Table of Contents

• Title and Copyright Information
• 1.1 Document Control
• 2 About the Guide
  • 2.1 Scope of the Guide
  • 2.2 Intended Audience
  • 2.3 Documentation Accessibility
    • 2.3.1 Access to Oracle Support
  • 2.4 Related Information Sources
• 3 What is New in this Release
• 4 Introduction
  • 4.1 Liquidity Coverage Ratio (LCR)
  • 4.2 Net Stable Funding Ratio (NSFR)
• 5 Liquidity Coverage Ratio Calculation
  • 5.1 Inputs
  • 5.2 Process Flow
    • 5.2.1 Identification of Asset Levels
      • 5.2.1.1 Identification and Treatment of Level 1 Assets
      • 5.2.1.2 Identification and Treatment of Level 2A Assets
      • 5.2.1.3 Identification and Treatment of Level 2B Assets
    • 5.2.2 Identification of Eligible HQLA
    • 5.2.3 Calculation of Stock of HQLA
      • 5.2.3.1 Calculation of Stock of Liquid Assets
      • 5.2.3.2 Identification of Eligible HQLA on Unwind
      • 5.2.3.3 Unwinding of Transactions Involving Eligible HQLA
      • 5.2.3.4 Calculation of Adjusted Stock of HQLA
      • 5.2.3.5 Calculation of Adjustments to Stock of HQLA Due to Cap on Level 2 Assets
    • 5.2.4 Classification of Operational Deposits
    • 5.2.5 Insurance Allocation
      • 5.2.5.1 Identification of Insurance Eligible Accounts
      • 5.2.5.2 Allocation of Deposit Insurance
      • 5.2.5.3 Identification of Deposit Stability
      • 5.2.5.4 Treatment of Lien Marked Deposits
        • 5.2.5.4.1 Identification of Lien Marked Deposits
        • 5.2.5.4.2 Treatment of Lien Marked Deposits
      • 5.2.5.5 Secured Funding
      • 5.2.5.6 Calculation of Contractually Required Collateral
        • 5.2.5.6.1 In Case of Derivatives
          • 5.2.5.6.1.1 Calculation of Contractually Due Collateral
          • 5.2.5.6.1.2 Calculation of Contractually Receivable Collateral
        • 5.2.5.6.2 In case of Other Assets and Liabilities
          • 5.2.5.6.2.1 Calculation of Contractually Due Collateral
          • 5.2.5.6.2.2 Calculation of Contractually Receivable Collateral
      • 5.2.5.7 Calculation of Excess Collateral
        • 5.2.5.7.1 In Case of Derivatives
          • 5.2.5.7.1.1 Calculation of Excess Collateral Due
          • 5.2.5.7.1.2 Calculation of Excess Collateral Receivable
        • 5.2.5.7.2 In case of Other Assets and Liabilities
          • 5.2.5.7.2.1 Calculation of Excess Collateral Due
          • 5.2.5.7.2.2 Calculation of Excess Collateral Receivable
      • 5.2.5.8 Calculation of Downgrade Impact Amount
        • 5.2.5.8.1 Calculation of Downgrade Impact Amount for Derivatives
        • 5.2.5.8.2 Calculation of Downgrade Impact Amount for Other Liabilities
      • 5.2.5.9 Calculation of Net Derivative Cash Inflows and Outflows
        • 5.2.5.9.1 Cash Flow Netting at Derivative Contract Level
        • 5.2.5.9.2 Cash Flow Netting at Netting Agreement Level
      • 5.2.5.10 Calculation of Twenty Four Month Look-back Amount
      • 5.2.5.11 Calculation of Operational Amount
      • 5.2.5.12 Calculation of HQLA Transferability Restriction
      • 5.2.5.13 Calculation of Net Cash Outflows
      • 5.2.5.14 Consolidation
      • 5.2.5.15 Calculation of Liquidity Coverage Ratio
        • 5.2.5.15.1 Significant Currency Liquidity Coverage Ratio Calculation
  • 5.3 Pre-configured Regulatory LCR Scenario
    • 5.3.1 Regulation Addressed through Business Assumptions
    • 5.3.2 Regulation Addressed through Business Rules
• 6 Net Stable Funding Ratio Calculation
  • 6.1 Overview
  • 6.2 Process Flow
    • 6.2.1 Identification of Maturity bands
    • 6.2.2 Computation of Available Amount of Stable Funding
    • 6.2.3 Computation of Required Amount of Stable Funding
      • 6.2.3.1 Computation of Off Balance Sheet Items
    • 6.2.4 Computation of Derivatives
    • 6.2.5 Computation of Net Stable Funding Ratio
  • 6.3 Pre-configured BOT Regulatory NSFR Scenarios
    • 6.3.1 Regulation Addressed through Business Assumptions
      • 6.3.1.1 Available Stable Funding Factor
      • 6.3.1.2 Required Stable Funding Factor
      • 6.3.1.3 Derivatives
      • 6.3.1.4 Off-Balance Sheet Items
• A Data Transformations/Functions used in LRRCBOT
• B User Configuration and Settings
  • B.1 Standard Reclassifications
    • B.1.1 Standard Product Type Reclassification
    • B.1.2 Standard Party Type Reclassification
  • B.2 Mitigant Sub Type Classifications
• C OFSAAI Support Contact Details
  • C.1 Send Us Your Comments