4.3.2 Regulation Addressed through Business Assumptions
The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified scenario parameters such as inflow rates, outflow rates, run-offs and haircuts and so on. The list of pre-configured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:
Table 3-9 Regulation Addressed through Business Assumptions
| Sl. No. | Assumption Name | Assumption Description | Regulatory Requirement Addressed | Regulation WW, Final Rule, Liquidity Coverage Ratio: Liquidity Risk Measurement Standards, Sep 2014 Reference |
|---|---|---|---|---|
| 1 | High Quality Liquidity Asset Haircut | US LCR - High Quality Liquidity Asset Haircut |
The haircuts to be applied on high quality liquid assets are pre-defined as part of this assumption. This assumption specifies the fair value, as determined under U.S. generally accepted accounting principles (GAAP), of a covered company’s level 2A liquid assets and level 2B liquid assets are subject to haircuts of 15 and 50 percent. |
Common Rule: Subpart C § __.3 Definitions; Page 325 – 340 Subpart C § __.20 High-Quality Liquid Asset Criteria; Page 343 – 347 Supplementary Information: Section II B 2 Qualifying Criteria for Categories of HQLA; Page 46 – 102 |
| 2 | Asset Exchange Cash Inflows | US LCR - Asset Exchange Cash Inflows |
The inflow rates to be applied on asset exchange transactions are pre-defined as part of this assumption. This assumption specifies the regulation on LCR and asset exchange inflow rates which depend on the level of assets the covered company receives at maturity and covered company must post at maturity. |
Common Rule: Subpart C § __.33(f) Secured lending and asset exchange cash inflow amount.; Page 375 Supplementary Information: Section II C 4(f) Secured lending and asset exchange cash inflow amount page 275-288 |
| 3 | Asset Exchange Cash Outflows Non Re-hypothecated Collateral | US LCR - Asset Exchange Cash Outflows where collateral re-hypothecation maturity date <= 30 days |
The outflow rates to be applied on asset exchange transactions where the underlying collateral is not re-hypothecated are pre-defined as part of this assumption. This assumption specifies the regulation on LCR and asset exchange outflow rates which depend on the level of assets the covered company receives at maturity and covered company must post at maturity. |
Common Rule: Subpart C § __.32(j) Secured funding and asset exchange outflow amount Page 369 Supplementary Information: Section II C 3(j) Secured Funding Transactions and Asset Exchange Outflow Amounts page 240 -261 |
| 4 | Asset Exchange Cash Outflows Re-hypothecated Collateral | Asset Exchange Cash Outflows Re-hypothecated Collateral |
The outflow rates to be applied on asset exchange transactions where the underlying collateral is re-hypothecated are pre-defined as part of this assumption. This assumption specifies the rule regulation on LCR and asset exchange outflow rates which depend on level of assets the covered company receives at maturity and covered company must post at maturity. |
Common Rule: Subpart C § __.32(j) Secured funding and asset exchange outflow amount ;Page 369 Supplementary Information: Section II C 3(j) Secured Funding Transactions and Asset Exchange Outflow Amounts page 240 -261 |
| 5 | Collateral Outflow Derivative Collateral substitution | US LCR - Collateral outflow due to collateral substitution collateral in derivatives |
The outflow rates due to collateral substitution on derivatives are pre-defined as part of this assumption. This assumption specifies the outflow rates which depend on level of collateral pledged to the covered company by the counterparty and the level of substitutable collateral which the counterparty may replace without the consent of the bank. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 6 | Collateral Outflow Derivative Collateral Valuation Change | US LCR - collateral outflow due to derivative collateral potential valuation changes |
The outflow rates due to collateral valuation change on derivatives are pre-defined as part of this assumption. This assumption specifies 20 percent outflow on the fair value of any collateral securing a derivative transaction pledged to counterparty by the bank that is not a level 1 liquid asset. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 7 | Collateral Outflow Derivative contractually due Collateral | US LCR - Collateral Outflow due to contractually due collateral in derivatives |
