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Dubai Financial Services Authority (DFSA): Contents

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Prudential Returns Module (PRU) [VER5/02-19]
PRU 1 Instructional Guidelines for PIB Forms
1.34 Form B220 — Liquidity Coverage Ratio
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Mar 28 2019 onwards

1.34 Form B220 — Liquidity Coverage Ratio



Whole Section PDF

The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

To view past versions of this module in PDF format, please visit the Archive.

Purpose

Form B220 — Liquidity Coverage Ratio (LCR) intends to calculate the Liquidity Coverage Ratio of an Authorised FirmG and to determine the required level of High Quality Liquid Assets.

Applicability

This Form is applicable to Authorised Firm'sG operating under Prudential CategoriesG 1 and 5.

Content

This Form is designed to capture detailed information about the Authorised FirmG 's available unencumbered High Quality Liquid Assets as well as its cash outflows and inflows over a 30 days horizon. The Form is also used to calculate the Liquidity Coverage Ratio based on specified liquidity stress scenario.

Structure of the form in EPRS

Form B220 — LCR is presented as a single form.

Instructional Guidelines

The DFSAG reporting template follow closely the LCR standards of the Basel Committee on Banking Supervision as published in its January 2013 document entitled "Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools" (referred to below as "Basel III LCR"). For this reason the LCR schedule is to be completed in line with these mentioned standards. Where there is a requirement to deviate from these standards these are outlined in the guidance below.

Line Number Line Item Instructional Guideline
Liquidity Coverage Ratio ("LCR")
Stock of High-Quality Liquid Assets
A. Level 1 Assets
Ref. PIB A9.2.5, A9.2.6 and Basel III LCR Section II.A.4 Paragraphs 49–50.
B220_00110 Coins and bank notes Physical coins and bank notes held.
B220_00120 Qualifying Central BankG reserves Ref. PIB A9.2.6(2)(b) and Basel III LCR Section II.A.4 Paragraph 50(b).

Central BankG reserves would include BanksG ' overnight DepositsG with the Central BankG , and term DepositsG with the Central BankG that:
(i) are explicitly and contractually repayable on notice from the depositing bank; or,
(ii) that constitute a loan against which the bank can borrow on a term basis or on an overnight but automatically renewable basis (only where the bank has an existing deposit with the relevant Central BankG ). Other term DepositsG with central BanksG are not eligible for the stock of HQLA.
B220_00130 Qualifying marketable securities (sovereigns, CBs, PSEs, MDBs) Ref. PIB A9.2.6(2)(c) and Basel III LCR Section II.A.4 Paragraph 50(c).

This category comprises marketable securities representing claims on or claims guaranteed by sovereigns, central BanksG ("CBs"), non-central government public sector entities ("PSEs"), the Bank for International Settlements, the International Monetary Fund, the European Commission, or multilateral development BanksG ("MDBs") satisfying all of the conditions under PIB A9.2.6(2)(c).
B220_00140 Domestic sovereign or CBs debt (non-0% risk-weighted) Ref. PIB A9.2.6(d), (e) and Basel III LCR Section II.A.4 Paragraph 50(d) and (e).
B220_0010T Total stock of Level 1 Assets This figure is calculated by EPRS.
B220_00150 Adjustments to stock of Level 1 Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

The adjustments required to the stock of Level 1 assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 1 assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2.
B220_00160 Adjusted amount of Level 1 Assets This figure is calculated by EPRS.
B. Level 2 Assets (Maximum 40% of HQLA)
Ref. PIB A9.2.5 and Basel III LCR Section II.A.4 Paragraph 51.
B1. Level 2A Assets Ref. PIB A9.2.7< and Basel III LCR Section II.A.4 Paragraph 52.
B220_00210 Sovereign, CBs, MDBs, PSEs (20% risk weighting) Ref. PIB A9.2.7(2)(a) and Basel III LCR Section II.A.4 Paragraph 52(a).

