4.2.15.3 Numerical example for Net Cash Outflow Calculation – LCR
As per the US Federal Reserve, the peak cumulative net cash outflow approach is used for calculation of the denominator of the Liquidity Coverage Ratio. This is applicable to all large banks that are required to calculate the LCR on an unmodified basis. The liquidity horizon prescribed by the US Federal Reserve for the calculation of the LCR is 30 calendar days.
The table below illustrates this approach to Liquidity Coverage Ratio calculation. For computational convenience we have taken the liquidity horizon as 10 days instead of 30 days.
Table 3-5 Peak Cumulative Net Cash Outflow Calculation - LCR
| Day | Non Maturing Outflows | Outflows with Maturity Date as specified in section 31 | Cumulative Outflows with Maturity Date as specified in section 31 | Non Maturing Inflows | Inflows with Maturity Date as specified in section 31 | Cumulative Inflows with Maturity Date as specified in section 31 | Net Cumulative Maturity Outflows |
|---|---|---|---|---|---|---|---|
| Day 1 | 100 | 100 | 90 | 90 | 10 | ||
| Day 2 | 20 | 120 | 5 | 95 | 25 | ||
| Day 3 | 10 | 130 | 5 | 100 | 30 | ||
| Day 4 | 15 | 145 | 20 | 120 | 25 | ||
| Day 5 | 20 | 165 | 15 | 135 | 30 | ||
| Day 6 | 0 | 165 | 0 | 135 | 30 | ||
| Day 7 | 0 | 165 | 0 | 135 | 30 | ||
| Day 8 | 10 | 175 | 8 | 143 | 32 | ||
| Day 9 | 15 | 190 | 7 | 150 | 40 | ||
| Day 10 | 25 | 215 | 20 | 170 | 45 | ||
| Day 11 | 35 | 250 | 5 | 175 | 75 | ||
| Day 12 | 10 | 260 | 15 | 190 | 70 | ||
| Day 13 | 0 | 260 | 0 | 190 | 70 | ||
| Day 14 | 0 | 260 | 0 | 190 | 70 | ||
| Day 15 | 5 | 265 | 5 | 195 | 70 | ||
| Day 16 | 15 | 280 | 5 | 200 | 80 | ||
| Day 17 | 5 | 285 | 5 | 205 | 80 | ||
| Day 18 | 10 | 295 | 5 | 210 | 85 | ||
| Day 19 | 15 | 310 | 20 | 230 | 80 | ||
| Day 20 | 0 | 310 | 0 | 230 | 80 | ||
| Day 21 | 0 | 310 | 0 | 230 | 80 | ||
| Day 22 | 20 | 330 | 45 | 275 | 55 | ||
| Day 23 | 20 | 350 | 40 | 315 | 35 | ||
| Day 24 | 5 | 355 | 20 | 335 | 20 | ||
| Day 25 | 40 | 395 | 5 | 340 | 55 | ||
| Day 26 | 8 | 403 | 125 | 465 | -62 | ||
| Day 27 | 0 | 403 | 0 | 465 | -62 | ||
| Day 28 | 0 | 403 | 0 | 465 | -62 | ||
| Day 29 | 5 | 408 | 10 | 475 | -67 | ||
| Day 30 | 2 | 410 | 5 | 480 | -70 | ||
| Total | 300 | 410 | 100 | 480 |
- Total Aggregated Cash Outflows = 710
- Total Aggregated Cash Inflows = 580
- Total Net Cash Outflows = 262.5
Note:
The Non maturity outflows and inflows will directly be taken in calculation. It will not be considered in Day 1.Note:
As per this illustration, the cumulative net cash outflow occurs on Day 8. Therefore, the net cash outflow on Day 8, that is, 232, is taken as the denominator value in the LCR calculation.