The outflow rates due to collateral that the covered company has to maintain with counterparty on derivatives are pre-defined as part of this assumption. This assumption specifies 100 percent outflow on the fair value of the collateral that the bank is contractually required to pledge to counterparty. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 8 | Collateral Outflow Derivative Excess Collateral | US LCR - Collateral Outflow due to excess collateral in derivatives |
The outflow rates due to excess collateral that counterparty has maintained with covered company on derivatives are pre-defined as part of this assumption. This assumption specifies that on the excess collateral, 100 percent of the fair value of collateral that the bank requires must be returned to the counterparty. This is because the collateral pledged to the bank exceeds the current collateral requirement of the counterparty under the governing contract. It also specifies that it cannot be re-hypothecated because it is not excluded as eligible HQLA by the bank. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 9 | Collateral Outflow Downgrade Trigger | US LCR - Collateral outflow due change in financial condition |
The outflow rates due to rating downgrade are pre-defined as part of this assumption. This assumption specifies 100 percent outflow of all additional amounts of collateral that the bank is contractually required to pledge or to fund under the terms of any transaction. This results change in the bank’s financial condition. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 10 | Collateral Outflow Secured Lending Collateral substitution | US LCR - Collateral outflow due to collateral substitution in secured lending |
The outflow rates due to collateral substitution on secured lending transactions are pre-defined as part of this assumption. This assumption specifies that on the collateral substitution, the outflow rates depend on the level of collateral pledged to the covered company by the counterparty. It also specifies the level of substitutable collateral which the counterparty may replace without the consent of the bank. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 11 | Collateral Outflow Secured Lending contractually due Co | US LCR - Collateral Outflow due to contractually due collateral in secured funding |
The outflow rates due to collateral that the covered company has to maintain with counterparty on secured lending transactions are pre-defined as part of this assumption. This assumption specifies 100 percent of the fair value of collateral that the bank is contractually required to pledge to counterparty. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 12 | Collateral Outflow Secured Lending Excess Collateral | US LCR - Collateral Outflow due to excess collateral in secured Lending |
The outflow rates due to excess collateral that counterparty has maintained with covered company on secured lending transactions are pre-defined as part of this assumption. This assumption specifies that on the excess collateral, 100 percent of the fair value of collateral must be returned to a counterparty by the bank as the collateral pledged to the bank exceeds the current collateral requirement of the counterparty under the governing contract. It also specifies that it cannot be re-hypothecated and it is not excluded as eligible HQLA by the bank. |
Common Rule: Subpart C § __.32(f) collateral outflow amount; Page 369 Supplementary Information: Section II C3(f) Collateral outflow amount. page 183-194 |
| 13 | Commitment Outflow Depository Institutions | US LCR - commitment credit and liquidity facility extended to depository institutions |
The outflow rates for committed liquid and credit facilities extended to depository institutions are pre-defined as part of this assumption. This assumption specifies the outflow rate which varies depending on the affiliation of the depository institution to the covered company. If the depository institution is an affiliate of the covered company then outflow rate is zero percent whereas fifty percent for other depository institutions. |
Common Rule: Subpart C § __.32 Commitment Outflow Amount; Page 361 Supplementary Information: Section II C(e) Commitment Outflow Amount. page 169 -184 |
| 14 | Commitment Outflow for Issuing CP or Security | US LCR - Commitment Outflow amount for issuing CP or Security excluding equity |
The outflow rates for committed liquid and credit facilities extended for issuing CP or security are pre-defined as part of this assumption. This assumption specifies 100 percent of the undrawn amount of all committed credit and liquidity facilities extended to a special purpose entity that issues or has issued commercial paper or securities (other than equity securities issued to a company of which the special purpose entity is a consolidated subsidiary) to finance its purchases or E28operations. |
