Liquidity Coverage Ratio (LCR)

Outflows, Liquidity Coverage Ratio (LCR) (panel B1) This section calculates the total expected cash outflows in the LCR stress scenario for the subsequent 30 calendar days. They are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or to be drawn down ( Basel III LCR standards paragraph 69 ). Where there is potential that an item could be reported in multiple outflow categories, (e.g. committed liquidity facilities granted to cover debt maturing within the 30 calendar day period), a bank only has to assume up to the maximum contractual outflow for that product ( Basel III LCR standards paragraph 72 ). a) Retail deposit run-off Retail deposits are defined as deposits placed with a bank by a natural person. Deposits from legal entities, sole proprietorships and partnerships are captured in wholesale deposit categories. Retail deposits reported in lines 87 to 104 include demand deposits and term deposits maturing in or with a notice period up to 30 days. Term deposits with a residual contractual maturity greater than 30 days which may be withdrawn within 30 days without entailing a significant withdrawal penalty materially greater than the loss of interest, should be considered to mature within the 30-day horizon and should also be included in lines 87 to 104 as appropriate. If a portion of the term deposit can be withdrawn without incurring such a penalty, only that portion should be treated as a demand deposit. The remaining balance of the deposit should be treated as a term deposit. Notes, bonds and other debt securities sold exclusively to the retail market and held in retail accounts can be reported in the appropriate retail deposit category ( Basel III LCR standards paragraph 110 ). To be treated in this manner, it is not sufficient that the debt instruments are specifically designed and marketed to retail customers. Rather there should be limitations placed such that those instruments cannot be bought and held by parties other than retail customers. Per paragraph 76 of the Basel III LCR standards , an “effective deposit insurance scheme” refers to a scheme (i) that guarantees that it has the ability to make prompt payouts, (ii) for which the coverage is clearly defined and (iii) of which public awareness is high. The deposit insurer in an effective deposit insurance scheme has formal legal powers to fulfill its mandate and is operationally independent, transparent and accountable. A jurisdiction with an explicit and legally binding sovereign deposit guarantee that effectively functions as deposit insurance can be regarded as having an effective deposit insurance scheme. 83 Total retail deposits; of which Total retail deposits as defined above. 73 – 84 84 Insured deposits; of which: The portion of retail deposits that are fully insured by an effective deposit insurance scheme. 75–78 85 in transactional accounts; of which: Total insured retail deposits in transactional accounts (e.g. accounts where salaries are automatically credited) 75, 78 86 eligible for a 3% run-off rate; of which: The amount of insured transactional retail deposits that are in jurisdictions where the supervisor chooses to apply a 3% runoff rate given the deposits are fully insured by an effective deposit insurance scheme that meets the conditions outlined in paragraph 78 of the Basel III LCR standards. Please refer to the instructions from your supervisor for the specification of these items. 78 87 are in the reporting bank's home jurisdiction Of the deposits referenced in line 86, the amount that are in the reporting bank's home jurisdiction. 78 88 are not in the reporting bank's home jurisdiction Of the deposits referenced in line 86, the amount that are not in the reporting bank's home jurisdiction. 78 89 eligible for a 5% run-off rate; of which: The amount of insured transactional retail deposits that are in jurisdictio