16.1.8 Calculating Forward Liquidity Coverage Ratio

Once the forward balances and cash flows are computed for multiple forward dates as part of the forward date liquidity risk contractual Run, the application computes the Liquidity Coverage Ratio (LCR) like that followed for the spot calculations currently. The calculation of LCR is done as part of the BAU Run where the regulatory scenario is applied and its impact on inflows, outflows, and stock of HQLA is assessed. The application currently supports forward LCR calculation as per US Federal Reserve and the pre-packaged US regulatory scenario can be used to compute forward LCR under regulatory inflow and outflow rates. For details on LCR computations as per US Federal Reserve, see the Liquidity Coverage Ratio Calculation section.

The application also allows users to apply stress scenarios over and above the baseline regulatory scenario to assess the impact of the stress of varying magnitudes on a bank’s LCR. This is as per the current stress testing functionality supported by OFS Liquidity Risk Management. Refer to the Run Type section of the OFS Liquidity Risk Measurement and Management User Guide for more details on stress testing.