4.4.3.7.2 Accounts Denominated in Non-convertible Currencies

The HQLA transferability restriction for accounts denominated in non-convertible currencies is calculated as follows:

1. The Net Cash Outflows are computed for accounts in the non-convertible currency. 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 assets in non-convertible currency is computed, before applying HQLA caps. The application captures the HQLA transferability restriction at an account level through the flag F_TRANSFERABILITY_RESTRICTION.
3. The application computes the consolidated HQLA amount in the non-convertible currency (NCC) as follows:

   Figure 3-28 Minimum Stock of HQLA in NCC

   
   

   

   
   
4. The application computes the restricted HQLA in NCC as follows:

   Figure 3-29 Stock of HQLA in NCC

   
   

   

   
   
5. The application assigns the restricted HQLA amount in the non-convertible currency in the following order:
   1. First by asset level starting 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.
6. The application verifies if the legal entity has exposure to any other non- convertible currency.
7. 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.