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Prudential reporting of liquidity supporting data for JIBS
Prudential reporting of liquidity supporting data for JIBSIntroduction
1.1 This document specifies prudential reporting on funding concentrations, HQLA concentration and encumbrance, LCR/LMR history and cashflows.
1.2 This part of the prudential return is intended to provide information relevant to the assessment of liquidity, alongside consideration of the LCR/LMR and the NSFR.
1.3 Four sets of data are required to be provided in the following sheets:
1.3.1 ‘10.1 Funding concentrations’: Reporting of:
1.3.1.1 Funding liabilities sourced from each significant counterparty;
1.3.1.2 Funding liabilities sourced from each significant product/instrument; and
1.3.1.3 Liability amounts by significant currency
1.3.2 ’10.2 HQLA Details’ - Reporting of comprehensive information relevant to the assessment of the liquidity of HQLA.
1.3.3 ’10.3 LCR History’ / ’10.4 LMR History’ (as applicable): Reporting of the LCR/LMR, as calculated for internal monitoring purposes by the JIB during the prior quarter.
1.3.4 ’10.5 Cashflows’: Reporting of cashflows, supporting consideration of liquidity.
2 ‘10.1 Funding Concentrations’
2.1 In each of the three cases, the total amount for each reportable item is required to be provided, together with a breakdown for the following five time horizons:
2.1.1 ‘Less than 30 days’ (including sums maturing in 30 days – the LCR/LMR time horizon);
2.1.2 ‘31 days to 3 months’;
2.1.3 ‘More than 3 months to 6 months’;
2.1.4 ‘More than 6 months to one year’; and
2.1.5 ‘More than 1 year’.
2.2 Report the fifteen largest counterparties (as defined in 2.4)
2.3 The amount reported must be calculated by aggregating the total of all types of liabilities to a single counterparty or group of connected or affiliated counterparties, as well as all other direct borrowings, both secured and unsecured, which the bank can determine arise from the same counterparty.
2.4 A “significant counterparty” is defined as a single counterparty or group of connected or affiliated counterparties accounting in aggregate for more than 1% of the JIB's total balance sheet. A group of connected counterparties is, in this context, defined in the same way as for a “Large Exposure”, as set out in the Banking Codes.
2.5 Intra-group deposits and deposits from related parties should be reported.
2.6 For connected parties, report for the connected group as a whole but not for any individual members.
2.7 Report the fifteen largest significant funding products or instruments.
2.8 The amount reported must be calculated by aggregating the total funding derived from each individually significant funding instrument/product, as well as by calculating groups of similar types of instruments/products.
2.9 A significant product is defined as a single instrument/product or group of similar instruments/products that in aggregate amount to more than 1% of the JIB's total balance sheet.
2.10 Accepting that there is an element of subjectivity, please report according to the JIB’s internal monitoring of product performance. If this changes, please provide an explanation if the change has a material impact.
2.11 Report for the five largest significant currencies. For the avoidance of doubt, this includes pounds sterling.
2.12 A currency is considered “significant” if the aggregate liabilities denominated in that currency amount to 5% or more of the JIB's total liabilities.
2.13 For each such currency, report:
2.13.1 for the period ‘Less than 30 days’: The Haircut amount of all HQLA denominated in that currency plus predicted inflow minus predicted outflows, calculated in accordance with the LCR/LMR methodology, as applicable; and
2.13.2 for all other periods: The contractually due net cashflow.
3 ‘10.2 HQLA Details’
3.1 Sheet ’10.2 HQLA Details’ is intended to provide information on the availability of unencumbered assets, including HQLA that could be used to derive funding for liquidity purposes. It is intended to provide both a comprehensive picture and information relevant to the assessment of the liquidity of HQLA.
3.2 JIBs must report their largest 20 holdings of marketable assets (calculated for each connected group of issuers), irrespective of whether the assets are classified as HQLA.
