IBANK 8.4.20 How to calculate LCR
TC30 is the firm's total net cash outflow over the next 30 calendar days (all outflows, or outflows in the relevant currency, as the case requires), calculated in accordance with rule 8.4.21.
VP is the total value of the assets in the firm's HQLA portfolio, calculated in accordance with rule 8.4.15.
Note For calculating the value of the portfolio, the market value of an asset in the portfolio is taken to be the asset's market value, subject to a haircut — see rule 8.4.15.
|Inserted by QFCRA RM/2018-2 (as from 1st May 2018).|