5.3.1 Regulation Addressed through Business Assumptions
The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified scenario parameters such as HQLA haircuts, inflow and outflow percentage / rates 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 4-9 List of pre-configured business assumptions
| Sl. No. | Assumption Name | Assumption Description | Regulatory Requirement Addressed | Regulatory Reference |
|---|---|---|---|---|
| 1 | HQLAHaircutAssign | Haircuts for high quality liquid assets. | The haircuts on high quality liquid assets are pre-defined as part of this assumption. This assumption applies a 0% haircut on level 1 assets, 15% on level 2A assets and 50% on level 2B assets. | MR1 Paragraph 6.3, 6.4 |
| Outflows | ||||
| 1 | RBI- Non lien marked stable retail deposits | Run-offs on the stable portion of non-lien marked deposits from retail customers and unsecured wholesale funding from SMEs treated as retail. | The run-off rates on the stable portion of non-lien marked deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits, and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. |
AR2 Part D Sr No 7 and 8 |
| 2 | RBI- Lien marked stable retail deposits | Run offs on the stable portion of lien marked deposits from customers treated as retail. | This assumption defines the run off rates on stable portion of lien marked deposits from all customers treated as retail, where in the deposit maturity and the encumbrance period is within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similar to non-lien marked stable deposits. This assumption applies a 5% run off rate on the stable portion of such deposit. | AR4 Sr no 9 |
| 3 | RBI- Unencumbered stable lien marked deposits | Run offs on the unencumbered stable portion of lien marked deposits from customers treated as retail. | Run off rates for unencumbered stable portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered stable portion of such deposits receive a 5% Run off rate. | AR4 Sr no 9 |
| 4 | RBI- Encum portion exclusion of retail Lien marked deposits | Run offs on the encumbered portion of lien marked deposits from customers treated as retail. | Run offs on the encumbered portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The encumbered portion of both stable and less stable lien marked deposits receive a 0% Run off rate. | AR4 Sr no 9 |
| 5 | RBI- Non lien marked less stable deposits | Run-offs on the less stable portion of non-lien marked deposits from retail customers and unsecured wholesale funding from SMEs treated as retail. | The run-off rates on the less stable portion of non-lien marked deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. |
AR2 Part D Sr No 7 and 8 |
| 6 | RBI- Lien marked less stable retail deposits | Run offs on the stable portion of lien marked deposits from customers treated as retail. | This assumption defines the run off rates on less stable portion of lien marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period is within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similar to non-lien marked less stable deposits. This assumption applies a 10% run off rate on the stable portion of such deposit. | AR4 Sr no 9 |
| 7 | RBI -Unencumbered less stable lien marked deposits | Run offs on the unencumbered less stable portion of lien marked deposits from customers treated as retail. | Run off rates for unencumbered less stable portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered less stable portion of such deposits receive a 10% Run off rate. | AR4 Sr no 9 |
| 9a | RBI - Insured Operational Balance Run-off | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is fully covered by deposit insurance. | The run-off rates on the insured portion of the balance held in operational accounts to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 3% run-off on insured operational balances that meet the additional criteria for deposit insurance schemes and a 5% run-off on those that do not meet the additional criteria. |
AR2 part D Sr No 10, BLR 1 template A 2. (ii) |
| 9b | RBI - Uninsured Operational Balance Run-off | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is not covered by deposit insurance. | The run-off rates on the uninsured portion of the balance held in operational accounts to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 25% run-off on operational balances that are not covered by deposit insurance. |
AR2 part D Sr No 10, BLR 1 template A 2. (ii) |
