Appendix A Illustrative Summary of the LCR

Item Factor
Stock of HQLA
A. Level 1 Assets
•   Coins and banknotes;
•   Qualified balances with the CBB (including placements and reserves);
•   Debt securities/Sukuk issued by the CBB or the Government of Bahrain;
•   Debt securities/Sukuk issued governments of GCC member states and their central banks;
•   Debt securities/Sukuk that can be monetised and issued or guaranteed by sovereigns, central banks, PSEs, IMF, BIS, ECB, EC, or MDBs;
•   Debt securities/Sukuk issued in local currency by sovereign or the country's central bank, where the liquidity risk arises or the banks home country—given a non-0 percent Risk-weight (RW); and
•   Debt securities/Sukuk issued in foreign currency by sovereign or central bank that does not exceed the value of the net cash outflow in the foreign currency caused by a stress scenario based on the bank's operations in the country where the liquidity risk arises from—given a non-0 percent RW.
Total level 1 Assets
B. Level 2 assets (maximum of 40 percent Of HQLA)
1) Level 2A assets
•   Debt securities/Sukuk that can be issued and liquidated or guaranteed by sovereigns, central banks, PSEs, and qualified MDBs;
•   Debt securities/Sukuk qualified for liquidation (including commercial paper); and
•   Qualified covered bonds.
2) Level 2B assets (maximum of 15 percent of HQLA)
•   Debt securities/Sukuk (including commercial paper) issued by qualified non-financial institutions; and
•   Qualified common equity shares.
Total level 2 Assets (1+2)  
Total value of stock of HQLA  
Cash Outflows
Retail Deposits
Demand deposits and term deposits (maturity within 30 days):  
•   Stable deposits; and
•   Less stable—retail deposits
B. Unsecured Wholesale Funding
Small Business Customer deposits 10%
Operational deposits generated by clearing, custody, and cash management: 25%
Deposits from non-financial institutions, sovereign, central banks, multilateral development banks, PSEs, and Bahrain's Social Insurance Organization and GCC PIFs where PIF is a controller of the bank. 40%
Deposits from other legal entity corporations. 100%
C. Secured Funding
•   Backed by level 1 assets or with central banks;
•   Backed by level 2A assets;
•   Secured funding transactions with domestic sovereign, PSE's or multilateral development banks that are not baked by level 1 or 2A assets;
•   Backed by other level 2B assets;
•   All others.
D. Other Cash Outflow
Net derivative cash outflow 100%
Asset-backed securities, covered bonds, and other structured financing instruments 100%
Asset-backed commercial paper, securities paper, securities investment vehicles, and other similar financing tool 100%
Committed: credit and liquidity facilities given by bank to:  
•   Retail (including credit cards) and small business customers (from amount not used);
•   Non-financial corporates, sovereigns and central banks, PSEs and multilateral development banks (from amount not used);
10% credit 30% Liquidity
•   Banks subject to prudential supervision (from amount not used);
•   Other financial institutions (including securities firms and insurance firms) (from amount not used);
40% credit 100% liquidity
•   Other legal entities (from amount not used).
Other Contingent Funding Obligations  
•   Guarantees, LCs, revocable credit and liquidity facilities, non-contractual commitments;
•   Customer short positions that are covered by other customers' collateral.
Increased liquidity needs related to the potential for valuations changes on posted collateral 20%
Other contractual cash outflows 100%
Total Cash Outflow  
Cash Inflows Inflow rates
A. Secured lending transactions backed by the following asset category:
  Level 1 assets; 0%
  Level 2A assets; and 15%
  Level 2B assets. 50%
  Margin lending backed by all other collateral: 50%
  Other collateral. 100%
B. Committed facilities—credit and liquidity facilities given to banks;
C. Other inflows by:
•   Retail and small business customer;
•   Non-retail customers:
  1.Financial institutions and central banks; and
  2.Non-financial institutions.
•   Operational deposits held at other financial institutions.
D. Other net derivative cash inflows; and
E. Other contractual cash inflows.
Total Cash Inflows  
Net cash outflow = total cash outflow—total cash inflow or lowest value (75 percent of total cash outflow).  
Liquidity coverage ratio—HQLA / Net cash outflow.  
August 2018