Common Rule: Subpart C § __.32 Commitment Outflow Amount; Page 361 Supplementary Information: Section II C(e) Commitment Outflow Amount. page 169 -184 |
| 15 | Commitment Outflow Retail Customers | US LCR - Committed credit and liquidity facility extended to retail customers |
The outflow rates for committed liquid and credit facilities extended to retail customers are pre-defined as part of this assumption. This assumption specifies 5 percent of the undrawn amount of all committed credit and liquidity facilities extended by the covered company to retail customers or counterparties. |
Common Rule: Subpart C § __.32 Commitment Outflow Amount; Page 361 Supplementary Information: Section II C(e) Commitment Outflow Amount. page 169 -184 |
| 16 | Commitment Outflow Wholesale Customers | US LCR - Committed credit and liquidity facility extended to whole sale customers |
The outflow rates for committed liquid and credit facilities extended other wholesale customers are pre-defined as part of this assumption. This assumption specifies the outflow rates for other wholesale customers vary depending on type of facility (liquidity or credit) and whether customer is a financial sector entity or not. |
Common Rule: Subpart C § __.32 Commitment Outflow Amount; Page 361 Supplementary Information: Section II C(e) Commitment Outflow Amount. page 169 -184 |
| 17 | Debt Security Outflow Amount | US LCR - Outflow Rates for debt securities where bank is the primary market maker |
The outflow rates debt securities issued by the covered company are pre-defined as part of this assumption. This assumption specifies the outflow amount for debt securities issued by the bank which matures more than 30 calendar days after the calculation date. The bank or a consolidated subsidiary of the bank is the primary market maker in such debt securities and this includes 3 percent of all such debt securities that are not structured securities and 5 percent of all such debt securities that are structured securities. |
Common Rule: Subpart C § __.32 Debt Security Outflow Amount; Page 369 Supplementary Information: Section II C(i) Debt Security Outflow Amount; page 237-240 |
| 18 | Exclusions for Inflows - Credit and Liquidity Facility | US LCR - Exclusions for Inflows - Credit, Liquidity or other Facilities to be excluded |
The cash flows from credit and liquidity facility provided to the covered company are excluded as part of this assumption. This assumption specifies that the amounts arising from any credit or liquidity facility extended to a covered company are excluded from the denominator of the proposed LCR. |
Common Rule: Subpart C § __.33 Items Not Included as Inflows; Page 373 Supplementary Information: Section II C 4(a) Items Not Included as Inflows; page 266-271 |
| 19 | Exclusions for Inflows - Derivative Mortgage commitments | US LCR - Exclusions for Inflows Derivative Mortgage commitments, Forward Sale Mortgages |
The cash flows from derivative mortgage commitments are excluded as part of this assumption. This assumption specifies that the amount that a covered company expects to receive or is contractually entitled to receive from derivative transactions which are due to forward sales of mortgage loans and any derivatives that are mortgage commitments are excluded from the denominator of the proposed LCR. |
Common Rule: Subpart C § __.33 Items Not Included as Inflows; Page 373 Supplementary Information: Section II C 4(a) Items Not Included as Inflows; page 266-271 |
| 20 | Exclusions for Inflows - Non Performing Assets | Exclusions for Inflows - Non Performing Assets |
The cash flows from non-performing assets are excluded as part of this assumption. This assumption specifies that the cash flows from non-performing assets are excluded from the denominator of the proposed LCR in the following cases, when the amount payable to the covered company or any outstanding exposure to a customer or counterparty that is a non performing asset as of a calculation date or that the covered company has a reason to expect becomes a non performing exposure in 30 calendar days or less from a calculation date. |
Common Rule: Subpart C § __.33 Items Not Included as Inflows; Page 373 Supplementary Information: Section II C 4(a) Items Not Included as Inflows; page 266-271 |
| 21 | Exclusions for Inflows - Open Maturity | US LCR - Exclusions for Inflows - Open Maturity |