| 10 | RBI-Run-off on Unsec Non-Op Funding from SME and others | Run-off on the unsecured wholesale funding, provided by SMEs, that is not classified as an operational deposit. This is achieved by rolling over 1 – run-off rate to beyond the LCR horizon of 30 days. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from SME's, treated as wholesale customers and AoP, HUF, partnerships, trusts which are treated as wholesale, for the purposes of LCR, are pre-defined as part of this assumption. This assumption applies a 60% rollover for an SME treated as wholesale and a 0% rollover on the other entities. | AR2 Part D Sr 9 |
| 11 | RBI-NFC, Sov, CB, PSE UWF Run-off on Non-op Balance | Run-off on the unsecured wholesale funding (UWF), provided by non-financial corporate (NFC), sovereigns (Sov), central banks (CB), and multilateral development banks (MDB) and PSEs that is not classified as an operational deposit. This is achieved by rolling over 1 – run-off rate to beyond the LCR horizon of 30 days. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies 80% rollover that is 20% run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover that is 40% run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | AR2 Part D Sr 9 |
| 12 | RBI-UWF Run-off on Non-op Balance from SMEs and others | Run-offs on unsecured wholesale funding (UWF) from SMEs not treated as retail. | The run-off rates on the non-operational portion of operational deposits from SME's, treated as wholesale customers for the purposes of LCR, and AoP, HUF, partnerships, trusts which are treated as wholesale are pre-defined as part of this assumption. . This assumption applies a 40% run off for an SME treated as wholesale and a 100% run off on the other entities. | AR2 Part D Sr 9 |
| 13 | RBI-NFC, Sov, CB,PSE Non-operational UWF Run-off | Run-off on the non-operational portion of unsecured wholesale funding provided by non-financial corporate (NFC), sovereigns (Sov), central banks (CB), and multilateral development banks (MDB) and PSEs that is classified as an operational deposit. |
The run-off rates on the non-operational portion of operational deposits from non-financial corporate, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run off on rate on the non-operational portion of deposits from these counterparties.
|
AR2 Part D Sr 9 |
| 14a | Non lien marked term deposits from SME, AoP, trusts etc | Non lien marked term deposits from SME, AoP, HUF, Trusts and partnerships treated as wholesale. | The run-off rates for non-lien marked term deposits from SMEs, AoPs, HUF, Trusts and partnerships treated as wholesale for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 40% run off on Wholesale SME and a 100% run off on the other counterparties | AR4 Sr no 9 |
| 14b | Term deposits with no lien marked. | Non lien marked term deposits from sovereigns, central banks, MDB, non-financial corporates and PSE. | The run-off rates for non-lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are pre-defined as part of this assumption. This assumption applies a 40% run off on all the counterparties | AR4 Sr no 9 |
| 15a | Lien marked term deposits from SME, AoP, trusts etc | Lien marked term deposits from SME, AoP, HUF, Trusts and partnerships treated as wholesale. | The run-off rates for lien marked term deposits from SMEs, AoPs, HUF, Trusts and partnerships treated as wholesale for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 40% run off on Wholesale SME and a 100% run off on the other counterparties | AR4 Sr no 9 |
| 15b | Lien marked term deposits from PSE, MDB etc | Lien marked term deposits from sovereigns, central banks, MDB, non-financial corporates and PSE. | The run-off rates for lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are pre-defined as part of this assumption. This assumption applies a 40% run off on all the counterparties | AR4 Sr no 9 |
| 16a | Unenc portion of lien marked TD from SME, AoP | Unencumbered portion of lien marked deposits from SME, AoP, HUF, Trusts and partnerships treated as wholesale | The run-off rates for the unencumbered portion of lien marked term deposits from SMEs, HUF, AoPs, Trusts and partnerships treated as wholesale for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 40% run off on Wholesale SME and a 100% run off on the other counterparties | AR4 Sr no 9 |
| 16b | Unenc portion of lien marked TD from sov, CB | Unencumbered portion of lien marked deposits from sovereigns, Central banks, MDB, Non-financial corporates and PSE. | The run-off rates for the unencumbered portion of lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are pre-defined as part of this assumption. This assumption applies a 40% run off on all the counterparties | AR4 Sr no 9 |