This category comprises marketable securities representing claims on or claims guaranteed by sovereigns, central BanksG ("CBs"), non-central government public sector entities ("PSEs") or multilateral development BanksG ("MDBs") satisfying all of the conditions under PIB A9.2.7(2)(a).
B220_00220 Qualifying corporate debt securities rated AA- or higher Ref. PIB A9.2.7(2)(b) and Basel III LCR Section II.A.4 Paragraph 52(b).
This category comprises corporate debt securities (including commercial paper) and covered bonds that satisfy all of the conditions under PIB A9.2.7(2)(b).

Corporate debt securities' (including commercial paper) include only plain-vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge, i.e. these do not include complex structured products or subordinated debt.
B220_00230 Qualifying covered bonds rated AA- or higher Ref. PIB A9.2.7(2)(b) and Basel III LCR Section II.A.4 Paragraph 52(b).

This category comprises covered bonds that satisfy all of the conditions under PIB A9.2.7(2)(b).

Covered bonds are bonds issued and owned by a bank or mortgage institution and are subject by law to special public supervision designed to protect bond holders. Proceeds deriving from the issue of these bonds are be invested in conformity with the law in assets which, during the whole period of the validity of the bonds, are capable of covering claims attached to the bonds and which, in the event of the failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.
B220_0020T Total stock of Level 2A Assets This figure is calculated by EPRS.
B220_00240 Adjustments to stock of Level 2A Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

The adjustments required to the stock of Level 2A assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 2A assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2.
B220_00250 Adjusted amount of Level 2A Assets This figure is calculated by EPRS.
B2. Level 2B Assets
(Maximum 15% of HQLA)
Ref. PIB A9.2.8 and Basel III LCR Section II.A.4 Paragraphs 53–54.
B220_00310 Qualifying RMBS Ref. PIB A9.2.8(2)(a) and Basel III LCR Section II.A.4 Paragraph 54(a).

This category comprises residential mortgage backed securities ("RMBS") that satisfy all of the conditions under PIB A9.2.8(2)(a).
B220_00320 Corporate debt securities rated A+ to BBB- Ref. PIB A9.2.8(2)(b) and Basel III LCR Section II.A.4 Paragraph 54(b).

This category comprises corporate debt securities (including commercial paper) and covered bonds that satisfy all of the conditions under PIB A9.2.8(2)(b).

Corporate debt securities' (including commercial paper) include only plain-vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge, i.e. these do not include complex structured products or subordinated debt.
B220_00330 Qualifying common equity shares Ref. PIB A9.2.8(2)(c) and Basel III LCR Section II.A.4 Paragraph 54(c).

This category comprises common equity shares that satisfy all of the conditions under PIB A9.2.8(2)(c).
B220_0030T Total stock of Level 2B Assets This figure is calculated by EPRS.
B220_00340 Adjustments to stock of Level 2B Assets Ref. PIB A9.2.5(3) and Basel III LCR Annex 1.

The adjustments required to the stock of Level 2B assets represent the total amount of short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any Level 2B assets that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in PIB A9.2.2A9.2.4.
B220_00350 Adjusted amount of Level 2B Assets This figure is calculated by EPRS.
B220_00360 Adjustment to stock of HQLA due to cap on Level 2B Assets Ref. PIB A9.2.5(2)(c) and Basel III LCR Section II.A.4 Paragraph 47.

This figure is calculated by EPRS.
B220_00370 Adjustment to stock of HQLA due to cap on Level 2 Assets Ref. PIB A9.2.5(2)(b) and Basel III LCR Section II.A.4 Paragraphs 46 and 51.

This figure is calculated by EPRS.
B220_06000 Total Value of stock of Highly-Quality Liquid Assets This figure is calculated by EPRS.
Cash Outflows Ref. PIB A9.2.13(2) and Basel III LCR Section II.B Paragraph 69.
B220_0110T
A. Retail DepositsG
Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i) Paragraphs 73–74.
  Demand deposit and qualifying term DepositsG with residual maturity or notice period within 30 days.
B220_01120 Stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(a) Paragraphs 75–77.
B220_01130 Retail — Less stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 79–81.
B220_01140 Retail — Term DepositsG (residual maturity > 30, no withdraw) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(i)(b) Paragraphs 82–83.

