6       Liquidity Ratios Subject Area 

Liquidity Risk

Liquidity Ratios

·        Calendar Date: This is a selection from the calendar.

·        Process/Run: This is a drop-down selection. The drop-down list is filtered based on the date selected.

·        Scenario Name: This is a drop-down selection. The drop-down list is filtered based on the Run selected.

·        Run Execution ID: This is a drop-down selection. The drop-down list is filtered based on As of Date, Run and Scenario selected.

·        Legal Entity: This is a drop-down selection. The drop-down list is filtered based on As of Date, Run and Scenario selected.

·        Currency Type: This is a drop-down selection of one of the following options: Local Currency and Reporting Currency.

Consolidation Type

Liquidity Ratios

Not applicable

This report displays the pre and post option values. The high-quality liquid assets drill-through report displays additional asset levels.

Tabular Report

The following are displayed as row items in the first table:

·        Liquidity Coverage Ratio

·        Net Stable Funding Ratio

·        Each significant currency is listed as a separate row item in the second table

·        The pre-option and post option values for each ratio are displayed as column values

·        Legal Entity

·        Significant Currency

·        Asset Level

·        Cash Flow Type

·        Product Type

·        Product

·        Liquidity Coverage Ratio

·        Net Stable Funding Ratio

·        High-Quality Liquid Assets

·        Cash Flows

Not applicable

Pre and post option column values of LCR and significant currency LCR.

Level 1:

Page-Level Display Parameters: The following parameters are displayed:

·        As of Date

·        Process/Run

·        Run Execution ID

·        Run Type

·        Consolidation Type

·        Legal Entity

·        Significant Currency (if drill-through is from Significant Currency LCR)

Page-Level Filters: Currency Type is a page-level filter.

Report 1:

Report Name: High-Quality Liquid Assets by Product Type

Report Level Filters: Asset Level (other assets are not displayed)

Report Type: Column Chart

The product types are displayed on the x-axis and the values for the selected high-quality asset level are displayed as columns on the y-axis.

Level 2 Drill-through On: Column

Report 2:

Report Name: Cash Flows by Product Type (No change in this report)

Report Level Filters: Cash Flow Type

Report Type: Column Chart

The product types are displayed on the x-axis and the values for the selected cash flow type are displayed as columns on the y-axis.

Level 2 Drill-through On: Column

Liquidity Coverage Ratio Components

Not applicable

The drill-through report named Components of Liquidity Coverage Ratio that was available as part of the Liquidity Ratio report is available as part of this report.

Combination of Column and Line Graph

The following are displayed on the X-axis:

·        Pre-option

·        Each applicable option

·        The Liquidity Coverage Ratio is displayed as a line graph on the primary Y-axis. Only the line markers are displayed, the line itself is not displayed.

The following components of LCR are displayed as columns on the secondary Y-axis:

·        The stock of High-Quality Liquid Assets

·        Net Cash Outflows

·        Legal Entity

·        Asset Level

·        Cash Flow Type

·        The stock of Level 1 Assets

·        The stock of Level 2A Assets

·        The stock of Level 2B RMBS Assets

·        The stock of Level 2B non-RMBS Assets

·        Adjustment due to Cap on Level 2B Assets

·        Adjustment due to Cap on Level 2 Assets

·        The stock of High-Quality Liquid Assets

·        Total Cash Inflows

·        Total Cash Outflows

·        75 % of Total Cash Outflows

·        Net Cash Outflows

·        Liquidity Coverage Ratio

Not applicable

Chart

Level 1:

Page-Level Display Parameters: The following parameters are displayed:

·        As of Date

·        Process/Run

·        Run Execution ID

·        Run Type

·        Consolidation Type

·        Legal Entity

Page-Level Filters: Currency Type

Report Name: Breakup of Liquidity Coverage Ratio Components

The pre and post option LCR is displayed.

Chart 1:

Chart Name: Stock of HQLA Components

Report Type: Column Chart

The stock of HQLA and its components are displayed on the x-axis and the values before option and post each option are displayed as columns on the y-axis.

Level 2 Drill-through On: Not applicable

Chart 2:

Chart Name: Net Cash Outflow Components

Report Type: Column Chart

Net cash outflow and its components are displayed on the x-axis and the values before option and post each option are displayed as columns on the y-axis.

