Timeframes

 QIS should be conducted using data from year-end

2010 and mid-year 2011 using components for both the LCR and NSFR.

 Reporting to NBM throughout the observation period, expected to start on January 1, 2012 for the two

standards, including overall percentages and information on the components.

 Basel Committee is prepared to make revisions if

necessary – LCR by mid-2013 and NSFR by mid-2016.

 The LCR will be introduced on January 1, 2015 and the NSFR on January 1, 2018.

Definitions

 Stable funding – the portion of those types and amounts of equity and liability financing expected to be reliable sources of funds over a one-year horizon under conditions of extended stress.

 Available Stable Funding – defined as the total amount of a bank’s

 Capital;

 Preferred stock with maturity of equal to or greater than one year;

 Liabilities with effective maturities of one-year or more;

 That portion of non-maturity deposits and/or term deposits with maturities of less than one year that would be expected to stay with the institution for an extended period in an idiosyncratic stress event; and,

 The portion of wholesale funding with maturities of less than a year that is expected to stay with the institution for an extended period in an

idiosyncratic stress event.

 Includes stable and less stable retail and SME deposits.

Components of Available Stable

Funding and Associated ASF Factors

ASF Factor Components of ASF Category

100% •The total amount of capital, including

both Tier 1 and Tier 2 as defined in existing global capital standards issued by the Basel Committee.

•The total amount of any preferred

stock not included in Tier 2 that has an effective remaining maturity of one year or greater taking into account any explicit or embedded options that

would reduce the expected maturity to less than one year.

•The total amount of secured and unsecured borrowing and liabilities with effective remaining maturities of one year or more.

ASF, cont.

90% •Stable demand deposits with no

maturity and/or term deposits with residual maturities of one year or greater (retail customers and SMEs)

80% “Less stable” demand deposits and/or

term deposits with residual maturities of less than one year (retail customers and SMEs)

50% Unsecured wholesale funding, non-

maturity deposits and/or term deposits with a residual maturity less than one year (non-financial corporates,

sovereigns, central banks, MDBs, and PSEs.

0% All other liabilities

Definition of RSF for Assets and OBS Exposures

 The amount of stable funding required by supervisors is to be measured using supervisory assumptions on the broad

characteristics of the liquidity risk profiles of an institution’s

assets, off-balance sheet exposures and other selected activities.

 The required amount of stable funding is calculated as the sum of the value of assets held and funded by the institution, multiplied by a specific required stable funding factor (RSF) factor assigned to each particular asset type, added to the amount of OBS

activity (or potential liquidity exposure) multiplied by its associated RSF factor.

 Encumbered assets are not considered to be available for

funding, unless there is a less than one year remaining on the encumbrance period.

Required Stable Funding

Components of RSF RSF Factor

Cash and unencumbered assets with a maturity of less

than one year 0%

Claims on sovereigns, central banks, MDBs with risk-

weight under Basel II 5%

Corporate or covered bonds rated AA- or better; claims on sovereigns, central banks, MDBs with 20% RW under Basel II standardized approach

20%

Gold, equities, and other corporate and covered bonds (A+ to A-) with maturities over 1 year; other loans to non- financial corporate clients, sovereigns, centrals banks, PSEs with maturity less than one year

50%

Residential Mortgages 65%

Other retail and SME loans with maturities less than one

year 85%

All other Assets 100%

Conditionally revocable and irrevocable credit and

liquidity facilities to any client. 5% of the currently undrawn portion.

Other Contingent Liabilities, including revocable obligations, L/Cs, guarantees, other trade finance instruments, and non-contractual obligations.

National supervisors to specify RSF factors based on national circumstances

Monitoring Tools

 These additional metrics help a supervisor monitor liquidity risk at a bank.

 Contractual maturity mismatch

 Concentration of Funding

 Available unencumbered assets

 LCR by significant currency

 Market-related monitoring tools

Contractual Maturity Mismatch

 Identifies the gaps between the contractual inflows and outflows of liquidity during time bands.

 At a minimum, should collect data on all categories outlined in the LCR.

Some additional data such as NPLs should be reported separately, as well as capital.

 These indicate how much a bank would potentially need to raise in each of these time bands if all outflows occurred at the earliest possible date.

Banks should be expected to identify how to cover gaps.

 Supervisors will determine specific template.

 Instruments with no maturity should be reported separately.

 Assumptions

 No roll over of liabilities is expected to take place.

 Other assumptions as well.

Concentration of Funding

 This metric is meant to identify those sources of wholesale funding that are of such

significance that withdrawal of this funding could trigger liquidity problems.

 Funding liabilities sourced from each significant community/Bank’s Balance Sheet Total

 Funding liabilities sourced from each significant product or instrument/Bank’s Balance Sheet Total

 List of asset and liability amounts by significant currency

 For first two, should look at absolute percentage and percentage change

Concentration of Funding, cont.

 Significant Counterparty – defined as a single counterparty or group of connected or affiliated

counterparties, accounting in aggregate for more than 1% of the bank’s total balance sheet.

 Significant Instrument/product – defined as a single instrument/product or group of similar

instruments/products that in aggregate amount to more than 1% of the bank’s total balance sheet.

 Significant currencies – defined as those aggregate

liabilities denominated in that currency amount to 5% or more of the bank’s total liabilities.

Available Unencumbered Assets

 Defined as available unencumbered assets that are marketable as collateral in secondary markets and/or eligible for central bank

facilities.

 Bank’s should repot that amount of these on a periodic basis.

LCR by Significant Currency

 FX LCR = Stock of high quality liquid assets in each

significant currency/Total net Cash Outflows over a 30-day time period in each significant currency.

 Should be net of any FX hedges.

 Should mirror those high quality liquid assets definition.

 Currency is considered “significant” if the aggregate liabilities denominated in that currency amount to 5% or more of the bank’s total liabilities.

 No defined threshold.

 Meant to allow the bank and supervisor to see potential

currency mismatch issues that could arise in times of stress.

Market Related Monitoring Tools

 High frequency market data with little or no time lag can be used as earl warning indicators in monitoring

potential liquidity difficulties at banks.

 Supervisors can use:

 Market-wide information

 Equity prices, debt markets, FX markets, commodities markets

 Information on the financial sector

 Such as equity and debt market information for the financial sector broadly

 Bank Specific Information

 Such as equity prices of a bank, money-market trading prices, spreads, price/yield of various lengths of funding

Reporting, Standards, etc.

 Differences in home/host liquidity

requirements, when consolidated, liquidity parameters should be applied are those in

the home jurisdiction to all legal entities being consolidated, except for treatment of

retail/SME deposits should follow host country requirements.