The cash flows from open maturity products are excluded as part of this assumption. This assumption specifies the items that have no contractual maturity date or items that mature more than 30 calendar days after a calculation date are excluded from the denominator of the proposed LCR. |
Common Rule: Subpart C § __.33 Items Not Included as Inflows; Page 373 Supplementary Information: Section II C 4(a) Items Not Included as Inflows; page 266-271 |
| 22 | Exclusions for Inflows - Operational Deposits | US LCR - Exclusions for Inflows - Operational Deposits of Financial Sector Entities |
The cash flows from operational deposits placed by the covered company are excluded as part of this assumption. This assumption specifies that the covered company’s inflows derived from any operational deposits at another regulated financial companies are excluded from the denominator of the proposed LCR. |
Common Rule: Subpart C § __.33 Items Not Included as Inflows; Page 373 Supplementary Information: Section II C 4(a) Items Not Included as Inflows; page 266-271 |
| 23 | Less Stable Retail Outflows | US LCR - Retail outflow amount for less stable portion of the deposits |
The outflow rate for less stable portion of retail deposits which are not brokered deposits are pre-defined as part of this assumption. This assumption specifies that a bank’s retail funding outflow amount as of the calculation date includes (regardless of maturity or collateralization) 3 percent of all stable retail deposits held at the bank and 10 percent of all other retail deposits held at the bank. |
Common Rule: Subpart C § __.32 Funding Outflow Amount; Page 359 Supplementary Information: Section II C3(a) Retail Funding Outflow Amount; page 155-161 |
| 24 | Mortgage Commitment Outflow Amount | US LCR - Outflow rates for mortgage commitments |
The outflow rates for commitments extended for mortgage loans are pre-defined as part of this assumption. This assumption specifies that the mortgage commitment outflow amount as of a calculation date is 10 percent of the amount of funds the bank has contractually committed for its own origination of retail mortgages. This can be drawn upon 30 calendar days or less from such calculation date. |
Common Rule: Subpart C § __.32 Mortgage commitment outflow amount; Page 361 Supplementary Information: Section II C 3(d) Mortgage commitment page 168-169 |
| 25 | Net Derivatives Receivables or Payables | US LCR - Net Derivatives Receivables or Payables |
The cash flow movements for derivative transactions are pre-defined as part of this assumption. This assumption specifies that the determination of total net cash outflow using the add-on approach, the net derivatives cash inflow and outflow is not part of add on computations. Hence these cash flows are moved to open maturity bucket. |
Common Rule: Subpart C § __.30 Total net cash outflow amount; Page 354-356 Supplementary Information: Section II C 1(a) Peak Day Approach; page 137-144 |
| 26 | Non Maturing Deposits Placed | US LCR- Non Maturing Deposits cash flows maturity to be considered in day1 |
The maturity adjustments are pre-defined as part of this assumption. This assumption specifies that the transactions, except for operational deposits, that do not have maturity dates are considered to have a maturity date on the first calendar day after the calculation date. |
Common Rule: Subpart C § __.31 Determining Maturity; Page 356-358 Supplementary Information: Section II C 2 Determining Maturity; page 147-154 |
| 27 | Other Cash Inflows - Retail and Wholesale | US LCR - Other Cash Inflows which are not included in any inflow assumptions |
This business assumption is used to exclude cash inflows from retail and wholesale customers which are non-performing. This assumption specifies that any amounts payable to the bank from an obligation of a customer or counterparty that is a non-performing asset must be made as per the calculation date. |
Common Rule: Subpart C § __.33 Items Not Included as Inflows; Page 373 Supplementary Information: Section II C 4(a) Items Not Included as Inflows; page 266-271 |
| 28 | Other Cash Inflows - Revolving Credit | US LCR - Other Cash Inflows which are not included in any of the Inflow assumptions |
The inflow rates for revolving credit which are secured are pre-defined as part of this assumption. This assumption specifies that any other inflows which are not included need to be given a zero percent inflows. This assumption is defined to include zero percent of inflows coming for revolving credit which are secured. |
