule. | Paragraphs 52 (a), 122 |
| 44 | LRM - BIS Substitutable HQLA Reclassification - Level 2A - Non-Financial Corporate Bonds | This rule reclassifies debt securities other than covered bonds issued by non-financial corporates that can be contractually substituted for existing collateral received, as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of corporate bonds, excluding covered bonds, that can potentially be substituted for existing collateral, as HQLA level 2A assets is configured as part of this rule. | Paragraphs 52 (b), 122 |
| 45 | LRM - BIS Substitutable HQLA Reclassification - Level 2A - Covered Bonds | This rule reclassifies covered bonds issued by non-financial corporates that can be contractually substituted for existing collateral received, as HQLA Level 2A assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of covered bonds that can potentially be substituted for existing collateral, as HQLA level 2A assets is configured as part of this rule. | Paragraphs 52 (b), 122 |
| 46 | LRM - BIS Substitutable HQLA Reclassification - Level 2B RMBS | This rule reclassifies residential mortgage backed securities that can be contractually substituted for existing collateral received, as HQLA Level 2B RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of residential mortgage backed securities that can potentially be substituted for existing collateral, as HQLA level 2B RMBS assets is configured as part of this rule. | Paragraphs 54 (a), 122 |
| 47 | LRM - BIS Substitutable HQLA Reclassification - Level 2B Non-RMBS Non-Financial Corporate Bonds | This rule reclassifies debt securities issued by non-financial corporates that can be contractually substituted for existing collateral received, as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of debt securities, including commercial papers, issued by non-financial corporates that can potentially be substituted for existing collateral, as HQLA level 2B non-RMBS assets is configured as part of this rule. | Paragraphs 54 (b), 122 |
| 48 | LRM - BIS Substitutable HQLA Reclassification - Level 2B Non-RMBS Non-Financial Common Equities | This rule reclassifies common equities issued by non-financial entities that can be contractually substituted for existing collateral received, as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by BIS in BCBS 238. | The classification of common equities issued by non-financial entities that can potentially be substituted for existing collateral, as HQLA level 2B non-RMBS assets is configured as part of this rule. | Paragraphs 54 (c), 122 |
| 49 | LRM - Bank Own Assets - Meets HQLA Operational Requirements Flag Update | This rule identifies whether bank's own assets, both unencumbered assets as well as those placed as collateral, meet the operational requirements set forth by the regulator, except for being unencumbered in the case of placed collateral. In case of unencumbered assets, it updates the Meets HQLA Operational Requirements Flag. In case of placed collateral, it updates the Meets HQLA Operational Requirements on Unwind Flag. | The identification of whether an asset owned by the bank meets the operational requirements set forth by BIS for its inclusion in the stock of HQLA is configured as part of this rule. | Paragraphs 28 to 42 |
| 50 | LRM - BIS - Re-hypothecated Mitigants - Meets HQLA Operational Requirements Flag Update | This rule identifies whether a re-hypothecated mitigant meets the operational requirements set forth by the regulator, except for being unencumbered. It updates the Meets HQLA Operational Requirements on Unwind Flag for such mitigants. | The identification of whether collateral received from a counterparty that is further placed as collateral meets the operational requirements set forth by BIS on unwind is configured as part of this rule. | Paragraphs 28 to 42 |
| 51 | LRM - BIS - Instruments - Eligible High Quality Liquid Assets Flag Update | This computation rule updates the HQLA Eligibility Flag for bank’s own unencumbered assets classified as HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA. It also updates the Eligible HQLA on Unwind flag for all assets placed as collateral that are classified as HQLA that fulfill the HQLA operational requirements on unwind and therefore are to be unwound. | The identification of whether a bank's asset is classified as an HQLA that meets all the operational criteria and is therefore eligible to be included in the stock of HQLA is configured as part of this rule. | Paragraph 28 |
| 52 | LRM - BIS - Mitigants - Meets HQLA Operational Requirements Flag Update | This rule identifies whether a mitigant meets the operational requirements set forth by the regulator to be considered for inclusion in the stock of HQLA. It updates the Meets HQLA Operational Requirements Flag for such mitigants. | The identification of whether collateral received from counterparty meets the operational requirements set forth by BIS is configured as part of this rule. | Paragraphs 28 to 42 |
| 53 | LRM - BIS - Mitigants - Eligible High Quality Liquid Assets Flag Update | This computation rule updates the HQLA Eligibility Flag for mitigants classified as HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA. | The identification of whether collateral received from counterparty is classified as an HQLA that meets all the operational criteria and is therefore eligible to be included in the stock of HQLA is configured as part of this rule. | Paragraph 28 |
| 54 | LRM - BIS - Instruments - Hedge Termination Cost Adjusted Value | This computation rule identifies all high quality liquid assets that have a hedge associated with them and computes the value of the unencumbered portion of such assets to be included in the stock as less of the hedge termination cost. | The identification transaction with a hedge associated with them and deduction of the outflow that would arise on the early termination of the hedge is configured as part of this rule. | Paragraph 34 |
