3d Final Basel III

8/12/2019 3d Final Basel III

1/129

Certified Basel iii Professional (CBiiiPro)

Official Prep Course

Part C4

Basel iii Compliance ProfessionalsAssociation (BiiiCPA)

The largest association of Basel iii Professionals in the world


2/129

Two Papers (2014)

1. Guidance for Supervisors on Market-

Based Indicators of Liquidity, January 2014

2. Liquidity Coverage Ratio DisclosureStandards, January 2014


3/129

Guidance for Supervisorson Market-Based Indicatorsof Liquidity

January 2014


4/129

Introduction

While each jurisdictionwill make its own determinationas to HQLA qualifications and their applicationtosupervised institutions

some commonalityin the tools and data used to makesuch determinations

will help ensure a level of consistencyacrossjurisdictions


5/129

Introduction

Supervisors are expectedto work within the existingframework of levels

established by the LCRstandard

using the associatedhaircuts and diversificationrequirements associated with each level


6/129

Introduction

As described in the LCR standard

national authorities can choose whetherto include anadditional class of Level 2B assets

This gives scopefor the potential inclusion in HQLA of awide rangeof assets

with very different liquidity profiles

This document provides suggestionsthat may assistsupervisorswhen classifying such assets


7/129

Introduction

Liquidity Coverage Ratio (LCR)


8/129

Introduction

Given the prominence of HQLAin the LCR formula(above)

and the broad array of asset classesthat can potentially

comprise HQLA a robust framework and tools for evaluating these

asset classesare essential to a sound and meaningfulLCR calculation


9/129

Introduction

The liquidity value of an assetdepends on

the underlying stressscenario

the volume to be monetisedand

the timeframeconsidered Nevertheless, there are certain assets that are more likely

to generate funds

without incurring large discountsin sale or

repurchase agreement markets due to fire sales even in times of stress


10/129

Introduction

This guidance expands upon the more generalHQLAqualification guidelines established by the LCR

It outlines the factors that influencethe extentto whichthe market for an asset can be relied upon

to raise liquiditywhen considered in the context ofpossible stresses


11/129

Introduction

The analytical tools/methodologies identified here

are to assist supervisors in determining howparticularassets should be included

in which specific categories of HQLA, if at all


12/129

Introduction

The currentstandard for the LCR relies on a combinationof qualitative criteria

Basel risk weights

and external credit ratings to determine asset class eligibilityfor the pool of

HQLA

These general criteria were used to categorise broad assetclasses into three levels of HQLA:

Level 1, 2A, and 2B


13/129

Introduction

However

individualassets withinthose wide-rangingcategories

and acrossdifferent jurisdictions, financial marketsand currencies

can exhibit very different liquidity characteristics


14/129

Introduction

In addition

the marketsfor specific assets

and thus the liquidity to be derived froma given set of

assets can vary over time

Indeed, a key lesson from the financial crisis is that

deep and liquid markets can dry up very quickly


15/129

Introduction

Consistencywith the Baselframework

which sets forth a minimumstandard to whichinternationally active banks will be held is paramount

Appropriate use of this guidanceincludes providingtools for supervisors to use in making decisionsfor

(i) *excluding*an asset class from HQLA altogether, or (ii) moving an asset class *down*(temporarily or

permanently) from its LCR-defined HQLA position


16/129

Introduction

The framework is ***not*** to be used to introduce intoHQLA an assetthat

is not currently partof the LCRs classifications

or the placement of an asset into a higherHQLAlevel/category

than that establishedby the LCR standard


17/129

Introduction

Further, the guidance in this document is ***notintended*** for direct application to the sovereigndebtof a banks homejurisdiction

or from the jurisdiction in which a bank operates central bank reserves

central bank debt securities

and cash

Such assets will defer to the HQLA categories asestablished in the LCR standard


18/129

Possible uses for an assessment framework


19/129


Appropriate useof these guidelines (in support of theapplication of the LCR definition of HQLA to domesticregulation) include:

1. Excludingan asset or asset class from HQLA altogether

2. Moving an asset or asset class down(temporarily or

permanently) from its LCR-defined HQLA position


20/129


3. Selecting additional assets(from the LCR rulesprescribed list of potentially qualifying assets)

to include within a potential Level 2Basset category

4. Raising the haircuton an individualasset

or asset class


21/129


The guidance is ***not***to be used to:

