1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Liquidity Coverage Ratio Calculation as Per Delegated Act
  3. Calculation of Contractually Required Collateral
  4. Calculating Excess Collateral
  5. Calculating HQLA Transferability Restriction
  6. Accounts Denominated in Currencies with Operational Restrictions

4.4.3.7.3 Accounts Denominated in Currencies with Operational Restrictions

The HQLA transferability restriction for accounts denominated in currencies with operational restrictions is calculated as follows:
  1. 1. The net cash outflows are computed in the currency for which operational restriction is specified. The consolidation entity is the subsidiary itself in this case. If the subsidiary is a leaf level entity, then the net cash outflow is calculated on a standalone basis.
  2. The restricted and unrestricted stock of Level 1, Level 2A and Level 2B is computed for assets in the currency for which operational restriction is specified. OFS LRM captures the HQLA transferability restriction at an account level through the flag F_TRANSFERABILITY_RESTRICTION.
  3. The application computes available excess HQLA, that is, restricted HQLA due to currency restriction as to the difference between the total stock of HQLA and the maximum permissible HQLA amount in that currency before applying Alternative Liquidity Approach (ALA). The application computes the restricted HQLA in NCC as follows:

    Figure 3-30 Stock of HQLA


    This image displays the Stock of HQLA.

  4. The application assigns the available excess HQLA amount after applying currency operational restrictions in the following order:
    1. First by asset level from least to highest, that is, Level 2B to Level 1.
    2. Next by haircut values within an asset level starting from the highest to least.
  5. The application check if there is any currency for which operational restriction is specified.
  6. Steps 7 to 12 in section Accounts Domiciled in Third Countries with Transfer Restrictions are repeated for each sub-consolidation level within the organization structure of the consolidation entity until the consolidation entity itself.

    Note:

    The allocation of restricted assets is done in the descending order of asset quality to maximize the stock of HQLA.

    This calculation is part of the LCR consolidation process. To get a complete view of the process, see the Consolidation section.