4.4.4.1 Regulation Addressed through Business Assumptions
The list of Preconfigured Business Assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:
Table 3-11 Preconfigured LCR Business Assumptions
| Sl. No. | Assumption Name | Assumption Description | Regulatory Requirement Addressed | COMMISSION DELEGATED REGULATION (EU) 2015/61 |
|---|---|---|---|---|
| Inflows | ||||
| 1 | EBA DA-Unsecured interest inflow from non-financial customer | Interest and other fee-related inflows from unsecured lending to the financial customers. | The inflow rate on the interest and fees from fully performing loans with a stated maturity, extended to retail customers, SMEs, non-financial corporates, sovereigns, multilateral development banks, public sector enterprises, and other non-financial customers, is predefined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on the interest and fee from performing loans. | Article 32 Paragraph (3)(a) |
| 2 | EBA DA-Inflows from open maturity assets excl. credit cards | Inflows from open maturity assets like loans, leases, overdrafts excluding credit cards. | The inflow rate on open maturity loans, leases, and overdrafts, that are contractually due within the LCR horizon, is predefined as part of this assumption. This assumption applies an 80% rollover that is 20% inflow on such assets. | Article 32 Paragraph (3)(i) |
| 3 | EBA DA-Inflows from credit cards | Inflows due to minimum payments received on credit cards within the LCR horizon. | The inflow rate on the minimum payments, that are contractually due within the LCR horizon, on open maturity credit cards, is predefined as part of this assumption. This assumption applies a 20% inflow on minimum payments for credit cards. | Article 32 Paragraph (3)(i) |
| 4 | EBA DA-Inflows from operational deposits | Inflows from operational deposits held with other financial institutions for clearing or cash management or custody management purposes. | The inflow rates on the deposits held in operational accounts with other financial institutions, for clearing, custody, or cash management, are predefined as part of this assumption. This assumption applies a 25% inflow on such operational deposits placed by the bank. | Article 32 Paragraph (3)(d), Article 27 Paragraph (1) |
| 5 | EBA DA-Inflows from an IPS or a cooperative network | Inflows from operational deposits, held within a co-operative banking network or an institutional protection scheme, to obtain cash clearing or central credit institution services or common task sharing. | The inflow rate on the deposits, placed by a member institution with the central institution or a specialized central service provider of an institutional network of co-operative banks, maintained for operational services are predefined as part of this assumption. This assumption applies a 25% inflow on such deposits used for common task-sharing that are not considered HQLA by the depositing institution, whereas a 100% inflow is applied on the portion that is considered as HQLA. Additionally, this assumption applies a 25% inflow on such deposits used for clearing and central institution services. | Article 32 Paragraph (3)(d) , Article 27 Paragraph (1) |
| 6 | EBA DA-Inflows from the non-op portion of operational accounts | Inflows from the non-operational portion of an operational account held with financial entities. | The inflow rate on the non-operational portion of deposits held in operational accounts, with other financial institutions, is predefined as part of this assumption. This assumption applies a 25% inflow on such deposits. | Article 32 Paragraph (3)(d) |
| 7 | EBA DA-Unsecured non-operational inflows from financial cust | Inflows from central banks and unsecured lending to financial customers, other than operational deposits, and central banks. | The inflow rate on unsecured assets, other than operational deposits, from central banks and financial customers, is predefined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on assets specified earlier. | Article 32 Paragraph (2)(a) |
| 8 | EBA DA-Inflows from trade finance and securities | Inflows from trade financing transactions with financial entities and securities issued by financial entities maturing within the LCR horizon. | The inflow rates on trade financing transactions with financial entities and securities issued by financial entities maturing within the LCR horizon are predefined as part of this assumption. This assumption applies a 100% inflow on the EOP balances of such accounts. |
Article 32 Paragraph (2)(a) (i) and (ii) |
| 9 | EBA DA-Inflows from major index equity positions | Inflows, excluding dividends, from major index equity positions which are not included in the stock of HQLA. | The inflow rate on unsettled major index equity positions, excluding dividends, which are not included in the stock of HQLA, is predefined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on such unsettled equity positions. | Article 32 Paragraph (2)(b) |