1. Introduce into HQLAan asset that is not currentlypart

of the LCRs classifications of acceptable assets

2. Place an asset into a higherHQLA level/category

than that established by the LCR standard


22/129


3. Lower the haircuton an individualasset

or asset class

4. Unilaterally reclassify the sovereign debtof a bankshomejurisdiction

or from the jurisdiction in which a bank operates

central bank reserves

central bank debt securities

or cash


23/129


24/129


25/129

Characteristics, criteria and metrics that supervisorsshould consider in judging asset liquidity

A. Asset characteristics

1. Probability of default:

The credit qualityof an asset will influence investorswillingness or abilityto hold it

Information and data such ascredit ratings, spreads to

risk-free assetsand measurements of asset price declinesduring periods of market turmoil

can all be indicators of asset quality


26/129


2. Flight to quality:

Assets whose prices tend to rise during times of marketturmoil

typically illustrate higher market liquidity duringstress

The correlationbetween asset price and banking system

stress is one simple measure that could be used


27/129


3. Volatility:

Assets with lowvolatility

tend to be less risky and more liquid

Volatility of traded prices and spreads are simple proxymeasuresof market volatility

There should be historical evidence of relative stabilityof market terms (eg prices and haircuts) and volumes

during stressed periods


28/129


29/129


5. Collateral eligibility:

Frequently accepted as collateral for transactions in other

assets/derivatives at a wide range of markets, clearing houses, and

payment systems


30/129


6. Standardisation of asset features:

Where an asset has a standard structure

this can facilitate widespread understandingof therisks it poses

increasing investors confidencein its pricing

and hence boosting market liquidity


31/129


7. Price transparency:

Availabilityof transparent, publicly available pricing

sources can enhance willingnessto trade

and hence market liquidity


32/129


B. Market structure characteristics

1. Trading venues:

The ability to transacton an electronic trading platform

or listed exchange enhances transparency

The ability to tradethe asset on a broader rangeoftrading environments (including dealer-based ones)

can generate additional scrutinyand broadenparticipation

supporting market liquidity


33/129


2. Market size:

There are several aspectsof the market size for an assetclass that can have a bearingon the liquidity of that class

as a whole or of individual securities within that class

These includethe aggregate outstanding value

the aggregate trading volume

the aggregate numbers of trades observed and the weight of the asset class in global and local

investment portfolios


34/129


3. Issue size:

The outstanding amountof a security available fortrade

affects the ability to buy and sell the security in largequantities

4. Related financing markets:

Availability of repo or securities lendingmarkets for anasset class

increases the prospectsfor it to be liquid


35/129


5. Market participation:

Widespread and diverse participation in the market

is a signal of potentially higher asset liquidity

6. Market-makers:

Asset markets with a large groupof (well capitalised)market-makers offering to trade on a continuous basis

tend to have higher liquidity


36/129


Dataon asset and market structure characteristics

should be relatively straightforwardfor supervisors togather

(particularly in comparison to the historical metricsdiscussed below)

However, some characteristics might not be easilycapturedby quantitative data

and hence cross-market comparison may notbestraightforward

(eg market transparency is a qualitativeconcept)


37/129


In addition, the linkagebetween a specific characteristicand asset liquidity

is likely to varyacross markets and over time

It is recommended that supervisors supplementtheirassessment and measurements of liquidity from assetand market characteristics

by direct measurementof liquidity whenever possible


38/129

Liquidity metrics:Direct measures of market liquidity

Quantitativemetrics capturing important aspects of themarket liquidity of a specific security or asset class

can helpsupervisors both

to assess the relative liquiditybehaviour of differentsecurities

and to develop an understanding of the rankingofliquidity across a range of asset classes


39/129


Manyspecific metrics of liquidity and quality exist in theacademic literature

Some key metricsthat might be of most relevance to

supervisors are summarised in Table 2(previous slides)and listed below

In some jurisdictions

historical data can be difficultto obtain particularly for securities traded predominantly in

OTC markets(eg many classes of debt securities).


40/129


Supervisors are likely to find a trade-off exists betweenthe use of simplemetrics

which might be straightforwardto calculate and

potentially more comparableacross assets and markets and more complexmetrics

which may have greater predictive power for marketliquidity but are only available or applicable in a subset

of markets


41/129


1. Depth/price impact of trading:

Including Amihud ratio (price changes relative tovolume) and autocorrelation of returns

2. Breadth:

Including bid/ask spreads

3. Immediacy:

Including average number of trades per day and numberof days with zero returns or volume.


