IBANK 8.4.20 How to calculate LCR

(1) An Islamic banking business firm's LCR is calculated by means of the following formula:

where:
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.

(2) The firm must calculate its LCR both overall, and separately for each significant currency in which it has liabilities. A currency is significant for the firm if the firm's liabilities denominated in it amount to 5% or more of the firm's total liabilities.
Inserted by QFCRA RM/2018-2 (as from 1st May 2018).