| 10 | EBA DA-Secured inflows where collateral covers shorts | Inflows from secured lending transactions where the collateral received are used to cover customer or firm short positions. | The inflow rate on secured lending transactions, where the collateral received is used to cover customer or firm short positions is predefined as part of this assumption. This assumption applies a 0% inflow on the EOP balances of such secured lending transactions. | Article 32 Paragraph (3) (b) and (f) |
| 11 | EBA DA-Unsecured principal inflow from non-financial customer | Principal inflows from unsecured lending to non-financial customers. | The inflow rate corresponding to the principal on the fully performing loans, with a stated maturity, extended to retail customers, SMEs, non-financial corporates, sovereigns, multilateral development banks, public sector enterprises, and other non-financial customers, is predefined as part of this assumption. This assumption applies a 100% inflow on the unsecured lending dues. Unsecured lending dues are calculated by subtracting, from the inflows due from such customers, the higher of the maximum of contractual obligation to extend funds, and 50% of the principal inflows within 30 days. | Article 32 Paragraph (3) (a) |
| 12 | EBA DA-Secured lending Run-off collateralized by another asset | Inflows from secured lending transactions excluding collateral swaps, which are collateralized by other assets that is non-high quality liquid assets. | The inflow rates on secured lending, excluding collateral swaps, collateralized by non- high-quality liquid assets that are not used to cover short positions, are predefined as part of this assumption. This assumption applies a 100% inflow to the secured lending inflow amount. The secure lending inflow amount is calculated by deducting the haircut adjusted value of collateral received from the EOP balance. | Article 32 Paragraph (3) (b) |
| 13 | EBA DA-Draws on committed funding facilities by the central bank | Drawdowns on committed facilities received by the bank from central banks. | The inflow rate on the undrawn amount available to be drawn down, on all committed facilities received by the bank from central banks, is predefined as part of this assumption. This assumption applies a 0% inflow rate when the committed facilities are recognized as HQLA and a 100% inflow rate when they are not recognized as HQLA. | Article 32 Paragraph (3) (g) |
| 14 | EBA DA-Committed funding facilities draws excl. central bank | Drawdowns on committed facilities received by the bank from all entities except central banks. | The inflow rate on the undrawn amount available to be drawn down, on the committed credit, liquidity, and other facilities received by the bank, from entities other than central banks, is predefined as part of this assumption. This assumption applies a 0% inflow rate on the credit and liquidity lines that do not meet additional criteria for higher inflows and a 100% inflow when they meet the additional criteria for higher inflows. Additionally, it applies a 0% inflow on other facilities received by the bank. | Article 32 Paragraph (3) (g) , Article 34 |
| 15 | EBA DA-Derivative cash inflows | Net cash inflows expected over 30 days from derivative transactions. | The inflow rate on the 30-day cash inflows from derivative transactions, net of collateral, is predefined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives, which are part of a netting agreement, and on a non-net basis for other derivatives. | Article 32 Paragraph (5) |
| 16 | EBA DA-Secured lending Run-off collateralized by HQLA | Inflows from secured lending transactions excluding collateral swaps, which are collateralized by high-quality liquid assets. | The inflow rates on the secured lending, excluding collateral swaps, which are collateralized by HQLA that are not used to cover short positions, are predefined as part of this assumption. This assumption applies a 100% inflow to a secured lending inflow amount. Secure lending inflow amount is calculated by deducting the haircut adjusted value of collateral received from the EOP balance. | Article 32 Paragraph (3) (b) |
| 17 | EBA DA-Inflows from collateral swap | Inflows from collateral swap transactions. | The inflow rates on the collateral swaps are predefined as part of this assumption. This assumption applies the inflows applicable to the market value of placed collateral, when the collateral placed under a swap transaction is of a higher quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. A 0% inflow rate is applied when the underlying asset received is used for covering short positions. | Article 32 Paragraph (3) (e) |
