4.2 Process Flow

This section aims to explain the procedure of calculating the Liquidity Coverage Ratio (LCR). The procedure for calculating Liquidity Coverage Ratio is as follows:

• Asset Level Identification
• Identifying Eligible HQLA
• Calculation of Stock of High Quality Liquid Asset (SHQLA)
• Determination of the Maturity of Cash Flows
• Deposit Stability Identification
• Classifying Operational Account
• Calculation of Contractually Required Collateral
• Calculation of Excess Collateral
• Calculation of Downgrade Impact Amount
• Calculation of Net Derivative Cash Inflows and Outflows
• Calculation of Twenty Four Month Look-back Amount
• Calculation of HQLA Transferability Restriction
• Calculation of Cash Inflows and Outflows
• Calculation of Net Cash Outflows (NCOF)
• Consolidation as Per LCR Approach

The application supports an out-of-the-box Run for computing LCR as per the final Rule issued by the US Federal Reserve. This Run includes the regulatory scenario with associated HQLA haircuts, inflow and outflow rates pre-configured in the form of business assumptions.