Table of Contents
- Title and Copyright Information
- 1.1 Document Control
- 2 About the Guide
- 3 Introduction
-
4
Liquidity Coverage Ratio
Calculation
- 4.1 Inputs
-
4.2
Process Flow
- 4.2.1 Identification of Asset Levels
- 4.2.2 Identification of Eligible HQLA
- 4.2.3 Calculation of Stock of HQLA
- 4.2.4 Determination of the Maturity of Cash Flows
- 4.2.5 Deposit Stability Identification
- 4.2.6 Classifying Operational Account
- 4.2.7 Calculation of Contractually Required Collateral
- 4.2.8 Calculation of Excess Collateral
- 4.2.9 Calculation of Downgrade Impact Amount
- 4.2.10 Calculation of Net Derivative Cash Inflows and Outflows
- 4.2.11 Calculation of Twenty Four Month Look-back Amount
- 4.2.12 Calculation of Operational Amount
- 4.2.13 Calculation of HQLA Transferability Restriction
- 4.2.14 Calculation of Cash Inflows and Outflows
- 4.2.15 Calculation of Net Cash Outflows (NCOF)
- 4.2.16 Consolidation as Per LCR Approach
- 4.3 Pre-configured Regulatory LCR Scenario
- 4.4 Modified Liquidity Coverage Ratio Calculation
-
4.5
FR2052a and FR2052b Related
Calculations
-
4.5.1
Intermediate Calculations
- 4.5.1.1 Calculation of Effective Drawdown Date
- 4.5.1.2 Treatment of Commingled Securitization Cash Flows
- 4.5.1.3 Treatment of Central Bank Reserves and Deposits
- 4.5.1.4 Substitutable Collateral
- 4.5.1.5 Operating Expenses
- 4.5.1.6 CDS Spread
- 4.5.1.7 Funding Pricing Curves
- 4.5.1.8 Lendable Value
- 4.5.1.9 Placed Collateral
- 4.5.2 FR2052A Reporting Validations
-
4.5.1
Intermediate Calculations
-
4.6
Regulation YY Liquidity Risk
Calculation
-
4.6.1
Process Flow
- 4.6.1.1 Identification of Liquid and Readily Marketable Assets
- 4.6.1.2 Identification of Eligible Buffer Assets
- 4.6.1.3 Calculation of Available Liquidity Buffer
- 4.6.1.4 Calculation of Interim Measures
- 4.6.1.5 Identification of Intercompany, Internal and External Transactions
- 4.6.1.6 Calculation of Buffer Requirement
- 4.6.1.7 Consolidation
-
4.6.1
Process Flow
-
5
Deposit Insurance Calculations as
per FDIC 370
- 5.1 Solution Process Flow
- 5.2 Prerequisites for Insurance Calculation
-
5.3
ORC Classification and Insurance
Calculation
- 5.3.1 Single Accounts (SGL)
- 5.3.2 Joint Accounts (JNT)
- 5.3.3 Certain Retirement Accounts (CRA)
- 5.3.4 Employee Benefit Plans (EBP)
- 5.3.5 Trust Accounts
- 5.3.6 Revocable Trust Accounts (REV)
- 5.3.7 Irrevocable Trust Accounts (IRR)
- 5.3.8 Business Accounts (BUS)
- 5.3.9 Government Accounts (GOV)
- 5.3.10 Mortgage Servicing Accounts (MSA)
- 5.3.11 Accounts held by a Depository Institution as the Trustee of an Irrevocable Trust (DIT)
- 5.3.12 Annuity Contracts (ANC)
- 5.3.13 Public Bond Accounts (PBA)
- 5.3.14 Custodian Accounts for American Indians (BIA)
- 5.3.15 Accounts of an Insured Depository Institution Pursuant to the Bank Deposit Financial Assistance Program of Energy (DOE)
- 5.4 Insurance Allocation
- 5.5 Pending Accounts
- 5.6 Alternative Recordkeeping
-
6
Forward Date Liquidity Risk
Calculation
-
6.1
Overview of Forward Date Liquidity
Risk Calculation
- 6.1.1 Granularity of Forward Records
- 6.1.2 Computation of Forward Dates
- 6.1.3 Computation of Forward Time Buckets
- 6.1.4 Computation of Forward Balances
- 6.1.5 Adjustment of Forward Balance Sheet
- 6.1.6 Forward Balance and Cash Flow Allocation
- 6.1.7 Calculation of Forward Cash Flows
- 6.1.8 Calculation of Forward Liquidity Coverage Ratio
- 6.1.9 Pre-configured Forecasting Rules
-
6.1
Overview of Forward Date Liquidity
Risk Calculation
- 7 Net Stable Funding Ratio Calculation
- 8 Appendix A – Data Transformations/Functions used in LRRCUSFR
- 9 Appendix B – User Configuration and Settings
- A OFSAA Suport