| 18 | EBA DA-Dividend inflows from major index equities | Dividend inflows from major index equity positions which are not included in the stock of HQLA | The inflow rate on dividends from major index equity positions that are not included in the stock of HQLA are predefined as part of this assumption. This assumption applies a 0% rollover that is 100% inflow on dividend receivable. | Article 32 Paragraph (2) (b) |
| 19 | EBA DA-Liquid asset exclusion | Exclusion of inflows from liquid assets that are included in the stock of HQLA. | The inflow rate on the liquid assets that are included in the stock of HQLA is predefined as part of this assumption. This assumption applies a 100% rollover that is 0% inflow on such assets. | Article 32 Paragraph (6) |
| 20 | EBA DA-Inflows from promotional loan commitments | Inflows from commitments received from banks, MDBs and PSEs, related to the disbursement of promotional loans to the retail and non-financial customers. | The inflow rate on promotional loan commitments received from banks, multilateral development banks, and public sector enterprises for disbursement to retail and non-financial customers, are predefined as part of this assumption. This assumption applies a 5% drawdown on the available undrawn amount for promotional loans to retail customers and a 30 % drawdown for the promotional loan to non-financial customers. | Article 32 Paragraph (3) (a) |
| 21 | EBA DA-Release of balance held in segregated account | The inflow rate on the release of balances held in segregated accounts that are maintained as HQLA. | The inflow rate on the release of balances held in segregated accounts that are maintained as HQLA is predefined as part of this assumption. This assumption applies a 100% inflow on EOP balances. | Article 32 Paragraph (4) |
| 22 | EBA DA-Draws on committed funding facilities by central bank | Drawdowns on committed facilities received by the bank from central banks. | The inflow rate on the undrawn amount available to be drawn down, on all committed facilities received by the bank from the central bank, is predefined as part of this assumption. This assumption applies a 0% inflow rate when the committed facilities are recognized as HQLA, whereas 100% inflow is applied when the committed facilities are not recognized as HQLA. | Article 32 Paragraph (3) (g) |
| Outflows | ||||
| 23 | EBA DA-Penalty free highly stable retail deposit Run-off | Run-off rates on the penalty-free portion of highly stable term deposits maturing beyond 30 days that can be withdrawn without incurring a penalty and are treated as demand deposits, from retail customers and SMEs treated as retail. | The outflow rate on the portion of highly stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for LCR, is predefined as part of this assumption. This assumption applies a 3% Run-off on the penalty-free portion of highly stable deposits maturing beyond the LCR horizon of 30 days that can be withdrawn without incurring a penalty. | Article 24 Paragraphs (1) to (3), Article 25 Paragraph (2) (d), Article 25 Paragraph (4), Article 25 Paragraph (5) |
| 24 | EBA DA-Penalty free stable retail deposit Run-off | Run-off rates on the penalty-free portion of stable term deposits maturing beyond 30 days that can be withdrawn without incurring a penalty and are treated as demand deposits, from retail customers and SMEs treated as retail. | The outflow rate on the portion of stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for LCR, is predefined as part of this assumption. This assumption applies a 5% Run-off on the portion of stable retail deposits maturing beyond the LCR horizon that can be withdrawn without incurring a penalty. | Article 24 Paragraphs (1) to (3), Article 25 Paragraph (2) (d), Article 25 Paragraph (4), Article 25 Paragraph (5) |
| 25 | EBA DA-Penalty free less stable retail deposit Run-off | Run-off rates on the penalty-free portion of less stable term deposits maturing beyond 30 days, that can be withdrawn without incurring a penalty and are treated as demand deposits, from retail customers and SMEs treated as retail. | The outflow rate on the portion of less stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for LCR, is predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of less stable retail deposits maturing beyond the LCR horizon that can be withdrawn without incurring a penalty. | Article 24 Paragraphs (1) to (3), Article 25 Paragraph (2) (d), Article 25 Paragraph (4) (b), Article 25 Paragraph (5) |
| 26 | EBA DA-Insured operational balance Run-off | Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities, that is fully covered by deposit insurance. | The outflow rate on the insured portion of the balance held in operational accounts, with other financial institutions, for clearing, custody and cash management, is predefined as part of this assumption. This assumption applies a 5% Run-off on insured operational balances that are not covered by deposit insurance | Article 27 Paragraph (1)(a), (2), and (4) |
