Table of Contents
- Title and Copyright Information
- 1.1 Document Control
- 2 About the Guide
- 3 What is New in this Release
- 4 Introduction
-
5
Liquidity Coverage Ratio
Calculation
- 5.1 Inputs
-
5.2
Process Flow
- 5.2.1 Identification of Asset Levels
- 5.2.2 Identification of Eligible HQLA
- 5.2.3 Calculation of Stock of HQLA
- 5.2.4 Classification of Operational Deposits
- 5.2.5 Identification of Deposit Stability
- 5.2.6 Treatment of Lien Marked Deposits
- 5.2.7 Identification of Lien Marked Deposits
- 5.2.8 Treatment of Lien Marked Deposits
- 5.2.9 Calculation of Contractually Required Collateral
-
5.2.10
Calculation of Excess
Collateral
- 5.2.10.1 In Case of Derivatives
- 5.2.10.2 In case of Other Assets and Liabilities
- 5.2.10.3 Calculation of Downgrade Impact Amount
- 5.2.10.4 Calculation of Net Derivative Cash Inflows and Outflows
- 5.2.10.5 Calculation of Twenty Four Month Look-back Amount
- 5.2.10.6 Calculation of Operational Amount
- 5.2.10.7 Calculation of HQLA Transferability Restriction
- 5.2.10.8 Calculation of Net Cash Outflows
- 5.2.10.9 Consolidation
- 5.2.10.10 Calculation of Liquidity under Alternative Liquidity Approach
- 5.2.10.11 Calculation of Liquidity Coverage Ratio
- 5.2.10.12 Significant Currency Liquidity Coverage Ratio Calculation
- 5.2.10.13 Liquidity Risk Monitoring Tools
- 5.3 Pre-configured Regulatory LCR Scenario
- 6 Net Stable Funding Ratio Calculation
-
7
Forward Date Liquidity Risk
Calculation
-
7.1
Overview of Forward Date Liquidity
Risk Calculation
- 7.1.1 Granularity of Forward Records
- 7.1.2 Computation of Forward Dates
- 7.1.3 Computation of Forward Time Buckets
- 7.1.4 Computation of Forward Balances
- 7.1.5 Adjustment of Forward Balance Sheet
- 7.1.6 Forward Balance and Cash Flow Allocation
- 7.1.7 Calculation of Forward Cash Flows
- 7.1.8 Calculation of Forward Liquidity Coverage Ratio
- 7.1.9 Pre-configured Forecasting Rules
-
7.1
Overview of Forward Date Liquidity
Risk Calculation
- A Data Transformations/Functions used in LRRCRBI
- B User Configuration and Settings
- C Prerequisite for RBI LCR Batch Execution
- D Performance Related Configurations for RBI Contractual
- E OFSAA Suport