| 17a | Encum portion of lien marked dep from SME, AoP etc | Encumbered portion of lien marked deposits from SME, AoP, HUF, Trusts and partnerships treated as wholesale | The run-off rates for the encumbered portion of lien marked term deposits from SMEs, AoPs, HUF, Trusts and partnerships treated as wholesale for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 0% run off on all the counterparties | AR4 Sr no 9 |
| 17b | Enc portion of lien marked TD from sov, CB | Encumbered portion of lien marked deposits from sovereigns, Central banks, MDB, Non-financial corporates and PSE. | The run-off rates for the encumbered portion of lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are pre-defined as part of this assumption. This assumption applies a 0% run off on all the counterparties | AR4 Sr no 9 |
| 18 | RBI - Other LE Unsecured Wholesale Funding Run-off | Run-off on unsecured wholesale funding, from wholesale customers other than SMEs, non-financial corporate, sovereigns, central banks, multilateral development banks and PSEs, provided for non-operational purposes. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from wholesale counterparties other than SMEs, non-financial corporates, sovereigns, central banks , multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 0% rollover i.e. 100% run-off on cash flows from non-operational funding accounts. | BLR Template A2 (iv) |
| 19 | RBI-UWF Run-off on Non-operational Balance of Other Entities | Run-off on the non-operational portion of unsecured wholesale funding (UWF) provided by customers other than non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs that is classified as an operational deposit. | The run-off rates on the non-operational portion of operational deposits from wholesale counterparties other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on the non-operational portion of operational deposits from such counterparties. | BLR Template A2 (iv) |
| 20a | Non lien marked TD from other LE | Run off for non-lien marked term deposits from other legal entities. | The run-off rates for non-lien marked term deposits from all other legal entities are pre-defined as part of this assumption. This assumption applies a 100% run off for such deposits. | AR4 Sr no 9 |
| 20b | Lien marked TD from other LE | Run off for lien marked term deposits from other legal entities. | The run-off rates for lien marked term deposits from all other legal entities are pre-defined as part of this assumption. This assumption applies a 100% run off for such deposits. | AR4 Sr no 9 |
| 20c | Unenc portion of lien marked TD from other LE | Run off for unencumbered portion of lien marked term deposits from other legal entities. | The run-off rates for the unencumbered portion of lien marked term deposits from all other legal entities are pre-defined as part of this assumption. This assumption applies a 100% run off. | AR4 Sr no 9 |
| 20d | Enc portion of lien marked TD from other LE | Run off for encumbered portion of lien marked term deposits from other legal entities. | The run-off rates for the encumbered portion of lien marked term deposits from all other legal entities are pre-defined as part of this assumption. This assumption applies a 0% run off. | AR4 Sr no 9 |
| 21a | RBI- Secured funding run off - Central banks | Run off on secured funding, excluding collateral swaps with central banks as counterparty | The run-off rates on the secured funding, excluding collateral swaps, with Central banks as counterparty, are pre-defined as part of these assumptions. The assumption applies a 100% roll over to cash flows from such transactions. | AR2 Part D Sr No11 |
| 21b | RBI- Secured funding run off - all other counterparties | Run-off on secured funding, excluding collateral swaps, with all counterparties except central banks | The run-off rates on the secured funding, excluding collateral swaps, from all counterparties except Central banks, are pre-defined as part of these assumptions. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of rollover rates that is 1 – run-off rates. | AR2 Part D Sr No11 |
| 22 | RBI-Collateral Swap Run-off | Run-off on collateral swap transactions. | The run-off rates on collateral swaps are pre-defined as part of this assumption. This assumption applies the run-offs applicable to the market value of received collateral, when the collateral received under a swap transaction is of a higher quality than the collateral placed, as the difference between the liquidity haircuts applicable to the received and placed collateral. | AR2 Part D Sr No 11 |
| 23 | RBI- Derivatives cash outflows | Net cash outflows from derivative transactions. | The outflow rate on the 30-day cash outflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow on derivative cash outflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives. | BLR Template A 4 (i) |