| 27 | EBA DA-Uninsured operational balance Run-off | Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities, that are not covered by deposit insurance. | The outflow rate on the uninsured portion of the balance held in operational accounts, with other financial institutions, for clearing, custody and cash management, is predefined as part of this assumption. This assumption applies a 25% Run-off on uninsured operational balances that are not covered by deposit insurance. | Article 27 Paragraph (1)(a), (2), and (4) |
| 28 | EBA DA-Established relationship operational deposit Run-off | Outflows from operational deposits, maintained in the context of an established operational relationship with non-financial customers, excluding those held for clearing, custody and cash management purposes. | The outflow rate on deposits held in operational accounts, maintained in the context of an established operational relationship with non-financial customers, excluding those held for clearing, custody and cash management purposes, is predefined as part of this assumption. This assumption applies a 25% Run-off on the operational portion of such operational deposits. | Article 27 Paragraph (1) (c) , Paragraph (4), and Paragraph (6) |
| 29 | EBA DA-Run-off on operational deposits held within a network | Outflows from operational deposits, held within a co-operative banking network, or an institutional protection scheme, to obtain cash clearing or central credit institution services or common task sharing. | The outflow rate on deposits, placed by a member institution with the central institution or specialized central service providers of an institutional network of co-operative banks, maintained for operational services, are predefined as part of this assumption. This assumption applies a 25% Run-off on such deposits used for common task-sharing that are not considered HQLA by the depositing institution whereas 100% Run-off is applied on the portion that is considered as HQLA. Additionally, this assumption applies a 25% Run-off on such deposits used for clearing and central institution services. | Article 27 paragraph (1) (b) and (d), Paragraph (3), and Paragraph (4) |
| 30 | EBA DA-Run-off on CB and PB deposits | Outflows from deposits arising out of correspondent banking (CB) relationship or from prime brokerage (PB) services. | The outflow rates on deposits arising out of correspondent banking relationships or from prime brokerage services are predefined as part of this assumption. This assumption applies a 100% Run-off on the EOP balance of such deposits. | Article 27 Paragraph (5) |
| 31 | EBA DA-Run-off from issued debt security | Run-off rate of 100% is applied on debt securities issued by the bank, that are neither sold exclusively in the retail market nor held in the retail account. Whereas debt securities issued by the bank, that are sold exclusively in the retail market and held in the retail account, are treated as retail deposits. | The outflow rates on the debt securities issued by the bank itself are predefined as part of this assumption. This assumption applies a 90% rollover that is 10% Run-off on issued securities that are sold exclusively in the retail market and held in retail accounts, and 0% rollover that is 100% Run-off on all other issued securities. | Article 28 Paragraph (6), Article 25 |
| 32 | EBA DA-Rating downgrade related collateral outflow | Additional collateral outflow due to a material deterioration in the credit quality of an entity corresponding to a 3-notch rating downgrade. | The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch rating downgrade, is predefined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch rating downgrade. | Article 30 Paragraph (2) |
| 33 | EBA DA-Re-hypothecation rights lost due to rating downgrade | Additional collateral outflow arising from a loss of rehypothecation rights on assets received as collateral due to a material deterioration in the credit quality of an entity corresponding to a 3-notch ratings downgrade. | The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers that result in a loss of rehypothecation rights due to a 3-notch rating downgrade, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade. | Article 30 Paragraph (2) |
| 34 | EBA DA-Outflow of excess collateral | Additional collateral outflow corresponding to the excess collateral received that can be contractually recalled by the counterparty. | The outflow rate on the excess unsegregated collateral held by a bank, which can be potentially withdrawn by the counterparty, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral. | Article 30 Paragraph (6) (a) |
