Table of Contents
- Title and Copyright Information
- 1.1 Document Control
- 2 About the Guide
- 3 Introduction
-
4
Liquidity Coverage Ratio
Calculation
- 4.1 Inputs
-
4.2
Process Flow
-
4.2.1
Identification of Asset
Levels
- 4.2.1.1 Identification and Treatment of Level 1 Assets
- 4.2.1.2 Identification and Treatment of Level 2A Assets
- 4.2.1.3 Identification and Treatment of Level 2B(I) Assets
- 4.2.1.4 Identification and Treatment of Level 2B(II) RMBS Assets
- 4.2.1.5 Identification and Treatment of Level 2B(II) Non-RMBS Assets
- 4.2.2 Identification of Eligible HQLA
- 4.2.3 Calculation of Stock of HQLA
- 4.2.4 Determination of the Maturity of Cash Flows
- 4.2.5 Insurance Allocation
- 4.2.6 Identification of Deposit Stability
- 4.2.7 Identification and Treatment of Pledged Deposits
- 4.2.8 Secured Funding
- 4.2.9 Classification of Operational Deposits
- 4.2.10 Calculation of Contractually Required Collateral
- 4.2.11 Calculation of Excess Collateral
- 4.2.12 Calculation of Downgrade Impact Amount
- 4.2.13 Calculation of Net Derivative Cash Inflows and Outflows
- 4.2.14 Calculation of Twenty Four Month Look-back Amount
- 4.2.15 Calculation of Operational Amount
- 4.2.16 Calculation of HQLA Transferability Restriction
- 4.2.17 Calculation of Net Cash Outflows
- 4.2.18 Consolidation
- 4.2.19 Calculation of Liquidity Coverage Ratio
- 4.2.20 Significant Currency Liquidity Coverage Ratio Calculation
-
4.2.1
Identification of Asset
Levels
- 4.3 Pre-configured Regulatory LCR Scenario
- 5 Net Stable Funding Ratio Calculation
- 6 Minimum Liquid Assets Calculation
- A Data Transformations/Functions used in LRRCMAS
- B User Configuration and Settings
- C OFSAA Suport