| 24 | RBI-Additional Collateral Required Due to Ratings Downgrade | Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch ratings downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch ratings downgrade. | AR2 Part D Sr No 12, Explanatory note (ix) |
| 25 | RBI-Loss of Re-hypothecation Rights Due to Ratings Downgrade | Increased liquidity needs arising from a loss of re-hypothecation rights on assets received as collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers that result in a loss of re-hypothecation rights due to a 3-notch ratings downgrade is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade. | AR2 Part D Sr No 12, Explanatory note (ix) |
| 26 | RBI - Increased Liquidity Needs Due to Change in Coll Value | Increased liquidity needs arising from the potential change in the value of posted collateral. | The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 assets posted as collateral is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of non-level 1 posted collateral computed after netting the non-level 1 collateral received under re-hypothecation rights on the same transaction. | AR2 Part D Sr No 12, Explanatory note (x) |
| 27 | RBI-Increased Liquidity Needs Due to Market Valuation Change | Increased liquidity needs arising from market valuation changes on derivatives and other transactions. | The outflow rate on the collateral outflows occurring due market valuation changes on derivative and other transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow rate on the largest absolute net 30-day collateral flow occurring during the preceding 24 months under the historical look-back approach. | AR2 Part D Sr No 12 |
| 28 | RBI-Increased Liquidity Needs Due To Excess Collateral | Increased liquidity needs arising from excess non-segregated collateral received that can be recalled by the counterparty. | The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral. | AR2 Part D Sr No 12, Explanatory note (xiv) |
| 29 | RBI-Increased Liquidity Needs from Contractually Due Coll | Increased liquidity needs arising from collateral that is contractually required to be posted to the counterparty but has not yet been posted. | The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral. | AR2 Part D Sr No 12, Explanatory note (xiii) |
| 30 | RBI-Increased Liquidity Needs Due to Substitutable Coll | Increased liquidity needs arising from contracts that allow a counterparty to substitute lower quality collateral for the current higher quality collateral. | The outflow rate on the collateral that the counterparty can contractually substitute with lower quality collateral is pre-defined as part of this assumption. This assumption applies an outflow rate equal to the difference between the liquidity haircuts of collateral that can be potentially substituted by the counterparty and the collateral that substitutes it. | AR2 Part D Sr No 12, Explanatory note (xv) |
| 31 | RBI-Loss of Funding on Structured Financing Instruments | Loss of funding on asset-backed securities, covered bonds and other structured financing instruments. | The run-off rate on the maturing asset-backed securities, covered bonds and other structured financing instruments is pre-defined as part of this assumption. This assumption applies a 100% run-off on structured financing instruments that mature within the LCR horizon. | AR2 Part D Sr no 12 |
| 32 | RBI-Loss of Funding from Financing Facility–Maturing Debt | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt. | The run-off rate on the maturing amounts of asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon. | AR2 Part D Sr no 12 |
| 33 | RBI-Loss of Funding from Financing Facility–Return of Assets | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to potential return of assets. | The run-off rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the value of the assets that are returnable within the LCR horizon. | AR2 Part D Sr no 12 |
| 34 | RBI-Drawdowns on Committed Credit and Liquidity Facilities | Drawdowns on committed credit and liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs and PSEs. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs and PSEs is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties. |
BLR 1 LCR template-C.1 AR2 Part D Sr No 12, Explanatory notes (xvi) |
| 35 | RBI-Draws on Committed Facilities Extended to Banks | Drawdowns on committed credit and liquidity facilities extended to banks. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, for banks, including those subject to prudential regulation. |
BLR 1 LCR template-C.1 AR2 Part D Sr No 12, Explanatory notes (xvi) |