| 35 | EBA DA-Outflow of contractually due collateral | Additional collateral outflow corresponding to the collateral that is contractually required to be posted to the counterparty but has not yet been posted. | The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral. | Article 30 Paragraph (6) (b) |
| 36 | EBA DA-Funding loss on structured financing facilty and prod | Loss of funding on asset-backed securities, covered bonds, and other structured financing instruments. It also covers loss of funding on asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities due to the inability to refinance maturing debt. | The Run-off rate on the maturing asset-backed securities, covered bonds, and other structured financing instruments is predefined as part of this assumption. Additionally, the assumption outflows on the maturing amount of asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities are covered as part of this assumption. This assumption applies a 100% Run-off on the EOP balance of such structured instruments that mature within the LCR horizon. | Article 30 Paragraph (8) and (9) |
| 37 | EBA DA-Funding loss from financing facility-return of assets | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities due to potential return of assets. | The outflow rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities is predefined as part of this assumption. This assumption applies a 100% Run-off on the value of the assets that are returnable within the LCR horizon. | Article 30 Paragraph (9) |
| 38 | EBA DA-Outflows from trade finance instruments | Outflows from trade finance related instruments. | The outflow rate on the trade finance related instruments is predefined as part of this assumption. This assumption applies a 5% Run-off on such trade finance obligations. Additionally, it applies a 0% Run-off on instruments that are not used for trade finance obligation related activities. | Article 23 Paragraph (1) (h) |
| 39 | EBA DA-Outflows from non-contractual obligations | Outflows from non-contractual obligations including joint ventures, minority investments, debt buy-back requests, structured products, and managed funds. | The outflow rate on the non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations is predefined as part of this assumption. This assumption applies a 0% outflow rate on non-contractual obligations. The outflow rate can be updated to reflect the rates specified by competent authorities. | Article 2 Paragraph (1) (a) to (e), Article 23 Paragraph (2) |
| 40 | EBA DA-Drawdown on undrawn loans | Drawdown on the undrawn portion of loans and advances to wholesale counterparties, mortgages, credit cards and overdrafts. | The outflow rate on the undrawn portion of credit cards, overdrafts, mortgages, and loans to wholesale counterparties is predefined as part of this business assumption. This assumption applies a 0% outflow rate on the undrawn portion of such contractual obligations. The outflow rate can be updated to reflect the rates specified by competent authorities. | Article 23 Paragraph (1) (f) |
| 41 | EBA DA-Outflows from loan renewals and extensions | Outflows from the available undrawn amount, related to other contractual obligations to extend funds within 30 days to financial institutions. | The outflow rate on contractual obligations to extend funds to retail and non-financial corporate customers, more than contractual inflows from such customers, within the LCR horizon, is predefined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount. | Article 23 Paragraph (1) (f) |
| 42 | EBA DA-Securities borrowed on an unsecured basis outflows | Run-off on securities, borrowed on an unsecured basis, maturing within 30 days, which are received in the form of collateral. | The outflow rate on securities borrowed on an unsecured basis that are received in the form of collateral maturing within 30 days is predefined as part of this assumption. This assumption applies a 100% Run-off on the market value of collateral received as borrowed securities that are included in the stock of HQLA and 0% Run-off when it is not included in the stock of HQLA. | Article 30 Paragraph (11) |
| 43 | EBA DA-Stable retail deposits Run-off | Run-offs on the stable portion of deposits from retail customers and SMEs treated as retail. | The outflow rate on the stable portion of deposits, from retail customers and SMEs treated as retail customers, for LCR, is predefined as part of this assumption. This assumption applies a 5% Run-off on the stable portion of retail deposits, which do not meet the additional requirements for deposit insurance schemes, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. | Article 24 Paragraphs (1) to (3), Article 25 Paragraph (2) (d), Article 25 Paragraph (4) (b), Article 25 Paragraph (5) |
