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 Cash Inflows and Outflows
  6. Calculation of Total Cash Inflows

4.4.3.8.1 Calculation of Total Cash Inflows

The application applies the business assumptions, specified on products involving cash inflows, selected as part of the Run. The regulatory assumptions specified in the Regulation Addressed through Business Assumptions section, are predefined and packaged as part of the ready-to-use Run to determine the inflows over the liquidity horizon. The business assumption adjusted Cash Inflows occurring over the liquidity horizon are summed up to obtain the total cash inflow. These include inflows from earning assets such as loans, assets that are not eligible for inclusion in the stock of HQLA, derivatives inflows, and so on.

The business adjusted Cash Inflows calculated according to the above process, are capped to total expected Cash Outflows while calculating Net Cash Outflows. Capping is done according to the following criteria:

  • Inflows in countries with transfer restrictions are capped up to outflows of that country.
  • Inflows in non-convertible currencies are capped up to outflows of that currency.
  • Inflows from the parent or a subsidiary of the legal entity, or another subsidiary of the same parent are capped up to outflows.
  • Inflows from deposits placed within institutional networks are capped up to outflows.
  • Inflows from promotional loans from banks, pass-through loans from MDB or PSE, and pass-through mortgage loans are capped up to outflows.
  • Specialized credit institutions whose primary functions are leasing and factoring and having the primary function to balance sheet ratio of greater than 80% are capped up to outflows from such specialized credit institutions.
  • Specialized credit institutions whose primary functions are Motor Vehicle Financing or Consumer Credit and having the primary function to balance sheet ratio of greater than 80% are capped up to 90% of outflows from such specialized credit institutions.
  • Inflows apart from the above-mentioned conditions are capped up to 75% of the outflows from such transactions.