| 55 | LRM - BIS Level 1 Stock Adjustment - Secured Funding Transaction-Addition | This rule reclassifies all secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is a level 1 asset to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA, due to such an unwind, as addition of the collateral posted. | The identification of secured funding transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 56 | LRM - BIS Level 1 Stock Adjustment - Secured Funding Transaction-Deduction | This rule reclassifies all the secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the amount received. | The identification of secured funding transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 57 | LRM - BIS Level 1 Stock Adjustment - Secured Lending Transaction-Addition | This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as addition of the amount paid. | The identification of secured lending transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 58 | LRM - BIS Level 1 Stock Adjustment - Secured Lending Transaction-Deduction | This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 1 asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the collateral received. | The identification of secured lending transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 59 | LRM - BIS Level 1 Stock Adjustment - Asset Exchange Deduction | This rule reclassifies all the asset exchange transactions that matures within the LCR horizon and therefore is required to be unwound, where the mitigant received is a level 1 asset and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the collateral received. | The identification of asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 60 | LRM - BIS Level 1 Stock Adjustment - Asset Exchange Addition | This rule reclassifies all the asset exchange transactions that matures within the LCR horizon and therefore is required to be unwound, where the mitigant received is an HQLA and the collateral posted is a level 1 asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as addition of the collateral posted. | The identification of asset exchange transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 61 | LRM - BIS Level 2A Stock Adjustment - Secured Funding Transaction | This rule reclassifies all secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is a level 2A asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA, due to such an unwind, as addition of the collateral posted. | The identification of secured funding transactions required to be unwound and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 62 | LRM - BIS Level 2A Stock Adjustment - Secured Lending Transaction | This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2A asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the collateral received. | The identification of secured lending transactions required to be unwound and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 63 | LRM - Level 2A Stock Adjustment - Asset Exchange Deduction | This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2A asset and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the collateral received. | The identification of asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 64 | LRM - Level 2A Stock Adjustment - Asset Exchange Addition | This rule reclassifies all the asset exchange transactions that matures within the LCR horizon and therefore is required to be unwound, where the mitigant received is an HQLA and the collateral posted is a level 2A asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as addition of the collateral posted. | The identification of asset exchange transactions required to be unwound and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 65 | LRM - BIS Level 2B RMBS, Non RMBS Stock Adjustment - Secured Funding Transaction | This rule reclassifies all secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is a level 2B asset, either RMBS or non-RMBS, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA, due to such an unwind, as addition of the collateral posted. | The identification of secured funding transactions required to be unwound and the amount to be added to the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 66 | LRM - BIS Level 2B RMBS, Non-RMBS Stock Adjustment - Secured Lending Transaction | This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2B asset, either RMBS or non-RMBS, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the collateral received. | The identification of secured lending transactions required to be unwound and the amount to be deducted from the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 67 | BIS Level 2B RMBS, Non RMBS Stock Adjustment - Asset Exchange Deduction | This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2B asset, either RMBS or non-RMBS, and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as deduction of the collateral received. | The identification of asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule. | Annex 1 |
| 68 | LRM - BIS Level 2B RMBS, Non RMBS Stock Adjustment - Asset Exchange Addition | This rule reclassifies all the asset exchange transactions that matures within the LCR horizon and therefore is required to be unwound, where the mitigant received is an HQLA and the collateral posted is a level 2B asset, either RMBS or non-RMBS, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as addition of the collateral posted. | The identification of asset exchange transactions required to be unwound and the amount to be added to the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule. | Annex 1 |