| 44 | EBA DA-Highly stable retail deposits Run-off | Run-offs on the highly stable portion of deposits from retail customers and SMEs treated as retail. | The outflow rate on the highly stable portion of deposits, from retail customers, and SMEs treated as retail customers for LCR, is predefined as part of this assumption. This assumption applies a 3% Run-off on the stable portion of retail deposits, which meet the additional requirements for deposit insurance schemes, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. | Article 24 Paragraphs (1) to (6), Article 25 Paragraph (2) (d), Article 25 Paragraph (4) (b), Article 25 Paragraph (5) |
| 45 | EBA DA-Less stable retail deposits Run-off | Run-offs on the less stable portion of deposits from retail customers and SMEs treated as retail. | The outflow rate on the less stable portion of deposits, from retail customers and SMEs, treated as retail customers for LCR, is predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits, which do not meet the deposit stability criteria, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. | Article 25 Paragraph (1), Article 25 Paragraph (2) (d), Article 25 Paragraph (4) (b), Article 25 Paragraph (5) |
| 46 | EBA DA-High Run-off category 1 retail deposits Run-off | Run-offs on the portion of deposits from retail customers and SMEs treated as retail that is eligible for category 1 high Run-offs. | The outflow rate on the deposits, from retail customers and SMEs treated as retail customers for LCR, that qualify for higher Run-offs is predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits that qualify for category 1 higher Run-offs, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. | Article 25 Paragraph (3) (a), Article 25 Paragraph (2) (d), Article 25 Paragraph (4), Article 25 |
| 47 | EBA DA-High Run-off category 2 retail deposits Run-off | Run-offs on the portion of deposits from retail customers and SMEs treated as retail that is eligible for category 2 high Run-offs. | The outflow rate on the deposits, from retail customers and SMEs treated as retail customers for LCR, that qualify for higher Run-offs is predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits that qualify for category 2 higher Run-offs, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. | Article 25 Paragraph (3) (b), Article 25 Paragraph (2) (d), Article 25 Paragraph (4), Article 25 |
| 48 | EBA DA-Outflow from cancelled deposits | Outflows from the cancelled deposit with a residual maturity of fewer than 30 days where pay-out has been agreed. | The outflow rate on the canceled deposits, with a residual maturity of fewer than 30 days and where the pay-out has been agreed, is predefined as part of this assumption. This assumption applies a 100% Run-off on such canceled deposits. | Article 25 Paragraph (4) |
| 49 | EBA DA-Outflows on unsecured non-operational funding | Outflows on the funding, provided by non-financial customers, sovereigns, central banks, MDB, PSE, credit unions, personal investment companies, or deposit brokers, that is not classified as an operational deposit. | The Run-off rates on the cash flows, from unsecured funding, that is not classified as an operational deposit, received from non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions, personal investment companies or deposit brokers, are predefined as part of this assumption. This assumption applies an 80% rollover that is 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover that is 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | Article 28 Paragraph (1) |
| 50 | EBA DA-Outflows on uninsured non-op portion of Op account | Outflows on the uninsured portion of the non-operational balance of funding, classified as an operational deposit, provided by non-financial customers, sovereigns, central banks, MDB, PSE, credit unions, personal investment companies, or deposit brokers. | The Run-off rates on the uninsured portions of the non-operational balances held in operational accounts are predefined as part of this assumption. This assumption applies a 40% Run-off on the uninsured non-operational balances provided by non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions, personal investment companies, or deposit brokers. | Article 28 Paragraph (1) |
| 51 | EBA DA-Outflows on insured non-op portion of op account | Outflows on the insured portion of the non-operational balance of funding, classified as an operational deposit, provided by non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions, personal investment companies or deposit brokers. | The Run-off rates on the insured portions of the non-operational balances held in operational accounts are predefined as part of this assumption. This assumption applies a 20% Run-off on insured non-operational balances provided by non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions, personal investment companies, or deposit brokers. | Article 28 Paragraph (1) |