Common Rule: Subpart C § __.33 Other Cash Inflow Amounts; Page 379 Supplementary Information: Section II C 4(a) Other Cash Inflow Amounts; page 290 |
| 29 | Other Retail Outflows | US LCR - Retail funding from retail customer that is not a retail deposit |
The outflow rates from retail customers other than retail deposits are pre-defined as part of this assumption. This assumption specifies the outflow rates from retail customers which are 40 percent of all funding from a retail customer or counterparty that is not a retail deposit or a brokered deposit provided by a retail customer or counterparty; or a debt instrument issued by the bank that is owned by a retail customer or counterparty. |
Common Rule: Subpart C § __.32 Retail Funding Outflow Amount; Page 359 Supplementary Information: Section II C(a) Retail Funding Outflow Amount; page 155-161 |
| 30 | Retail Brokered Other Maturity Deposits | US LCR - Brokered deposit outflow for maturity deposits (not reciprocal or sweep) |
The outflow rates for retail brokered (non reciprocal, non sweep) non maturity deposits are pre-defined as part of this assumption. This assumption specifies the brokered deposit outflow amount for retail customers or counterparties as of the calculation date. This includes 100 percent of all brokered deposits provided by a retail customer or counterparty that are not brokered sweep or reciprocal deposits and which matures in 30 calendar days or less from the calculation date. This also includes 10 percent of all brokered deposits provided by a retail customer or counterparty that are not brokered sweep or reciprocal deposits and which mature later than 30 calendar days from the calculation date. |
Common Rule: Subpart C § __.32 Brokered Deposit Outflow Amount; Page 366 Supplementary Information: Section II C(g) Brokered Deposit Outflow Amount; Page 194 - 214 |
| 31 | Retail Brokered Other Non Maturity Deposits | US LCR - Brokered deposit outflow for non-maturity deposit (not reciprocal or sweep) |
The outflow rates for retail brokered (non reciprocal, non sweep) maturity deposits are pre-defined as part of this assumption. This assumption specifies the brokered deposit outflow amount for retail customers or counterparties as of the calculation date which includes 20 percent of all brokered deposits that are not brokered sweep or reciprocal deposits which are held in a transactional account with no contractual maturity date, where the entire amount is covered by deposit insurance and 40 percent of all brokered deposits that are not brokered sweep or reciprocal deposits which are held in a transactional account with no contractual maturity date, where less than the entire amount is covered by deposit insurance. |
Common Rule: Subpart C § __.32 Brokered Deposit Outflow Amount; Page 366 Supplementary Information: Section II C(g) Brokered Deposit Outflow Amount; Page 194 - 214 |
| 32 | Retail Brokered Reciprocal Deposits | US LCR - Outflow rates for brokered reciprocal deposits from retail customers |
The outflow rates for retail brokered reciprocal deposits are pre-defined as part of this assumption. This assumption specifies the brokered deposit outflow amount for retail customers or counterparties as of the calculation date which includes 10 percent of all reciprocal brokered deposits, where the entire amount is covered by deposit insurance and 25 percent of all reciprocal brokered deposits where less than the entire amount is covered by deposit insurance. |
Common Rule: Subpart C § __.32 Brokered Deposit Outflow Amount; Page 366 Supplementary Information: Section II C(g) Brokered Deposit Outflow Amount; Page 194 - 214 |
| 33 | Retail Brokered Sweep Deposits | US LCR - Outflow rates for brokered sweep deposits from retail customers |
The outflow rates for retail brokered sweep deposits are pre-defined as part of this assumption. This assumption specifies the brokered sweep deposit outflow amount for retail customers or counterparties as of the calculation date which includes 10 percent in cases where deposit originating company is subsidiary or affiliate of the covered company. Here the entire amount of the deposits is covered by deposit insurance and 25 percent in cases where deposit originating company is subsidiary or affiliate of the covered company. The entire amount of the deposits is covered by deposit insurance and 40 percent where less than the entire amount of the deposit balance is covered by deposit insurance. |
Common Rule: Subpart C § __.32 Brokered Deposit Outflow Amount; Page 366 Supplementary Information: Section II C(g) Brokered Deposit Outflow Amount; Page 194 - 214 |