This category comprises outflows from term retail DepositsG with residual maturity greater than 30 days and with no legal right to withdraw or a withdrawal with a significant penalty.
B220_0120T
B. Unsecured Wholesale Funding
Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii) Paragraphs 85–88.
Funding from:
B220_01210 Small business customers — Stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89–91.
B220_01220 Small business customers — Less stable DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraphs 89–91.
B220_01230 Small bus. cust. — Term DepositsG (residual maturity > 30 days, no withdraw) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(a) Paragraph 92.

This category comprises outflows from term DepositsG of small business customers with residual maturity greater than 30 days and with no legal right to withdraw or a withdrawal with a significant penalty.

Term DepositsG from small business customers should be treated in accordance with the treatment for term retail DepositsG .
B220_01240 Operational DepositsG Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraphs 93–103.

This category comprises outflows from operational DepositsG generated by clearing, custody and cash management activities.
B220_01250 Operational DepositsG covered by a deposit protection scheme Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(b) Paragraph 104.

This category comprises outflows from operational DepositsG generated by clearing, custody and cash management activities fully covered by a deposit protection scheme.
B220_01260 Cooperative BanksG in an institutional network Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(c) Paragraphs 105–106.

An institutional network of cooperative BanksG is a GroupG of legally autonomous BanksG with a statutory framework of cooperation with common strategic focus and brand where specific functions are performed by central institutions or specialised service providers.
B220_01270 Non-financial corporates, sovereigns, CBs, MDBs & PSEs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(d) Paragraph 107.

This category comprises all DepositsG and other extensions of unsecured wholesale funding from non-financial corporate customers (that are not categorised as small business customers) and (both domestic and foreign) sovereign, Central BankG ("CBs"), multilateral development BanksG ("MDBs"), and public sector sntities ("PSEs") customers that are not specifically held for operational purposes.
B220_01280 Non-financial corp., sov., CB, MDBs & PSEs with deposit protection Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(d) Paragraph 108.

This category comprises all DepositsG and other extensions of unsecured wholesale funding from non-financial corporate customers, sovereigns, central BanksG ("CBs"), multilateral development BanksG ("MDBs"), and public sector entities ("PSEs") without operational relationships if the entire amount of the deposit is fully covered by an effective deposit insurance scheme or by a public guarantee that provides equivalent protection.
B220_01290 Other legal entity customers Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(ii)(e) Paragraphs 109–111.

This category comprises all DepositsG and other extensions of unsecured wholesale funding from other legal entity customers (including BanksG , securities FirmG s, insurance companies, etc), fiduciaries, beneficiaries, conduits and special purpose vehicles, affiliated entities of the bank and other entities that are not specifically held for operational purposes and not included in the prior three CategoriesG .

All notes, bonds and other debt securities issued by the Authorised FirmG are to be included in this category regardless of the holder, unless the bond is sold exclusively in the retail market and held in retail accounts (including small business customer accounts treated as retail), in which case the instruments can be treated in the appropriate retail or small business customer deposit category.
B220_0130T
C. Secured Funding
Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraphs 112–113.

Secured funding includes those liabilities and general obligations that are collateralised by legal rights to specifically designated assets owned by the borrowing institution in the case of bankruptcy, insolvency, liquidation or resolution.

For this category an Authorised FirmG is to consider all outstanding secured funding transactions ("SFTs") with maturities within the 30 calendar day stress horizon, including customer short positions that do not have a specified contractual maturity. The amount of outflow is to be calculated based on the amount of funds raised through the transaction, and not the value of the underlying collateral.
B220_01310 SFTs backed by Level 1 assets or with CBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
B220_01320 SFTs backed by Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
B220_01330 SFTs backed by non-Level 1 or non-Level 2A assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.