| 52 | EBA DA-Outflows from substitutable collateral | Additional outflows from contracts that allow a counterparty to substitute collateral classified as liquid assets for non-liquid collateral. | The outflow rate on the collateral classified as HQLA that the counterparty can contractually substitute with collateral classified as other assets is predefined as part of this assumption. This assumption applies a 100% outflow rate on the market value of received collateral for collateral substitution fulfilling the above-mentioned criteria. | Article 30 Paragraph (6) (c) |
| 53 | EBA DA-Additional outflow due to adverse market scenario | Additional outflow on collateral arising from the impact of adverse market conditions on derivatives and other transactions. | The outflow rate on the collateral outflows occurring due to market valuation changes, on derivatives and other transactions is predefined as part of this assumption. This assumption applies a 100% outflow rate on the additional collateral amount for derivatives. The additional collateral amount for derivatives is calculated as the higher of internal model-based advanced method additional collateral amount and historical method based 24-month lookback amount. | Article 30 Paragraph (3) |
| 54 | EBA DA-Draws on committed liquidity facilities | Drawdowns on committed liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, multilateral development banks, public sector entities, personal investment companies, special purpose entities, and banks. | The outflow rate on the undrawn amount available to be drawn down on the committed liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, multilateral development banks, public sector entities, personal investment companies, special purpose entities, and banks is predefined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type. | Article 31 |
| 55 | EBA DA-Draws on committed credit facilities | Drawdowns on committed credit facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, multilateral development banks, and public sector entities. | The outflow rate on the undrawn amount available to be drawn down on the committed credit facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs and PSEs, is predefined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type. | Article 31 |
| 56 | EBA DA-Draws on committed facilities to financial inst | Drawdowns on committed credit facilities extended to financial customers including banks and liquidity facilities extended to financial customers excluding banks. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to financial customers is predefined as part of this assumption. This assumption applies a 40% drawdown rate on credit facility extended to financial customers that are regulated and 100% drawdown rate for financial customers that are not regulated. Additionally, it applies 100% drawdown rate on liquidity facilities extended to all financial customers except banks. | Article 31 |
| 57 | EBA DA-Additional outflow due to change in collateral value | Additional outflows on derivative contracts due to potential changes in the value of collateral posted which is classified as a Level 1 covered bond, Level 2A asset, Level 2B asset, or other assets. | The outflow rate on derivative contracts, due to potential changes in the value of posted collateral is predefined as part of this assumption. This assumption applies a 10% outflow rate on the market value of the placed collateral classified as Level 1 covered bonds, and a 20% outflow rate on the market value of placed collateral classified as Level 2A asset, Level 2B asset or other assets. | Article 30 Paragraph (1) |
| 58 | EBA DA-Derivative cash outflows | Net cash outflows expected over 30 days from derivative transactions. | The outflow rate on the 30-day cash outflows from derivative transactions, net of collateral, is predefined as part of this assumption. This assumption applies a 100% outflow on derivatives cash outflows, on a net basis in case of derivatives, which are part of a netting agreement, and on a non-net basis for other derivatives. | Article 30 Paragraph (4) |
| 59 | EBA DA-Outflows from collateral swap | Outflows on collateral swap transactions. | The Run-off rates on collateral swaps are predefined as part of this assumption. This assumption applies the Run-offs applicable to the market value of received collateral, when the collateral received under a swap transaction is of a higher quality than the collateral placed, as the difference between the liquidity haircuts applicable to the received and placed collateral. | Article 28 Paragraph (4) |
| 60 | EBA DA-Secured funding Run-off | Run-off on secured wholesale funding, excluding collateral swaps, received from sovereigns, central banks, multilateral development banks, and PSEs. | The Run-off rates on the secured funding, excluding collateral swaps, received from sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies the regulatory Run-offs applicable to each counterparty type in the form of rollover rates that is 1 – Run-off rates. | Article 28 Paragraph (3) |
