CBUAE liquidity ratios. ELAR, ASRR, LCR, NSFR and the headroom to each.

CBUAE Circular 33/2015 runs two parallel tracks. Every bank meets the Eligible Liquid Assets Ratio, ELAR, at a minimum of 10 percent of total balance-sheet liabilities excluding regulatory capital, and the Advances to Stable Resources Ratio, ASRR, reported in return BRF 7, at a maximum of 100 percent. A bank that applies to the Central Bank and demonstrates both qualitative and quantitative readiness may be approved onto the Basel III track, where it meets the Liquidity Coverage Ratio and the Net Stable Funding Ratio, each at a minimum of 100 percent, and once approved it cannot revert. The twelve qualitative criteria in Article 2 of the Regulation apply on both tracks.

Article 4 of the Regulation lists them: balances held at the Central Bank, physical cash, Central Bank certificates of deposit, UAE Federal Government bonds and sukuk, reserve requirements, debt of UAE local governments and public sector entities carrying a zero percent risk weight, and foreign sovereign, central bank and multilateral development bank paper carrying a zero percent risk weight. The last two carry composition caps: local government and PSE debt may make up no more than 20 percent of the total, and foreign zero-risk-weight paper no more than 15 percent. The calculator applies both caps and shows how much of each bucket is excluded.

Under the Basel III LCR standard of January 2013, which the CBUAE Guidance Manual adopts with stated national discretions, total expected cash inflows over the 30-day stress horizon are capped at 75 percent of total expected cash outflows. Net cash outflows are therefore outflows less the smaller of inflows and 75 percent of outflows, which means a bank must always hold high-quality liquid assets equal to at least 25 percent of its stressed outflows regardless of how much it expects to receive. The calculator applies the cap and reports the amount of inflow it has disallowed.

The Regulation says that from its effective date all banks comply with ELAR and ASRR, and that only banks approved by the Central Bank use LCR and NSFR for regulatory compliance. Once a bank is approved onto the Basel III track its binding constraints are LCR and NSFR. What the Central Bank continues to collect on its returns is a matter for the reporting templates in the Guidance Manual, so the calculator computes all four ratios whichever track is selected and highlights the pair that binds.

No. It takes the aggregates a bank has already computed and shows the ratios, the effect of the caps and the headroom to each minimum. The classification of individual assets and liabilities, the run-off and inflow rates behind the LCR, and the available and required stable funding factors behind the NSFR are set out in the CBUAE Guidance Manual and the Basel standards and must be applied at line-item level before the aggregates exist. The ASRR components are defined in return BRF 7 and are entered here as the bank has calculated them. Treat the output as a management view and a check on headroom, not as a submission.