Level 2 Drill-through On: Not applicable

Net Stable Funding Ratio Components

Not applicable

This report breaks down the Net Stable Funding Ratio into its components in the form of a bar chart. The available stable funding and required stable funding, which are the components of the NSFR formula, are displayed.

Combination of Column and Line Graph

The following are displayed on the X-axis:

·        Available Stable Funding

·        Required Stable Option

Their values are displayed on the Y-axis.

·        Legal Entity

·        Asset Level

·        Cash Flow Type

·        The stock of Level 1 Assets

·        The stock of Level 2A Assets

·        The stock of Level 2B RMBS Assets

·        The stock of Level 2B non-RMBS Assets

·        Adjustment due to Cap on Level 2B Assets

·        Adjustment due to Cap on Level 2 Assets

·        The stock of High-Quality Liquid Assets

·        Total Cash Inflows

·        Total Cash Outflows

·        75 % of Total Cash Outflows

·        Net Cash Outflows

·        Liquidity Coverage Ratio

Not applicable

Chart

Level 1:

Page-Level Display Parameters: The following parameters are displayed:

·        As of Date

·        Process/Run

·        Run Execution ID

·        Run Type

·        Consolidation Type

·        Legal Entity

Page-Level Filters: Currency Type

Report Name: Breakup of Net Stable Funding Ratio Components

The pre and post option Net Stable Funding Ratio is displayed.

Chart 1:

Chart Name: Stock of HQLA Components

Report Type: Column Chart

The available stable funding and required stable funding components are displayed on the X-axis and the values before option and post each option are displayed as columns on the Y-axis.

Level 2 Drill-through On: Not applicable

Chart 2:

Chart Name: Net Cash Outflow Components

Report Type: Column Chart

Net cash outflow and its components are displayed on the X-axis and the values before option and post each option are displayed as columns on the Y-axis.

Level 2 Drill-through On: Not applicable

Liquidity Coverage Ratio by Significant Currencies

Significant Currency

This report displays the Liquidity Coverage Ratio for each significant current in the form of a column chart. LCR for each significant currency displayed the following conditions:

·        Pre-Option

·        Post Option 1: Drawdown on Liquidity Facilities from Central Bank

·        Post Option 2: Foreign Currency Liquid Assets

·        Post Option 3: Additional Use of Level 2 Assets

Combination of Line and Column Chart

The following significant currency is displayed on the x-axis:

·        The stock of Level 1 Assets

·        The stock of Level 2A Assets

·        The stock of Level 2B RMBS Assets

·        The stock of Level 2B non-RMBS Assets

·        Adjustment due to Cap on Level 2B Assets

·        Adjustment due to Cap on Level 2 Assets

The liquidity coverage ratio is reported on the Y-axis. The options are displayed in the order of execution i.e. in the order that they are applied.

·        Legal Entity

·        Significant Currency

·        Asset Level

·        The stock of Level 1 Assets

·        The stock of Level 2A Assets

·        The stock of Level 2B RMBS Assets

·        The stock of Level 2B non-RMBS Assets

·        Adjustment due to Cap on Level 2B Assets

·        Adjustment due to Cap on Level 2 Assets

Not applicable

Not applicable

Not applicable

Liquidity Ratio Historical Variance Analysis

·        As of Date 1: This is a selection of a date from the calendar and represents the original value against which variance is calculated.

·        Run Execution ID 1: This is a drop-down selection listing all the Execution IDs of the selected Run executed on As of Date 1.

·        As of Date 2: This is a selection of a date from the calendar and must be greater than or equal to As of Date 1.

·        Run Execution ID 2: This is a drop selection listing all the Execution IDs of the selected Run executed on As of Date 2.

This report displays the variance between the liquidity ratios and their components across two historical dates in the form of a tabular report. The computed values across the two dates and the variance between them, both in absolute and percentage terms are displayed.

Tabular Report

The liquidity coverage ratio, net stable funding ratio, and their components are displayed as row items. The computed values for each of these are displayed for the selected dates. The variance between the values across the selected dates is displayed in terms of absolute value and percentage.

·        Legal Entity

·        Time Period

·        Liquidity Ratio Components

·        Net Stable Funding Ratio Components

·        Liquidity Coverage Ratio

·        Net Stable Funding Ratio

·        Amount

·        Variance

·        Variance %

Not applicable

Not applicable