42/129


While the academic literature has proposed a widevarietyof liquidity proxies to measure asset and marketliquidity

no single universally accepted measure exists that can capture all the dimensionsof liquidity

Limitationsin the readily available data across

jurisdictions and markets are the main restrictionon calculating these liquidity

metrics


43/129


At the very least

a simple liquidity metric requires asset price dataatthe International Securities Identification Number (ISIN)

level (Note: ISIN uniquely identifiesa security

its structure is defined in ISO 6166)

For most metrics transaction volume, outstanding issue, and/or bid-ask

quotesare also required


44/129


Finally

since the resultsof these calculations are mostmeaningfulwhen ***compared across time*** rather than

across jurisdictions ***several years of data are required*** to observe the

changein an assets liquidity

across different market conditions

and at different points in the business cycle


45/129

Using characteristics and metrics to create aframework for supervisory judgment

When providing supervisory guidance

supervisors could use information on thecharacteristicsof an asset or asset class

the structureof the markets it trades in and historical dataon its trading behaviour

in a range of ways


46/129


This section discusses threepossible approaches:

1. A historical method largely reliant on historical datato directly measure market liquidity

2. An alternative definitional approach which uses historical data to identify characteristics

that can provide usable definitionsof liquid assets

3. A simpler checklist frameworkusing asset

characteristics which may be useful in cases where supervisors face

larger data gapsin measuring asset liquidity


47/129


The approaches proposed below are not exhaustive

but represent a reasonable rangeof options forsupervisors to consider

in organising information and dataon asset liquidity


48/129


Supervisors will need to judge whichof the frameworksbelow

if any

are appropriatefor assets and asset classes in theirjurisdictions

In some cases

certain frameworks may be appropriatefor someassets and asset classes

but not for others


49/129


Moreover, in all cases

the frameworks below will require significantsupervisory judgmentfor implementation

including local knowledgeabout the use and structureof particular assets

In addition, supervisors will need to make judgmentsabout

whichmetrics or characteristics of asset liquidity arelikely to be most usefulin their local market

and to their supervised institutions


50/129


Historical method:

One possible approach would be

to rely directly on past evidenceof the historicalliquidity of assets

as a means of determining their eligibilityas HQLA


51/129


Here the main challenges would lie

in identifying which characteristicsand which metricsof liquidity and quality from the table above

should be given most weight bearing in mind the data availability constraintsthat

are encountered in the each jurisdiction


52/129


Once a historicaldataset has been produced

it might be feasiblewithin a single jurisdiction

to identify threshold levelsfor individual metrics,

beyond whichan asset would be classified as eligibleforthe HQLA buffer

Example- where bid-offer spreads were below X basis

pointsand daily trading volumes were above $Y


53/129


Such an approach would not be applicable in aharmonised manner acrossjurisdictions

as the appropriate thresholds cannotbe set at a

consistent absolutelevel across markets but rather can onlybe arrived at through a process of

informed judgmentwithin a specific market


54/129


A variant on this historicalapproach would be

to devise a means of combininga number of metricsinto a singleliquidity score

and then devising a threshold for this combined metric

Calibration of the weightsof this score would need to beestablished for the specific characteristics of the

individual jurisdictions and it may be difficult to achieve consistencyacross

asset classes


55/129


One major drawbackof the historicalmethod is that

the exercise should be repeated at regular intervalstoensure a consistenttreatment over time

and it may also be difficult to apply to newlyissuedsecurities


56/129


57/129


This approach has the advantagethat

it could be applied not onlyto asset classes wherehistoricalliquidity metrics are available

but also potentially to deriving definitions of liquidityfor assets where such historical liquidity metrics areharderto obtain


58/129


Under this method

supervisors would still be required to choose whichmetricsthey felt best capturedthe market liquidity of the

assets being examined and they would also need to make judgmentsabout

thresholdsappropriate for their jurisdictions


59/129


However

such judgmentswould be used to assess whichcharacteristics

had useful predictive powerover ***whether anindividual asset was found to be liquid***

with those that

were found to be ***useful predictors becoming

components of a definition*** of a liquid asset


60/129


For example

if it was found that UK corporate bonds with issuesizes below 100 million

typically failed to surpassthe thresholds chosen then a necessary part of the definition of a liquidasset

would be

to have an issue size >100 million


61/129


The definition of liquidasset could be stated

either as a set of characteristics that must allbe metindividually

or as a combined setof characteristics of which the asset ***must meet at least X

characteristics*** to be classified as liquid


62/129


Checklist method:

