1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Modified Liquidity Coverage Ratio Calculation
  4. Process Flow
  5. Changes vis-à-vis Liquidity Coverage Ratio Calculation

4.4.1.1 Changes vis-à-vis Liquidity Coverage Ratio Calculation

The changes in the modified LCR calculations vis-a-vis US Fed LCR calculations are as follows:
  1. 30-day LCR horizon, which means HQLA adjustments, cash inflows and outflows are based on transactions that mature in 30 days.
  2. 70% of the LCR outflow and inflow rates are used in the modified LCR calculations. HQLA haircut values remain unchanged.
  3. Denominator is calculated in accordance with the BIS approach and not based on the add-on approach.
All other conditions remain unchanged between LCR and modified LCR calculations.