4.1 General Inputs
The LRRCHKMA Application requires the following inputs for LCR Calculation:
- Liquidity haircut for each asset level should be provided through business assumptions, with the assumption category as valuation change, and assumption subcategory as the haircut.
- Scenarios, which define the outflow percentage, should be defined through appropriate business assumptions. For example, Retail Deposit Runoff is defined through a business assumption with the assumption category as Incremental Cash Flow, and subcategory as Run-off.
- Scenarios, which define the inflow percentage, should be defined through appropriate business assumptions. For example, Rollover Reverse Repo is defined through a business assumption with the assumption category as Cash Flow Movement, and subcategory as Roll Over.
- Liquidity Horizon is specified as the Runtime Execution Parameter.