| 34 | Retail Cash Inflows | US LCR - Retail Cash Inflow Amount |
The inflow rates from retail customers are pre-defined as part of this assumption. This assumption specifies that the retail cash inflow amount as of the calculation date includes 50 percent of all payments contractually payable to the bank from retail customers or counterparties. |
Common Rule: Subpart C § __.33 Retail Cash Inflow Amount; Page 375 Supplementary Information: Section II C 4(c) Retail Cash Inflow Amount; page 272-273 |
| 35 | Secured Lending Cash Inflows - Collateral Non- Re-hypothecated | US LCR -Secured Lending Cash Inflows where the underlying Collateral is Non- Re-hypothecated |
The inflow rates from secured lending transactions where collateral is re-hypothecated are pre-defined as part of this assumption. This assumption specifies the outflow rate of secured lending transactions which depends on the collateral securing the lending transaction which is either re-hypothecated or not. If collateral is re-hypothecated and cannot be returned to the counterparty within 30 days then outflow is zero percent of all contractual payments. |
Common Rule: Subpart C § __.33(f) Secured lending and asset exchange cash inflow amount.; Page 375 Supplementary Information: Section II C 4(f) Secured lending and asset exchange cash inflow amount page 275-288 |
| 36 | Secured Lending Cash Inflows - Collateral Re-hypothecated | Secured Lending Cash Inflows - Collateral Re-hypothecated |
The inflow rates from secured lending transactions where collateral is not re-hypothecated are pre-defined as part of this assumption. This assumption specifies if the collateral securing the transaction is not re-hypothecated then: 0 percent of all contractual payments, to the extent that the payments are secured by level 1 liquid asset. 15 percent of all contractual payments, to the extent that the payments are secured by level 2A liquid assets. 50 percent of all contractual payments, to the extent that the payments are secured by level 2B liquid assets. 100 percent of all contractual payments, to the extent that the payments are secured assets that are not HQLA. 50 percent of all contractual payments, to the extent that the payments are secured assets that are not HQLA and payments pursuant to collateralized margin loans. |
Common Rule: Subpart C § __.33(f) Secured lending and asset exchange cash inflow amount.; Page 375 Supplementary Information: Section II C 4(f) Secured lending and asset exchange cash inflow amount page 275-288 |
| 37 | Secured Lending Cash Inflows - Underlying is Eligible HQLA | US LCR - Secured Lending Cash Inflows - Underlying is part of Eligible HQLA |
The inflow rates from secured lending transactions where collateral is eligible HQLA are pre-defined as part of this assumption. This assumption specifies 100 percent of all contractual payments due to the covered company which are secured lending transactions, to the extent that the payments are secured by assets that are not eligible HQLA and not re-hypothecated. |
Common Rule: Subpart C § __.33(f) Secured lending and asset exchange cash inflow amount.; Page 375 Supplementary Information: Section II C 4(f) Secured lending and asset exchange cash inflow amount page 275-288 |
| 38 | Secured Wholesale Funding Outflow Amount | US LCR - Secured funding outflow based on asset level of the underlying collateral |
The outflow rates from secured funding transactions are pre-defined as part of this assumption. This assumption specifies the secured funding outflow rates for the wholesale customers. This depends on asset level of collateral which secures the secured funding transaction. |
Common Rule: Subpart C § __.32(j) Secured funding and asset exchange outflow amount Page 369 Supplementary Information: Section II C 3(j) Secured Funding Transactions and Asset Exchange Outflow Amounts page 240 -261 |
| 39 | Securities Cash Inflows | US LCR - Securities Cash Inflow Amount |
The inflow rates from securities are pre-defined as part of this assumption. This assumption specifies the securities cash inflow amount as of the calculation date which includes 100 percent of all contractual payments that are due to the bank on securities. These are not eligible HQLA. |
Common Rule: Subpart C § __.33 Securities cash inflow amount; Page 375 Supplementary Information: Section II C 4(e) Securities cash inflow amount; page 274-275 |
| 40 | Segregated Account Inflows | US LCR- Broker Dealer Segregated Account Inflows |
