Table of Contents

• Title and Copyright Information
• 1.1 Document Control
• 2 About the Guide
  • 2.1 Scope of the Guide
  • 2.2 Intended Audience
  • 2.3 Documentation Accessibility
    • 2.3.1 Access to Oracle Support
  • 2.4 Related Information Sources
• 3 What is New in this Release
• 4 Liquidity Coverage Ratio Calculation as Per Delegated Act
  • 4.1 Overview
  • 4.2 Inputs
  • 4.3 Process Flow
    • 4.3.1 Identification of Asset Levels
      • 4.3.1.1 Identifying and Treating Level 1 Assets
      • 4.3.1.2 Identifying and Treating Level 2A Assets
      • 4.3.1.3 Identifying and Treating Level 2B Assets
    • 4.3.2 Identifying Eligible HQLA
    • 4.3.3 Calculating Stock of HQLA
      • 4.3.3.1 Calculating Stock of Liquid Assets
      • 4.3.3.2 Identifying Eligible HQLA on Unwind
      • 4.3.3.3 Unwinding of Transactions Involving Eligible HQLA
      • 4.3.3.4 Calculating Adjusted Stock of HQLA
      • 4.3.3.5 Calculating Excess Liquid Asset Amount
    • 4.3.4 Determining the Maturity of Cash Flows
    • 4.3.5 Classifying Operational Account
    • 4.3.6 Calculating Operational Amount
    • 4.3.7 Deposit Stability Identification
    • 4.3.8 Consolidation
    • 4.3.9 Cash Flow Aggregation
    • 4.3.10 Business Assumption
  • 4.4 Calculation of Contractually Required Collateral
    • 4.4.1 For Derivatives
      • 4.4.1.1 Calculating Contractually Due Collateral
      • 4.4.1.2 Calculating Contractually Receivable Collateral
    • 4.4.2 For Other Assets and Liabilities
      • 4.4.2.1 Calculating Contractually Due Collateral
      • 4.4.2.2 Calculating Contractually Receivable Collateral
    • 4.4.3 Calculating Excess Collateral
      • 4.4.3.1 For Derivatives
        • 4.4.3.1.1 Calculating Excess Collateral Due
        • 4.4.3.1.2 Calculating Excess Collateral Receivable
      • 4.4.3.2 For Other Assets and Liabilities
        • 4.4.3.2.1 Calculating Excess Collateral Due
        • 4.4.3.2.2 Calculating Excess Collateral Receivable
      • 4.4.3.3 Calculating Downgrade Impact Amount
        • 4.4.3.3.1 Calculating Downgrade Impact Amount for Derivatives
        • 4.4.3.3.2 Calculating Downgrade Impact Amount for Other Liabilities
      • 4.4.3.4 Calculating Net Derivative Cash Inflows and Outflows
        • 4.4.3.4.1 Cash Flow Netting at Derivative Contract Level
        • 4.4.3.4.2 Cash Flow Netting at Netting Agreement Level
      • 4.4.3.5 Calculating Twenty-Four Month Look-back Amount
      • 4.4.3.6 Calculating Operational Amount
      • 4.4.3.7 Calculating HQLA Transferability Restriction
        • 4.4.3.7.1 Accounts Domiciled in Third Countries with Transfer Restrictions
        • 4.4.3.7.2 Accounts Denominated in Non-convertible Currencies
        • 4.4.3.7.3 Accounts Denominated in Currencies with Operational Restrictions
      • 4.4.3.8 Calculating Cash Inflows and Outflows
        • 4.4.3.8.1 Calculation of Total Cash Inflows
        • 4.4.3.8.2 Calculation of Total Cash Outflows
        • 4.4.3.8.3 Calculation of Net Cash Outflows
      • 4.4.3.9 Alternative Liquidity Approaches
        • 4.4.3.9.1 Option 1
        • 4.4.3.9.2 Option 2
        • 4.4.3.9.3 Option 3
      • 4.4.3.10 Home-Host Configuration
        • 4.4.3.10.1 Home-Host Treatment Run
        • 4.4.3.10.2 Define a Home-Host Run
        • 4.4.3.10.3 Run Definition Approval Process
        • 4.4.3.10.4 Adding a Custom Task to a Run
        • 4.4.3.10.5 Preparing for Execution
        • 4.4.3.10.6 Run Execution Parameters
        • 4.4.3.10.7 Executing a Run
        • 4.4.3.10.8 Run Execution Summary
      • 4.4.3.11 Interdependent Cash Flows (LCR)
      • 4.4.3.12 Calculation of Liquidity Coverage Ratio
    • 4.4.4 Preconfigured Regulatory LCR Scenario
      • 4.4.4.1 Regulation Addressed through Business Assumptions
      • 4.4.4.2 Regulation Addressed through Business Rules
• 5 Net Stable Funding Ratio Calculation as Per Capital Requirements Regulation
  • 5.1 Asset Reclassification Rules
  • 5.2 Business Assumptions
  • 5.3 Interdependent Assets and Liabilities
  • 5.4 Preconfigured Regulatory LCR Scenario
    • 5.4.1 Regulation Addressed through Business Assumptions
    • 5.4.2 Required Stable Funding Factor
    • 5.4.3 Derivatives
• A Appendix A: Data Transformations/Functions used in LRRCEBA
• B Appendix B: User Configuration and Settings
• C Appendix C: Performance Recommendations for EBA
• D OFSAA Suport
  • D.1 Send Us Your Comments