4.4.3.10 Home-Host Configuration

Home or Host treatment applies to a group of credit institutions which are domiciled in different regions, to apply the liquidity coverage ratio either based on home regulation or host regulation, whichever is more stringent. This treatment is applicable for HQLA, Inflows, and Outflows as explained in the following points. The home or host treatment can be applied as a separate Run within the application. Under Home or Host treatment the application evaluates and computes:

• HQLA

  For each of the assets, the home level and the host level are compared, through the haircut applied for each asset. The home asset level is as computed using the application, whereas the host level and haircuts are taken as a download. The greater haircut is applied to the asset and the corresponding asset level is updated.

  Note:

  You can provide the host HQLA data either as a download in the table fsi_lrm_host_acct_hqla_level, or you can configure the host HQLA rules. The sample HQLA rule LRM - Host - HQLA Level 1 - Sovereign, Central Bank, and MDB Issued Zero Risk Weight Securities, is seeded in the application. If you choose to give the HQLA data as a download in the table fsi_lrm_host_acct_hqla_level, ensure to remove the seeded rule LRM - Host - HQLA Level 1 - Sovereign, Central Bank, and MDB Issued Zero Risk Weight Securities from the run.

  The sample host haircuts have been seeded in the assumption Host HQLA Haircuts. This assumption has to be reconfigured based on the host regulations.

• Outflows

  For each combination of dimensions, the home outflow rate is compared to the host outflow rate and the greater rate is applied.

• Inflows

  For each combination of dimensions, the home inflow rate is compared to the host inflow rate and the lesser rate is applied.