4.6.1.3 Calculation of Available Liquidity Buffer

An asset identified as buffer eligible based on the criteria specified in section XXX above, is included as part of the available liquidity buffer. The application provides users the ability to define and apply haircuts under multiple stress scenarios. The haircuts are applied to the buffer eligible assets to determine the available liquidity buffer. The application determines the value to be included in the available liquidity buffer as follows:

1. Cash

   The EOP balance of cash, both restricted and unrestricted, is included.

2. Central bank reserves

   In case of Federal Reserve Bank Balances and Foreign Withdrawable Reserves, the value is calculated as follows:

   {(Reserve EOP Balance - Pass-through Balance) + (Excess Reserve EOP Balance - Pass-through Balance) + (Fair Value of Term Deposit - Withdrawal Penalty)} – Minimum Reserves

3. All other assets

   The fair value of all other buffer eligible assets is included.

   The available liquidity buffer is calculated as the sum of the haircut-adjusted values of all buffer eligible assets.

Note:

The application does not adjust the available liquidity buffer for unwinding of transactions which is required as part of US LCR. The regulator does not specify this as requirement in Regulation YY.

Note:

The application does not provide pre-configured haircuts for YY calculations as the values are not explicitly specified by the regulator. These are required to be specified by banks as per their own requirements through the business assumptions UI supported by OFS LRM.

Note:

If any asset is used as a hedge, then the hedge termination cost is deducted from the value of such asset prior to inclusion in the available liquidity buffer.