The inflow rates for broker-dealer segregated accounts are pre-defined as part of this assumption. This assumption specifies the segregated inflow amount to be calculated based on the difference between the fair value of the required balance (as of the calculation date) and customer reserve account (as of 30 calendar days) from the calculation date. |
Common Rule: Subpart C § __.33 Broker-Dealer Segregated account inflow amount; Page 378-379 Supplementary Information: Section II C 4(g) Segregated Account Inflow Amount; Page 287-290 |
| 41 | Stable Retail Outflows | US LCR - Retail outflow amount for sable portion of the retail deposits |
The outflow rates for stable portion of non brokered retail deposits are pre-defined as part of this assumption. This assumption specifies that a bank’s retail funding outflow amount as of the calculation date includes (regardless of maturity or collateralization 3 percent of all stable retail deposits held at the bank and 10 percent of all other retail deposits held at the bank. |
Common Rule: Subpart C § __.32 Retail Funding Outflow Amount; Page 359 Supplementary Information: Section II C(a) Retail Funding Outflow Amount; page 155-161 |
| 42 | Structured Transaction Outflow Amount | US LCR - Outflow amount where bank is the sponsor of a structured transaction |
The outflow rates for debt securities sponsored by the covered company are pre-defined as part of this assumption. This assumption specifies that the structured transaction outflow is the greater in the following cases: When 100 percent of the amount of all debt obligations of the issuing entity which matures ≤ 30 calendar days and commitments made by the issuing entity to purchase assets within ≤ 30 calendar days from such calculation date When the maximum contractual amount of funding the banking organization may be required to provide the issuing entity which is ≤ 30 calendar days from such calculation date through a liquidity facility. |
Common Rule: Subpart C § __.32Structured Transaction Outflow Amount; Page 359 Supplementary Information: Section II C(b) Structured Transaction Outflow Amount; page 161-166 |
| 43 | Third Party Placed Retail Outflows | US LCR - Retail deposit outflow amount for the third placed deposits |
The outflow rates for non brokered retail deposits placed by third party are pre-defined as part of this assumption. This assumption specifies that a bank’s retail funding outflow amount as of the calculation date includes (regardless of maturity or collateralization) 20 percent of all deposits placed at the bank by a third party on behalf of a retail customer or counterparty that are not brokered deposits. The retail customer or counterparty owns the account and where less than the entire amount is covered by deposit insurance. And, 40 percent of all deposits placed at the bank by a third party on behalf of a retail customer or counterparty that is not brokered deposits. The retail customer or counterparty owns the account and where less than the entire amount is covered by deposit insurance. |
Common Rule: Subpart C § __.32 Funding Outflow Amount; Page 359 Supplementary Information: Section II C(a) Retail Funding Outflow Amount; page 155-161 |
| 44 | Unsecured Wholesale Cash Inflows - Revolving Credit | US LCR - Unsecured Wholesale Cash Inflows - Exclusion of Revolving Credit |
The inflow rates from revolving credit which are not secured are pre-defined as part of this assumption. This assumption specifies the credit facilities, the amount of existing loan which is not included in the unsecured wholesale cash inflow amount. |
Common Rule: Subpart C § __.33(f) Unsecured Wholesale Cash inflow Amount; Page 375 Supplementary Information: Section II C 4(b)Unsecured Wholesale Cash inflow Amount; page 275-288 |
| 45 | Unsecured Wholesale Cash Inflows- Financial Sector entity | US LCR- Unsecured Wholesale Cash Inflows-Financial Sector entity |
The inflow rates from financial sector entity are pre-defined as part of this assumption. This assumption specifies the inflow rates which are 100 percent of all payments contractually payable to the bank from financial sector entities, or from a consolidated subsidiary or central banks and 50 percent of all payments contractually payable to the bank from wholesale customers or counterparties that are not financial sector entities or consolidated subsidiaries. |
Common Rule: Subpart C § __.33(f) Unsecured Wholesale Cash inflow Amount; Page 375 Supplementary Information: Section II C 4(b)Unsecured Wholesale Cash inflow Amount; page 275-288 |
| 46 | Unsecured Wholesale Deposit Non Operational and Non Brokered | US LCR - Unsecured wholesale funding from non-operational and Non brokered deposits |