The term checklist method refers to an approach

where supervisors would use their judgment to devise a set of criteriathat

an asset or asset class would need to meet to beeligibleto qualify

for a particular component of HQLA


63/129


A strict checklist approach

would require all checks to be metfor an asset toqualify

A threshold checklist approach

would require that a minimumnumber of checks bemet


64/129


65/129


As a practicalmatter

supervisors might choose to use a checklistmethod foridentifying eligibleassets or asset classes

if a lack of quantitativedata on the historical liquidityof the assets being studied prevented themfromadopting

either the historical

or definitional methods


66/129


Although the checklistcould in principle incorporatequantitativechecks where data are available for a limitedset of metrics

it is most likelythat in practice

supervisors would use this method when they lackedmore detailed data and information to calculate directliquidity metrics

and instead they would need to relymore heavily onchecks assessing the *qualitative* characteristics of assets


67/129


Checklist example: Below is an example of a checklistmethod that could assist supervisors in determiningwhich assets

***despite meeting the criteria*** of the Basel LCRtext

are ***not sufficiently liquid*** in private markets tobe included in the stock of HQLA

The example checklist uses a sequential approachtodetermining whether to excludeassets from HQLA

(or increase their haircuts)


68/129


69/129


The checklist starts with fundamental measures:

Simple but criticalliquidity criteria

Thenprogresses to more data-intensive metricsthat directly measuredifferent aspects of asset liquidity


70/129


Table 3 uses the liquidity metrics/measures proposed inSection 2 and provides an example of a tiered checklistthat supervisors could consider

The example in Table 3 classifies measures/metrics intofourclasses:

1. Fundamental

2. Basic 3. Data-dependent

4. Calculated


71/129


Fundamental Metrics:

Failureto meet anyone of the fundamental metrics

would be grounds for disqualificationof an asset froman HQLA level


72/129


For example

a corporate debt security is BBB-rated

but denominated in a non-convertible currency

that would be the sole basis needed by a supervisor todisqualifyit

These metrics would require little or no data


73/129


Basic Metrics:

Failureto meet a combinationof these metrics

would be grounds for disqualification


74/129


For example

if an asset met all the FundamentalMetrics

but failed to meet X out of 15listed in Table 3

the asset might be disqualifiedfrom HQLA

These metrics would require little or no data

Supervisorshave the discretion to determine

*whether* a metric should be Fundamental or Basicfor their jurisdictions


75/129


Data-Dependent Metrics:

These metrics require basic data collectionand/or

basic calculations

If data are availableto calculate them these metrics would be applied to assets that have

***passed both the Fundamental and Basic*** metrics

To apply these metrics

supervisors would set a minimum threshold for eachmetric that would qualify an asset to be classified as anHQLA


76/129


The supervisor could disqualifyan asset

for failing to meet anyone of the minimumthresholds

orcould disqualifyan asset for failing to meet a certain numberof minimum

thresholds

(for example, if it failed to meet two thirds of all the

minimum thresholds)

This would be at the supervisors discretion


77/129


Calculated Metrics:

These metrics require more complexdata collection and

calculations

These metrics would be applied to assets that havepassedthe ***Fundamental, Basic, and Data-Dependent

metrics***


78/129


These metrics would be applied in a similar mannertothe Data-Dependent Metrics

Ifa broad arrayof calculated metrics can be calculatedforparticular asset or asset class

then one of the more sophisticated methodologies historical or definitional methods

might be preferredby supervisors


79/129


Another wayto apply the Data-Dependent andCalculated Metrics

would be to apply only certainmetrics or thresholdswithin a metric to a particular levelof HQLA

For example

qualifying Level 1HQLA may onlybe required to

pass the Fundamental and BasicMetrics but qualifying Level 2assets might need to pass the

Fundamental, Basic, and Data-DependentMetrics


80/129


This concept can be further extended

by applying only certain metrics to a particular assetclass withinan HQLA level

For example

if qualifying Level 2assets are required to pass theFundamental, Basic, and Data-DependentMetrics

a supervisor could furtherrequire RMBSto***demonstrate a low correlation*** with risky assets

which is a Calculated Metric


81/129

Second PaperLiquidity Coverage Ratio

Disclosure Standards

January 2014


82/129

Introduction

This disclosure framework is focused on disclosurerequirements for the Liquidity Coverage Ratio (LCR)