| 61 | EBA DA-Outflows on secured funding from other counterparties | Run-off on secured wholesale funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks by placing collateral classified as other assets. | The Run-off rates on the secured funding, excluding collateral swaps, received from all counterparties other than sovereigns, central banks, multilateral development banks, and PSEs having risk weight <= 20 %, by placing collateral classified as other assets, are predefined as part of this assumption. This assumption applies a 0% rollover that is 100% outflow. | Article 28 Paragraph (3) |
| 62 | EBA DA-Draws on committed facilities to banks and networks | Drawdowns on committed credit facilities extended to intra-institutional networks and promotional loans and liquidity facilities extended to intra-institutional networks and banks excluding SPEs. |
The outflow rate on the undrawn amount available to be drawn down on the committed credit facilities extended to intra-institutional networks and promotional loans and liquidity facilities extended to intra-institutional networks, and banks excluding SPEs, is predefined as part of this assumption. This assumption applies a 75% drawdown rate on credit facilities treated as HQLA by the customer that are extended to intra-institutional networks. This assumption also applies a 5% drawdown rate on credit facilities extended as promotional loans to retail customers and a 10% drawdown rate on promotional loans to financial customers. Additionally, it applies a 75% drawdown rate on liquidity facilities treated as HQLA by customers that are extended to intra-institutional networks. This assumption also applies a 5% drawdown rate on liquidity facilities extended as promotional loans to retail customers, a 30% drawdown rate on promotional loans to financial customers, and a 40% drawdown on other purposes for banks excluding SPEs. |
Articles 29(1), 29(2), 31(7), and 31(9) |
| 63 | EBA DA-Additional outflows from short positions | Additional outflows related to short positions which are required to be delivered within 30 days. | The outflow rate on the customer and firm short positions is predefined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions. | Article 30(5) |
| 64 | EBA DA-Run-off on operational deposits held within a network | Outflows from operational deposits, held within a co-operative banking network or an institutional protection scheme, to obtain cash clearing or central credit institution services or common task sharing. |
The outflow rate on deposits, placed by a member institution with the central institution or specialized central service providers of an institutional network of co-operative banks, maintained for operational services, are predefined as part of this assumption. This assumption applies a 25% Run-off on such operational deposits used for common task-sharing that are included in the stock of HQLA whereas 100% Run-off is applied on the portion that is excluded from the stock of HQLA. Additionally, this assumption applies a 25% Run-off on such operational deposits used for clearing and central institution services. |
Article 27 paragraph (1) (b) and (d), Paragraph (3), and Paragraph (4) |
| 65 | EBA DA-Derivative cash outflows | Net cash outflows expected over 30 days from derivative transactions. | The outflow rate on the 30-day cash outflows from derivative transactions is predefined as part of this assumption. This assumption applies a 100% outflow on derivatives cash outflows, on a net basis in case of derivatives, which are part of a netting agreement, and on a non-net basis for other derivatives. | Article 30 Paragraph (4) |
| 66 | EBA DA-Outflow of excess collateral | Additional collateral outflow corresponding to the excess collateral received that can be contractually recalled by the counterparty. | The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral. | Article 30 Paragraph (6) (a) |
| 67 | EBA DA-Secured funding Run-off for central banks | Outflows from secured funding transactions other than collateral swaps where a central bank is a counterparty. | This assumption specifies the factor for secured funding transactions where the counterparty is a central bank. A 100% rollover rate is predefined as a part of this assumption. | Article 32 |
| 68 | EBA DA-Outflows from collateral swaps with central banks | Outflows from collateral swaps where a central bank is a counterparty. | This assumption specifies the factor for outflows on collateral swaps where the counterparty is a central bank. A 100% Run-off rate is predefined as a part of this assumption. | Article 28 |