3.3 For each issuer, JIBs will be required to provide:
3.3.1 the issue and the issuer. Where there are multiple holdings, identify the largest holding and provide additional information on sheet ‘9.3 Additional Detail’ if any other issue exceeds 10% of the total for the issuer.
3.3.2 the location where the securities are held (custodian name and jurisdiction);
3.3.3 the HQLA classification, if any (leave blank if not classified as HQLA);
3.3.4 the amount held in own name and also any amounts held on behalf of customers that have been rehypothecated;
3.3.5 any amount pledged;
3.3.6 the Realisable Value, Adjusted Amount and Haircut Amount, the latter two only relevant to holdings that form part of the JIB’s stock of HQLA;
3.3.7 the Repo Market haircut and Repo Market value, where relevant; and
3.3.8 Central Bank Haircut and Central Bank value, where the JIB has access to central bank repo facilities
4 ‘10.3 LCR History’ and ‘10.4 LMR History’
4.1 This document specifies prudential reporting on the LCR/LMR (as appropriate to the JIB), as calculated for internal monitoring purposes by the JIB for every working day that is after the prior quarter-end date up to and including the current quarter end date.
4.2 Where any of the calculations were not performed on the day or not recorded, JIBs will be required to input this fact.
4.3 For the avoidance of doubt, no reporting is required for non-working days, including Jersey bank holidays.
4.4 For each working day, report:
4.4.1 Date
4.4.2 LCR, as reported internally
4.4.3 Total HQLA;
4.4.4 Total Inflows;
4.4.5 Total Outflows; and
4.4.6 HQLA requirement.
4.5 For each working day, report:
4.5.1 Date
4.5.2 LMR, as reported internally
4.5.3 Total HQLA;
4.5.4 Total Capped Inflows;
4.5.5 Total Qualifying Inflows;
4.5.6 Total HQLA, Capped Inflows plus Qualifying Inflows; and
4.5.7 Total Outflows.
5 ‘10.5 Cashflows’
5.1 This document specifies prudential reporting on cashflows. It is intended to provide information relevant to the assessment of liquidity, alongside consideration of the LCR and NSFR.
5.2 Items are defined by reference to the LCR/LMR Guides - see ‘Liquidity Ratios Guide’ for relevant definitions.
5.3 Cashflows should be calculated for each bucket. Where there is uncertainty over the timing of flows, the most prudent assumption should be used, as follows, unless the JFSC has agreed that for this reporting an assumption may be applied.
5.3.1 Inflows should be reported under the latest date. For example, undated inflows should be reported under the heading ‘>5 years’; and
5.3.2 Outflows should be reported under the earliest date. For example, undated outflows should be reported under the heading ‘Sight’.
5.4 Inflows relating to the maturity of HQLA reported in sheet ‘1.1 HQLA’ should be reported in line IF.07, under the relevant date, as the maturing value less the Haircut Amount reported in sheet ‘1.1 HQLA’ that relates to the maturing asset.
5.5 For the avoidance of doubt:
5.5.1 LCR adjustments applied to the reporting of the LCR/LMR may not be applied to reporting of cashflows; and
5.5.2 JIB’s may take into account all relevant factors. For example:
5.5.2.1 in the case of cash security, a JIB may consider whether an outflow would only be possible in the event of loan repayment; and
5.5.2.2 in the case of derivatives, the JIB may take current market rates into account when forecasting inflows and outflows.
5.6 In all cases, the contractually due inflows or outflows must be reported according to the following buckets:
5.6.1 ‘Sight’:
5.6.2 ‘>sight to 5 working days’;
5.6.3 ‘6 working days to 30 days’;
5.6.4 ‘31 days to 3 months’;
5.6.5 ‘>3 months to 6 months’;
5.6.6 ‘>6 months to 1 year’;
5.6.7 ‘>1 year to 3 years’;
5.6.8 ‘>3 years to 5 years’; and
5.6.9 ‘>5 years’.