These requirements will improve the transparencyofregulatory liquidity requirements

reinforce the Sound Principles

enhance market discipline

and reduce uncertaintyin the markets as the LCR isimplemented


83/129

Introduction

It is important that banks adopt a commonpublicdisclosure framework

to help market participantsconsistently assess banksliquidity risk position

To promote consistency and ease of useof disclosuresrelated to the LCR and enhance market discipline

the Committee has agreed that internationally activebanks across member jurisdictions will be required topublish their LCR according to a common template


84/129

Introduction

There are, however, some challengesassociated withdisclosureof liquidity positions

under certain circumstances

including the potential for undesirable dynamicsduring stress

The Committee has carefully considered this trade-offin

formulating the disclosure framework contained in thisdocument

Scope of application implementation


85/129

Scope of application, implementationdate and frequency of reporting

The disclosure requirements set out in this document

should be applied to all internationally activebankson a consolidatedbasis

but may be used for other banksand on any subset ofentities of internationally active banks

as well to ensure greater consistency

and a level playing field

between domestic and cross-borderbanks



86/129


National authorities will give effectto the liquiditydisclosure requirements set out in this standard

by no later than 1 January 2015

Banks will be required to complywith these disclosurerequirements

from the date of the first reporting period after 1

January 2015



87/129


Banks must publishthis disclosure

at the same frequencyas, and concurrently with

the publication of their financial statements

irrespective of whether the financial statements areaudited

(ie typically quarterly or semiannually)



88/129


Disclosuresrequired by this document

must either be includedin banks published financialreports

or, at a minimum provide a direct and prominent link to the completed

disclosure on the banks websites

or in publicly available regulatory reports


89/129


90/129


91/129

Disclosure requirements

Data must be presented as simple averagesof dailyobservationsover the previous quarter

(ie the average is calculated over a period of, typically,90 days)

Moreover, banks must publish the number of data pointsused

in calculating the averagefigures in the template


92/129


To easeimplementation burdens

national authorities may exemptbanks from therequirement for disclosure of LCR data

based on averagesof daily data up to the first reporting period after 1 January 2017

In such cases

banks should calculate averages based on monthlyfigures


93/129


For most data items

***both unweighted and weighted*** values of theLCR components must be disclosed

The *unweighted*value of inflows and outflows

is to be calculated as the outstanding balancesofvarious categories or types of liabilities

off-balance sheetitems or contractual receivables


94/129


The *weighted* value of HQLA

is to be calculated as the value after haircutsareapplied

The weightedvalue for inflows and outflows

is to be calculated as the value after the inflow andoutflow rates are applied


95/129


Total HQLA and total net cash outflows must bedisclosed as the adjustedvalue

where the adjusted value of HQLA is

the value of total HQLA after the applicationofboth

haircuts

and any applicable caps on Level 2B and Level 2 assets


96/129


The adjustedvalue of net cash outflows

is to be calculated after the capon inflows is applied,if applicable

In additionto the common template

banks should provide sufficient qualitativediscussionaround the LCR to facilitate understandingof the results

and data provided For example, where significant to the LCR, banks could

discuss:


97/129


(a) the main driversof their LCR results

and the evolution of the contributionof inputs to theLCRs calculation over time

(b) intra-period changesas well as changes over time

(c) the composition of HQLA

(d) concentrationof funding sources


98/129


(e) derivative exposuresand potential collateral calls

(f) currency mismatchin the LCR

(g) a description of the degree of centralisationofliquidity management

and interaction between the groups units


99/129


(h) other inflows and outflowsin the LCR calculation

that are not capturedin the LCR common template

but which the institution considers to be relevantforits liquidity profile


100/129

LCR common disclosure template


101/129



102/129


Explanation of the LCR common


103/129

Explanation of the LCR commondisclosure template



104/129



105/129



106/129

pdisclosure template(8) - Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools Jan. 2013



107/129




108/129



109/129

Instructions for completion of the LCR


110/129

pcommon disclosure template

Each dark grey rowintroduces a section of the template(HQLA, cash outflows and cash inflows) and does notrequire any value to be reported

The light grey rowsrepresent the broad categoriesofthe subcomponents of the LCR in the relevant section



111/129


The unshaded rowsrepresent subcomponentswithinthe major categories of cash inflows and outflows

No datashould be entered in the cross-hatched cells



112/129


Figures entered in the template must be ***averages***

of the observations of individual line items over thefinancial reporting period

(ie the average of components and the average LCRover the most recent three months of daily positions,irrespective of the financial reporting schedule)

The averages are calculated after the application

of any haircuts, inflow and outflow rates and caps,where applicable.