This category comprises secured funding transactions ("SFTs") backed by non-Level 1 or non-Level 2A assets, with the domestic sovereigns, multilateral development BanksG , or domestic public sector entities ("PSEs") as CategoriesG . PSEs are limited to those that are 20% risk weighted or better.
B220_01340 SFTs backed by RMBS eligible for inclusion in Level 2B Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
B220_01350 SFTs backed by other Level 2B assets Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 114.
B220_01360 All other secured funding transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iii) Paragraph 115.

This category comprises all other maturing transactions (other than those included in the prior five CategoriesG ), including transactions where a bank has satisfied customers' short positions with its own long inventory.
B220_0140T
D. Additional Requirements
 
B220_01410 DerivativeG s cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 116–117.

Expected contractual DerivativeG cash inflows and outflows are to be calculated in accordance with the Authorised Frim existing valuation methodologies. Cash flows may be calculated on a net basis (i.e. inflows can offset outflows) by CategoriesG , only where a valid master netting agreement exists. Liquidity requirements that would result from increased collateral needs due to market value movements or falls in value of collateral posted are to be excluded from such calculation.

Options are to be assumed to be exercised when they are 'in the money' to the option buyer.

Where DerivativeG payments are collateralised by HQLA, cash outflows need to be calculated net of any corresponding cash or collateral inflows that would result, all other things being equal, from contractual obligations for cash or collateral to be provided to the Authorised FirmG , if the Authorised FirmG is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the collateral is received.
B220_01420 Liquidity needs: financing transactions, DerivativeG s and other contracts Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 118.

This category comprises amounts of increased liquidity needs related to downgrade triggers embedded in financing transactions, DerivativeG s and other contracts.

For each contract in which "downgrade triggers" exist, the Authorised FirmG is to include the amount of collateral that would be posted for, or contractual cash outflows associated with, any downgrade up to and including a 3-notch downgrade of the Authorised FirmG 's long-term credit rating. Triggers linked to the short-term rating should be assumed to be triggered at the corresponding long-term rating in accordance with published ratings criteria.

The impact of the downgrade should consider impacts on all types of margin collateral and contractual triggers which change re-hypothecation rights for non-segregated collateral.
B220_01430 Valuation changes on non-Level 1 posted collat. securing DerivativeG s Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 119.

This category comprises amounts of increased liquidity needs related to the potential for valuation changes on non-Level 1 posted collateral securing DerivativeG and other transactions. The value can be netted against the amount of collateral received on a CategoriesG basis (provided that the collateral received is not subject to restrictions on re-use or re-hypothecation).
B220_01440 Excess collateral — DerivativeG transactions that could be called Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 120.
This category comprises amounts of increased liquidity needs related to excess non-segregated collateral held by the Authorised FirmG that could contractually be called at any time by the CategoriesG .
B220_01450 Liquidity needs — collateral due on DerivativeG s transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 121.
This category comprises amounts of increased liquidity needs related to contractually required collateral on transactions for which the CategoriesG has not yet demanded the collateral be posted.
B220_01460 Liquidity needs — DerivativeG transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 122.
This category comprises amounts of increased liquidity needs related to contracts that allow collateral substitution to non-HQLA assets.
B220_01470 Market valuation changes on DerivativeG s transactions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 123.
This category comprises any outflow generated by increased needs related to market valuation changes, calculated by identifying the largest absolute net 30-day collateral flow realised during the preceding 24 months. Inflows and outflows of transactions executed under the same master netting agreement can be treated on a net basis. The absolute net collateral flow is based on both realised outflows and inflows.
ABCP, SIVs, Conduits, etc.:
B220_01480 Loss of funding on ABS, covered bonds & other struct. finan. Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 124.
This category comprises outflows from transactions on asset-backed securities ("ABS"), covered bonds and other structured financing instruments maturing within the 30-day period, when the related instruments are issued by the Authorised FirmG itself.
B220_01490 Loss of funding on ABCP, SIVs, SPVs, etc Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 125.

