BASEL III FRAMEWORK Liquidity Risk Management Rules and Guidelines November 2018 Table of Contents TABLE OF CONTENTS ...................................................................................................................................... 2 LIST OF ACRONYMS ......................................................................................................................................... 4 PART I – LIQUIDITY RISK MANAGEMENT FRAMEWORK ............................................................... 5 1. BACKGROUND AND OVERVIEW ............................................................................................................................ 5 2. SCOPE OF APPLICATION ...................................................................................................................................... 5 3. STATEMENT OF OBJECTIVES ................................................................................................................................ 5 4. ONGOING LIQUIDITY MANAGEMENT ................................................................................................................... 5 5. MEASURING AND MONITORING LIQUIDITY REQUIREMENTS ............................................................................. 7 6. MANAGING MARKET ACCESS .............................................................................................................................. 9 7. CONTINGENCY PLANNING .................................................................................................................................... 9 8. FOREIGN CURRENCY LIQUIDITY MANAGEMENT ............................................................................................... 10 9. INTERNAL CONTROLS FOR LIQUIDITY RISK MANAGEMENT ............................................................................ 11 PART II - LIQUIDITY COVERAGE RATIO ............................................................................................. 12 10. INTRODUCTION ................................................................................................................................................... 12 11. CALCULATION OF MINIMUM LCR REQUIREMENTS .......................................................................................... 13 12. DETERMINATION OF HQLA ............................................................................................................................... 13 13. CHARACTERISTICS OF HQLA ............................................................................................................................ 14 14. CLASSES OF HQLA ............................................................................................................................................ 15 15. MANAGEMENT OF HQLA ................................................................................................................................... 19 16. INCLUSION OF HQLA HELD AT BRANCHES ...................................................................................................... 21 17. NET CASH OUTFLOWS OVER THE NEXT 30 DAYS ........................................................................................... 21 18. CASH OUTFLOWS ............................................................................................................................................... 22 Retail deposits cash out flows .............................................................................................................................22 Unsecured wholesale funding cash outflows ..............................................................................................23 Secured funding cash outflows ...........................................................................................................................26 Additional requirements ..........................................................................................................................................27 19. CASH INFLOWS................................................................................................................................................... 34 Secured lending, including reverse repos and securities borrowing ............................................................34 Committed facilities ........................................................................................................................................................35 Other inflows by counterparty ....................................................................................................................................35 Retail and small business customer inflows ..........................................................................................................36 Other wholesale inflows ................................................................................................................................................36 Other cash inflows ...........................................................................................................................................................36 PART III - NET STABLE FUNDING RATIO ........................................................................................... 37 20. BACKGROUND AND OVERVIEW .......................................................................................................................... 37 21. CALCULATION OF MINIMUM NSFR REQUIREMENTS ....................................................................................... 37 22. CALIBRATION OF ASF AND RSF ....................................................................................................................... 38 23. DEFINITION AND COMPUTATION OF ASF ......................................................................................................... 38 24. SPECIFIC CONSIDERATIONS FOR INCLUSION IN ASF .................................................................................... 40 Liabilities and capital instruments receiving a 100% ASF factor ...................................................................40 Liabilities receiving a 95% ASF factor......................................................................................................................40 Liabilities receiving a 90% ASF factor......................................................................................................................40 Liabilities receiving a 50% ASF factor......................................................................................................................40 Liabilities receiving a 0% ASF factor comprise: ...................................................................................................41 Derivative Liabilities ........................................................................................................................................................41 Derivative Assets .............................................................................................................................................................42 25. DEFINITION AND COMPUTATION OF RSF AND OFF BALANCE SHEET EXPOSURES ....................................... 43 26. SPECIFIC CONSIDERATIONS FOR INCLUSION IN RSF ..................................................................................... 46 Assets assigned a 0% RSF factor ..............................................................................................................................46 Assets assigned a 5% RSF factor ..............................................................................................................................46 Assets assigned a 10% RSF factor ............................................................................................................................46 2 | P a g e Assets assigned a 15% RSF factor ............................................................................................................................47 Assets assigned a 50% RSF factor ............................................................................................................................47 Assets assigned a 65% RSF factor ............................................................................................................................47 Assets assigned an 85% RSF factor .........................................................................................................................48 Assets assigned a 100% RSF factor .........................................................................................................................48 Encumbered assets .........................................................................................................................................................49 Secured financing transactions ...................................................................................................................................49 Netting Conditions for SFTs .........................................................................................................................................49 Cash Variation margin ...................................................................................................................................................50 Off-balance sheet exposures .......................................................................................................................................50 Other Requirements........................................................................................................................................................50