113/129


For example:



114/129


Weighted figures of HQLA(line 1, third column)

must be calculated afterthe application of therespective haircuts

but before the application of any caps on Level 2B andLevel 2assets



115/129


Unweighted inflows and outflows(lines 28, 1115 and1721, second column)

must be calculated as outstanding balances

Weighted inflows and outflows(lines 221, thirdcolumn)

must be calculated afterthe application of the inflowand outflow rates



116/129


Adjusted figures of HQLA(line 21, third column)

must be calculated afterthe application of both:

(i) haircutsand

(ii) any applicable caps(ie cap on Level 2B and Level 2assets)

Adjusted figures of net cash outflows(line 22, third

column) must be calculated after the application of both:(i) inflow and outflow rates and

(ii) any applicable cap(ie cap on inflows)



117/129


The LCR (line 23) must be calculated as the averageofobservations of the LCR:



118/129


Not allreported figures will sum exactly

particularlyin the denominatorof the LCR

For example

total net cash outflows (line 22) may not be exactlyequalto total cash outflows minus total cash inflows(line 16 minus line 20)

if the cap on inflows is binding

Similarly, the disclosed LCR may not be equalto an LCR computed on the basis on the average values

of the set of line items disclosed in the template


119/129

Guidance on additional disclosures

The Committee recognises that the LCR is only onemeasureof a banks liquidity risk position

Disclosure of otherquantitative and qualitativeinformation will provide market participants

with a broader pictureof banks liquidity risk positionand management and promote market discipline

The Sound Principlesprovide additional guidancetobanks on prudent liquidity risk management

including principles on disclosure of certain keyinformation


120/129


Using the Sound Principlesas a basisfor providinggreater qualitative information on a banks approach toliquidity risk management

will further enhancethe quality and consistency of

liquidity disclosures


121/129


It will also allow banks to present information relevantto their business model

that may notbe adequately capturedby standardisedregulatory metrics

Additional informationthat banks choose to disclose

should provide sufficient information to enablemarket participants

to understand and analyseany figures provided


122/129


As there is no singlemetric that can comprehensivelyquantifyliquidity risk

a bank may also choose to disclose additionalquantitative information related to its internal liquidity

risk measurement and management framework

In particular

the Basel III liquidity risk framework outlines severalkey monitoring toolsfor assessing liquidity risk


123/129


These metrics are not regulatory requirementsunder theBasel III framework

but may be used as consistently defined monitoringtools

They are intended to capture specificinformation

related to a banks cash flows, balance sheet structureand available collateral


124/129


The additional quantitativeinformation that banks mayconsider disclosing

could include customisedmeasurement tools or metricsthat assess the structureof the banks balance sheet

as well as metricsthat projectcash flows and futureliquidity positions

taking into account off-balance sheetrisks which arespecific to that bank


125/129


Otherquantitative information

could include key metrics that management monitors,including, but not limited to:

(a) concentration limitson collateral pools and sources offunding

(both products and counterparties)


126/129


127/129


Banks are required to provide a qualitative discussionoftheir LCR results

and the related componentsthat are required to bedisclosed

Banks may also chooseto provide otherqualitativeinformation to enable market participantsto gain a morethoroughunderstanding of internal liquidity risk

management and positions particularly those related to that specific institution


128/129


This information could include:

(a) governanceof liquidity risk management, including:

Risk tolerance Structure and responsibilities for liquidity risk

management

Internal liquidity reporting

Communicationof liquidity risk strategy, policies andpractices across business lines

and with the board of directors


129/129


(b) funding strategy

including policies on diversificationin the sourcesand tenor of funding

and whether the funding strategy is centralised ordecentralised

(c) liquidity risk mitigationtechniques

(d) an explanation of how stress testing is used (e) an outline of contingency funding plans

3d Final Basel III

Documents

Transcript of 3d Final Basel III