4.6.1.7.2 Calculation of Consolidated Buffer Requirement

As per Regulation YY, BHCs are required to maintain buffer to meet its consolidated buffer requirement. Also, FBOs are required to maintain sufficient buffer to meet their consolidated buffer requirement at the following levels:

• Consolidated US Operations
• Consolidated IHC Operations
• Consolidated US Branch/Agency Operations

The application computes the buffer requirement across multiple horizons in a consolidated manner as follows:

1. The application eliminates all intercompany transactions up to the legal entity selected as the consolidation entity. Refer section Identification of Intercompany, Internal and External Transactions for details on identification of intercompany transactions and the difference between intercompany and internal transactions.
2. The application computes the total stressed cash inflows and outflows, both internal and external, on a consolidated basis for the consolidation entity and all its subsidiaries.
3. The application computes the net stressed cash flow needs at the level of the consolidation entity based on the methods prescribed for BHCs and FBOs by US Federal Reserve as per Regulation YY. Refer section Calculation of Buffer Requirement for more information.

Note:

1. These calculations are done for multiple horizons in a single Run.
2. You can view the net stressed cash flow needs and its components at the following levels:
   • Each solo legal entity and consolidation entities in a single Run
   • Across multiple horizons in a single Run
   • Across multiple stress scenarios