The outflow rates from wholesale non-operational and non brokered deposits are pre-defined as part of this assumption. This assumption specifies that the unsecured wholesale funding is not an operational deposit and it is not provided by a financial sector entity or a consolidated subsidiary. Here, 20 percent of all such funding and the entire amount are covered by deposit insurance and the funding is not a brokered deposit. Also, 40 percent of all such funding is less than the entire amount and it is covered by deposit insurance or the funding is a brokered deposit. |
Common Rule: Subpart C § __.32 Unsecured wholesale funding outflow amount; page 367-368 Supplementary Information: Section II C(h) Unsecured wholesale funding outflow amount; page 219-235 |
| 47 | Unsecured Wholesale Non Operational Brokered Deposit | US LCR - Unsecured whole funding from non-operational brokered deposits |
The outflow rates from wholesale non-operational, brokered deposits are pre-defined as part of this assumption. This assumption specifies that the unsecured wholesale funding is not an operational deposit and is not provided by a financial sector entity or consolidated subsidiary. Here, 20 percent of all such funding and the entire amount are covered by deposit insurance and the funding is not a brokered deposit. Also, 40 percent of all such funding is less than the entire amount and is covered by deposit insurance or the funding is a brokered deposit. |
Common Rule: Subpart C § __.32 Unsecured wholesale funding outflow amount; page 367-368 Supplementary Information: Section II C(h) Unsecured wholesale funding outflow amount; page 219-235 |
| 48 | Unsecured Wholesale Operational Deposits | US LCR - Unsecured wholesale funding outflow from operational deposits. |
The outflow rates from wholesale operational deposits are pre-defined as part of this assumption. This assumption specifies that 5 percent of all operational deposits, other than operational deposits that are held in escrow accounts are covered by deposit insurance. |
Common Rule: Subpart C § __.32 Unsecured wholesale funding outflow amount; page 367-368 Supplementary Information: Section II C(h) Unsecured wholesale funding outflow amount; page 219-235 |
| 49 | Adjustments to Secured Non-operational Brokered Deposits | Adjustments to Secured Non-operational Brokered Deposits |
The adjustments to secured non-operational and brokered deposits are pre-defined as part of this assumption. This assumption specifies that the secured deposit outflow rates cannot be higher than the corresponding unsecured deposit outflow rates. |
Common Rule: Subpart C § __.32(j) Secured funding and asset exchange outflow amount Page 369 Supplementary Information: Section II C 3(j) Secured Funding Transactions and Asset Exchange Outflow Amounts page 240 -261 |
| 50 | Adjustments to Secured Non-operational Non-brokered Deposits | US LCR - adjustments to Non-operational Non-brokered secured deposits |
The adjustments to secured non-operational and brokered deposits are pre-defined as part of this assumption. This assumption specifies that the secured deposit outflow rates cannot be higher than the corresponding unsecured deposit outflow rates. |
Common Rule: Subpart C § __.32(j) Secured funding and asset exchange outflow amount Page 369 Supplementary Information: Section II C 3(j) Secured Funding Transactions and Asset Exchange Outflow Amounts page 240 -261 |
| 51 | Adjustments to Secured Operational Deposits | US LCR - adjustments to secured operational deposits |
The adjustments to secured operational deposits are pre-defined as part of this assumption. This assumption specifies that the secured deposit outflow rates cannot be higher that the corresponding unsecured deposit outflow rates. |
Common Rule: Subpart C § __.32(j) Secured funding and asset exchange outflow amount Page 369 Supplementary Information: Section II C 3(j) Secured Funding Transactions and Asset Exchange Outflow Amounts page 240 -261 |
| 52 | Asset Exchange Adjustments | Open maturity collateral swap cash flows moving to corresponding maturity buckets |
This business assumption moves the asset exchange cash flows from open maturity bucket to corresponding residual maturity bucket. This assumption specifies the determination of total net cash outflow using the Add-On approach. The asset exchange cash inflows and outflows are not part of add-on computations. Hence these cash flows are moved to open maturity bucket. |
Common Rule: Subpart C § __.30 Total net cash outflow amount; Page 354-356 Supplementary Information: Section II C 1(a) Peak Day Approach; page 137-144 |