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Liquidity Coverage Ratio
Beginning June 2015, the NLF had been replaced with the Basel III Liquidity Coverage Ratio framework (LCR). The LCR seeks to ensure that banking institutions hold sufficient high-quality liquid assets (Stock of HQLA) to withstand an acute liquidity stress scenario over a 30-day horizon.
LCR is calculated by dividing the amount of Stock of HQLA with the total Net Cash Outflows. Stress assumptions are incorporated into the LCR through haircuts applied to the stock of HQLA and run-off factors applied to the cash flow items.
Stock of HQLA refers to Level 1, Level 2A and Level 2B assets which are defined in the framework. Among others, it includes cash, central bank reserves, sovereign bonds/sukuk, corporate bonds/sukuk rated AAA and Cagamas Residential Mortgage-backed Securities (RMBS) and A-rated corporate bonds/sukuk (foreign currency only).
Net Cash Outflows refers to the total cash outflows less total cash inflows expected over a 30-day liquidity stress scenario, and which are calculated based on the run-off and inflow rates specified in the framework.
Data Dictionary
| Column | Type | Label | Description |
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Additional Information
| Field | Value |
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| Data last updated | November 2, 2018 |
| Metadata last updated | November 2, 2018 |
| Created | November 2, 2018 |
| File Format | XLSX |
| License | Creative Commons Attribution |
Reason: Content of file appeared to be format "XLS" which receives openness score: 2.
Checked: August 22, 2020