Table of Contents

• Title and Copyright Information
• 1.1 Document Control
• 2 About the Guide
  • 2.1 Scope of the Guide
  • 2.2 Intended Audience
  • 2.3 Documentation Accessibility
    • 2.3.1 Access to Oracle Support
    • 2.3.2 Related Information Sources
• 3 Abbreviations
• 4 What is new in this release
• 5 Introduction
  • 5.1 Liquidity Coverage Ratio (LCR)
  • 5.2 Net Stable Funding Ratio (NSFR)
• 6 Liquidity Coverage Ratio Calculation
  • 6.1 Inputs
  • 6.2 Process Flow
    • 6.2.1 Identification of Asset Levels
      • 6.2.1.1 Identification and Treatment of Level 1 Assets
      • 6.2.1.2 Identification and Treatment of Level 2A Assets
      • 6.2.1.3 Identification and Treatment of Level 2B RMBS Assets
      • 6.2.1.4 Identification and Treatment of Level 2B Non-RMBS I Assets
      • 6.2.1.5 Identification of Eligible HQLA
    • 6.2.2 Calculation of Stock of High Quality Liquid Assets
      • 6.2.2.1 Calculation of Stock of Liquid Assets
      • 6.2.2.2 Identification of Eligible HQLA on Unwind
      • 6.2.2.3 Identification of Eligible HQLA
      • 6.2.2.4 Unwinding of Transactions Involving Eligible HQLA
      • 6.2.2.5 Calculation of Adjusted Stock of HQLA
      • 6.2.2.6 Calculation of Adjustments to Stock of HQLA Due to Cap on Level 2 Assets
    • 6.2.3 Classification of Operational Deposits
    • 6.2.4 Insurance Allocation
      • 6.2.4.1 Allocation of Deposit Insurance
    • 6.2.5 Identification of Deposit Stability
    • 6.2.6 Treatment of Lien Marked Deposits
      • 6.2.6.1 Identification of Lien Marked Deposits
      • 6.2.6.2 Treatment of Lien Marked Deposits
    • 6.2.7 Secured Funding
    • 6.2.8 Calculation of Contractually Required Collateral
      • 6.2.8.1 In Case of Derivatives
        • 6.2.8.1.1 Calculation of Contractually Due Collateral
        • 6.2.8.1.2 Calculation of Contractually Receivable Collateral
      • 6.2.8.2 In case of Other Assets and Liabilities
        • 6.2.8.2.1 Calculation of Contractually Due Collateral
        • 6.2.8.2.2 Calculation of Contractually Receivable Collateral
    • 6.2.9 Calculation of Excess Collateral
      • 6.2.9.1 In Case of Derivatives
        • 6.2.9.1.1 Calculation of Excess Collateral Due
        • 6.2.9.1.2 Calculation of Excess Collateral Receivable
      • 6.2.9.2 In case of Other Assets and Liabilities
        • 6.2.9.2.1 Calculation of Excess Collateral Due
        • 6.2.9.2.2 Calculation of Excess Collateral Receivable
    • 6.2.10 Calculation of Downgrade Impact Amount
      • 6.2.10.1 Calculation of Downgrade Impact Amount for Derivatives
      • 6.2.10.2 Calculation of Downgrade Impact Amount for Other Liabilities
    • 6.2.11 Calculation of Net Derivative Cash Inflows and Outflows
      • 6.2.11.1 Cash Flow Netting at Derivative Contract Level
      • 6.2.11.2 Cash Flow Netting at Netting Agreement Level
    • 6.2.12 Calculation of Twenty Four Month Look-back Amount
    • 6.2.13 Calculation of Operational Amount
    • 6.2.14 Calculation of HQLA Transferability Restriction
    • 6.2.15 Calculation of Net Cash Outflows
    • 6.2.16 Consolidation
    • 6.2.17 Calculation of Liquidity Coverage Ratio
      • 6.2.17.1 Significant Currency Liquidity Coverage Ratio Calculation
  • 6.3 Pre-configured Regulatory LCR Scenario as per BNM
    • 6.3.1 Regulation Addressed through Business Rules
    • 6.3.2 Regulation Addressed through Business Assumptions
• 7 Net Stable Funding Ratio Calculation
  • 7.1 Overview
  • 7.2 Process Flow
    • 7.2.1 Identification of Maturity bands
    • 7.2.2 Computation of Available Amount of Stable Funding
    • 7.2.3 Computation of Required Amount of Stable Funding
      • 7.2.3.1 Computation of Off Balance Sheet Items
    • 7.2.4 Computation of Derivatives
    • 7.2.5 Computation of Net Stable Funding Ratio
  • 7.3 Pre-configured BNM Regulatory NSFR Scenarios
    • 7.3.1 Regulation Addressed through Business Assumptions
      • 7.3.1.1 Available Stable Funding Factor
      • 7.3.1.2 Required Stable Funding Factor
      • 7.3.1.3 Derivatives
      • 7.3.1.4 Off-Balance Sheet Items
• 8 Investment Accounts
  • 8.1 Liquidity Coverage Ratio (LCR)
    • 8.1.1 Calculation of LCR
      • 8.1.1.1 Calculation of Stock of HQLA
      • 8.1.1.2 Calculation of Net Cash Outflows
      • 8.1.1.3 Regulation Addressed through Business Assumptions
      • 8.1.1.4 Calculation of UA fully invested in Liquid Assets
    • 8.1.2 Calculation of NSFR
      • 8.1.2.1 Calculation of Available Amount of Stable Funding
      • 8.1.2.2 Calculation of Required Amount of Stable Funding
      • 8.1.2.3 Consolidation
        • 8.1.2.3.1 Legal Entity Consolidation
        • 8.1.2.3.2 Legal Entity Consolidation with UA funds
• A Data Transformations/Functions used in LRRCBNM
• B User Configuration and Settings
  • B.1 Standard Reclassifications
    • B.1.1 Standard Product Type Reclassification
    • B.1.2 Standard Party Type Reclassification
• C OFSAA Suport
  • C.1 Send Us Your Comments