| 36 | RBI-Draws on Committed Facilities Extended to Other Entitiy | Drawdowns on committed credit and liquidity facilities extended to entities other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs and banks. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs and banks is pre-defined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate to all counterparties excluding the aforementioned counterparties. |
BLR 1 LCR template-C.1 AR2 Part D Sr No 12, Explanatory notes (xvi) |
| 37 | RBI - Other Contingent Funding Obligation Outflows | Outflows related to trade finance related instruments. | The outflow rate on the trade finance related instruments is pre-defined as part of this assumption. This assumption applies a 5% run-off on such trade finance obligations. |
BLR 1 LCR template-C.1 AR2 Part D Sr No 12 AR4 Sr no 5 |
| 38 | RBI - Uncommitted Facility Outflows | Drawdowns on uncommitted credit and liquidity facilities extended to customers. | The outflow rate on the undrawn amount available to be drawn down on the uncommitted credit and liquidity facilities extended to customers is pre-defined as part of this assumption. This assumption applies a 0% drawdown on the uncommitted facilities. The drawdown rates are allowed to be updated to reflect the rates specified by national regulators. |
BLR 1 LCR template-C.1 AR2 Part D Sr No 12 AR4 Sr no 5 |
| 39 | RBI- Outflows related to short positions. | Outflows related to customer and bank short positions | The outflow rate on the customer and firm short positions is pre-defined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions. |
AR2 Part D Sr No 12 Explanatory note (xx) AR2 Appendix Para E , Explanatory note (iii) |
| 40. | RBI - Other Contractual Obligations to Non-Financial Customers | Outflows related to other contractual obligations to extend funds within 30 days to retail and non-financial wholesale counterparties. | The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, in excess of 50% of contractual inflows from such customers within the LCR horizon, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount. | AR2 Part D Sr. No. 12 (xviii) |
| Inflows | ||||
| 1 | RBI- Secured lending inflows | Inflows from secured lending transactions excluding collateral swaps. | The inflow rates on the secured lending, excluding collateral swaps, are pre-defined as part of this assumption. This assumption applies the regulatory inflows to secured lending transactions based on the asset level of the collateral received in the form of rollover rates i.e. 1 – run-off rates. |
BLR 1 LCR template-C.1 (June 2014) AR2 Appendix- E, explanatory note (i), (ii) and (iii) |
| 2 | RBI - Collateral Swap Inflows | Inflows from collateral swap transactions. | The inflow rates on collateral swaps are pre-defined as part of this assumption. This assumption applies the inflows applicable to the market value of placed collateral, when the collateral placed under a swap transaction is of a higher quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. |
BLR 1 LCR template-C.1 (June 2014) AR2 Appendix- E, explanatory note (i), (ii) and (iii) |
| 3 | RBI - Drawdowns on Committed Funding Facilities received | Drawdowns on committed facilities received by the bank. | The inflow rate on the undrawn amount available to be drawn down, on the committed credit and liquidity facilities received by the bank, is pre-defined as part of this assumption. This assumption applies a 0% inflow rate on the credit and liquidity lines received by the bank. |
BLR 1 LCR template-C.4 AR2 Part D Sr No 14, Explanatory notes (xxv) and (xxvi) |
| 4 | RBI - Other Inflows from Retail Counterparties | Other inflows from fully performing loans, which have a specified maturity and are extended to retail customers and SMEs treated as retail. | The inflow rate on the fully performing loans with a stated maturity, extended to retail customers and SMEs who are treated like retail customers for the purposes of LCR, is pre-defined as part of this assumption. This assumption applies a 50% rollover i.e. 50% inflow on performing retail loans. |
BLR 1 LCR template-C.5 (June 2014) AR 2 Part D Sr No 13 |
| 5 | RBI - Other Inflows from WSME, NFC, Sov, CB, MDB and PSE | Other inflows from fully performing loans, which have a specified maturity and are extended to small and medium enterprises treated as wholesale (WSME), non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and public sector enterprises (PSE). | The inflow rate on the fully performing loans with a stated maturity, extended to wholesale SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and public sector enterprises is pre-defined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on performing loans from central banks and a 50% rollover that is 50% inflow on those from other non-financial counterparties specified earlier. |
