28. Liquidity

Table LIQA provides information on a bank's liquidity risk management framework which it considers relevant to its business model and liquidity risk profile, organisation and functions involved in liquidity risk management. Template LIQ1 presents a breakdown of a bank's cash outflows and cash inflows, as well as its available high-quality liquid assets under its LCR. Template LIQ2 provides details of a bank's NSFR and selected details of its NSFR components. Table LIQA - Liquidity risk management Purpose: Enable users of Pillar 3 data to make an informed judgment about the soundness of a bank's liquidity risk management framework and liquidity position. Scope of application: The table is mandatory for all banks. Content: Qualitative and quantitative information. Frequency: Annual. Format: Flexible. Banks may choose the relevant information to be provided depending upon their business models and liquidity risk profiles, organisation and functions involved in liquidity risk management. Below are examples of elements that banks may choose to describe, where relevant: Qualitative disclosures (a) Governance of liquidity risk management, including: risk tolerance; structure and responsibilities for liquidity risk management; internal liquidity reporting; and communication of liquidity risk strategy, policies and practices across business lines and with the board of directors. (b) Funding strategy, including policies on diversification in the sources and tenor of funding, and whether the funding strategy is centralised or decentralised. (c) Liquidity risk mitigation techniques. (d) An explanation of how stress testing is used. (e) An outline of the bank's contingency funding plans. Quantitative disclosures (f) Customised measurement tools or metrics that assess the structure of the bank's balance sheet or that project cash flows and future liquidity positions, taking into account off-balance sheet risks which are specific to that bank. (g) Concentration limits on collateral pools and sources of funding (both products and counterparties). (h) Liquidity exposures and funding needs at the level of individual legal entities, foreign branches and subsidiaries, taking into account legal, regulatory and operational limitations on the transferability of liquidity. (i) Balance sheet and off-balance sheet items broken down into maturity buckets and the resultant liquidity gaps. Template LIQ1: Liquidity Coverage Ratio (LCR) Purpose: Present the breakdown of a bank's cash outflows and cash inflows, as well as its available high-quality liquid assets (HQLA), as measured and defined according to the LCR standard. Scope of application: The template is mandatory for all banks. Content: Data must be presented as simple averages of daily observations over the previous quarter (ie the average calculated over a period of, typically, 90 days) in the local currency. Frequency: Quarterly. Format: Fixed. Accompanying narrative: Banks must publish the number of data points used in calculating the average figures in the template. In addition, a bank should provide sufficient qualitative discussion to facilitate users' understanding of its LCR calculation. For example, where significant to the LCR, banks could discuss: the main drivers of their LCR results and the evolution of the contribution of inputs to the LCR's calculation over time; intra-period changes as well as changes over time; the composition of HQLA; concentration of funding sources; currency mismatch in the LCR; and other inflows and outflows in the LCR calculation that are not captured in the LCR common template but which the institution considers to be relevant for its liquidity profile. a b Total unweighted value (average) Total weighted value (average) High-quality liquid assets 1 Total HQLA Cash outflows 2 Retail deposits and deposits from small business customers, of which: 3 Stable deposits 4 Less stable deposits 5 Unsecured wholesale funding, of which: 6 Operational deposits (all counterp