4.4.3.7.1 Accounts Domiciled in Third Countries with Transfer Restrictions

The HQLA transferability restriction for accounts domiciled in third Countries with transfer restrictions is calculated as follows:

1. The net cash outflows are computed for accounts domiciled in a third country. 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 accounts domiciled in the third country, before applying HQLA caps. OFS LRM 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 third country with restrictions (TCR) as follows:

   Figure 3-26 Minimum Stock of HQLA in TCR

   
   

   

   
   
4. The application computes the restricted HQLA in the third country with restrictions as follows:

   Figure 3-27 Minimum Stock of HQLA

   
   

   

   
   
5. The application assigns the restricted HQLA amount in the third country with restrictions 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 restricted third country.
7. The application calculates the total restricted HQLA amount for each legal entity as the sum of the restricted HQLA due to currency operational restriction, non-convertible currency restriction and third-country restriction at each asset level.
8. The application calculates net cash outflows at the legal entity level.
9. The application calculates stock of Level 1, Level 2A, Level 2B assets at the legal entity level.
10. It calculates the unrestricted stock of Level 1, Level 2A, and Level 2B assets at the legal entity level by deducting the restricted amount for each asset level. The restricted amount is excluded from the stock calculation.
11. The application transfers the unrestricted stock of Level 1, Level 2A, and Level 2B assets to the immediate Parent.
12. Steps 7 to 12 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.