BLR 1 LCR template-C.5 AR 2 Part D Sr No 13 |
| 6 | RBI - Other Inflows from Other Wholesale Counterparties | Other inflows from fully performing loans extended to financial entities, excluding central bank, multilateral development bank and public sector enterprise, and to non-financial wholesale counterparties, excluding corporate, sovereign, central bank, multilateral development bank and public sector enterprise. | The inflow rate on the fully performing loans with a stated maturity, extended to counterparties other than retail, SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and public sector enterprises, is pre-defined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on performing loans from other financial entities and a 50% rollover that is 50% inflow on those from other non-financial counterparties. |
BLR 1 LCR template-C.5 AR 2 Part D Sr No 13 |
| 7 | RBI - Revolving, Non-Maturity and Non-Performing Inflow Excl | Exclusion of inflows from revolving products, products that do not have a specified maturity, and products that are not fully performing. | The exclusion of cash inflows from revolving assets, assets that do not have a stated maturity and assets that are not fully performing is pre-defined as part of this assumption. This assumption applies a 100% rollover on the inflows from such assets. |
BLR 1 LCR template-C.5 AR2 Part D Sr No 13 and 14 |
| 8a | RBI - Open Maturity Loan Minimum Payment Inflows | Inflows due to minimum payments received within the LCR horizon on open maturity loans from all counterparties | The inflow rate on the minimum payments of principal, interest and fee, that are contractually due within the LCR horizon, on an open maturity loan with all counterparties, is pre-defined as part of this assumption. This assumption applies a 50% factor on such minimum payments for retail parties and non-financial counterparties and 100% factor on financial counterparties. |
BLR 1 LCR template-C.5 AR2 Part D Sr No 14 |
| 8b | RBI - Open Maturity Loans-wholesale parties | Inflows due to minimum payments received within the LCR horizon on open maturity loans with wholesale counterparties | The inflow rate on the minimum payments of principal, interest and fee, that are contractually due within the LCR horizon, on an open maturity loan with wholesale counterparties, is pre-defined as part of this assumption. This assumption applies a 100% inflow on such minimum payments with financial parties and 50% inflow with non-financial parties. |
BLR 1 LCR template-C.5 AR2 Part D Sr No 14 |
| 9 | RBI - Operational Deposit Inflows | Inflows from operational deposits held with other financial institutions and deposits held with the centralized institution of a cooperative banking network. | The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are pre-defined as part of this assumption. This assumption applies a 0% inflow on such operational deposits. |
BLR 1 LCR template-C.5 AR2 Part D Sr no 10 |
| 10 | RBI-Derivatives Cash Inflows | Net cash inflows from derivative transactions. | The inflow rate on the 30-day cash inflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives. |
BLR 1 LCR template-C.6 AR2 Part D Sr No 13 |
| 11 | RBI - Non HQLA Security inflows | Inflows from securities not included in the stock of HQLA. | The inflow rate on the performing securities that are excluded from the stock of HQLA is pre-defined as part of this assumption. This assumption applies a 100% inflow on both the principal and interest cash flows from securities classified as Other Assets and securities classified as HQLA but do not meet the eligibility criteria for inclusion in the stock of HQLA. It also applies a 0% inflow rate on non-performing securities and securities that are classified as HQLA and meet the criteria for inclusion in the stock of HQLA, to avoid double counting. | AR2 Part D, Sr No 13, Explanatory Note (xxiii) |
| 12 | RBI - Contractual Interest Inflows | Inflows related to contractual receipt of interest. | The inflow rate on the interest contractually receivable, on fully performing assets other than non-HQLA securities, within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate. | AR2 Part D, Sr No 13, Explanatory Note (xxiii) |
| 13 | RBI - Other Deposit Inflows | Inflows from deposits placed with the central bank or with other banks that are not included as a level 1 asset in the stock of HQLA. | The inflow rate on the deposits held with central banks and other financial institutions maturing within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate. | AR7 Sr. No. 1 Section 5.4 (i) (a) |