This category comprises amounts of loss of funding on asset-backed commercial paper ("ABCP"), conduits, securities investment vehicles ("SIV"), special purpose vehicles ("SPV") and other such financing facilities, where the Authorised FirmG is exposed to risks such as, but not limited to:
(i) the inability to refinance maturing debt; and,
(ii) the existence of embedded DerivativeG s or DerivativeG -like components in within the financing arrangements co that would allow the return of assets, or that require the original asset transferor to provide liquidity within the 30-day period.
Undrawn committed credit and liquidity facilities: Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 126–128.

Credit and liquidity facilities only include contractually irrevocable ("committed") or conditionally revocable agreements or obligations to extend funds at a future date to retail or wholesale counterparties. These off-balance sheet facilities or funding commitments can have long or short-term maturities, with short-term facilities frequently renewing or automatically rolling-over.

Unconditionally revocable facilities that are unconditionally cancellable by the Authorised FirmG are excluded from this category and included in "Other Contingent Funding Liabilities". The undrawn portion of these facilities are to be calculated net of any HQLA eligible for the stock of HQLA, if the HQLA have already been posted as collateral by the CategoriesG to secure the facilities or that are contractually obliged to be posted when the CategoriesG will draw down the facility (e.g. liquidity facility structured as a repo facility), if the Authorised FirmG is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the facility is drawn, and there is no undue correlation between the probability of drawing the facility and the market value of the collateral. The collateral can be netted against the outstanding amount of the facility to the extent that this collateral is not already counted in the stock of HQLA
B220_01500 Credit and Liquidity Facilities: Retail and SME clients Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(a).
B220_01510 Credit Facil.: Non-financial corporates, sovereigns and CBs, PSEs, MDBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(b).
B220_01520 Liquidity Facil.: Non-financial corporates, sovereigns, CBs, PSEs, MDBs Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(c).
B220_01530 Credit & Liquidity Facil.: BanksG subject to prudential supervision Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(d).
B220_01540 Credit facilities: Other financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(e).

Other financial institutions including securities FirmG s, insurance companies, fiduciaries and beneficiaries.
Fiduciary is a legal entity that is authorised to manage assets on behalf of a third party. Fiduciaries include asset management entities such as pension funds and other collective investment vehicles.
Beneficiary is a legal entity that receives, or may become eligible to receive, benefits under a will, insurance policy, retirement plan, annuity, trust, or other contract.
B220_01550 Liquidity Facilities: Other financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(f).
Other financial institutions including securities FirmG s, insurance companies, fiduciaries and beneficiaries.
B220_01560 Credit and Liquidity Facilities: Other legal entity customers Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 131(g).
This category comprises committed credit and liquidity facilities provided to other legal entities including hedge funds, money market funds, special purpose entity ("SPEs") and special purpose vehicles ("SPVs"), conduits, and all other entities not included in the prior CategoriesG .
An SPE is a corporation, trust, or other entity organised for a specific purpose, the activities of which are limited to those appropriate to accomplish the purpose of the SPE, and the structure of which is intended to isolate the SPE from the Credit RiskG of an originator or seller of ExposuresG .
B220_01570 Other contractual obligations to financial institutions Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 132.
This category comprises any contractual obligations to extend funds to financial institutions within a 30-day period. Any contractual lending obligations to financial institutions not captured elsewhere should be captured in this category.
B220_01580 Other contractual obligations to retail & non-financial corporate clients Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 133.
If the total of all contractual obligations to extend funds to retail and non-financial corporate clients within the next 30 calendar days (not captured in the prior CategoriesG ) exceeds 50% of total contractual inflows due in the next 30 calendar days from these clients, the difference is to be reported under this category.
Other contingent funding obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 135–141.
This category comprises contingent funding obligations which can be contractual or non-contractual and which are not lending commitments.
Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the Authorised FirmG that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations.
Some contingent funding obligations are explicitly contingent upon a credit or other event not always related to the liquidity events simulated in the stress scenario, but may nevertheless have potential to cause significant liquidity drains in times of stress. The Authorised FirmG is to consider which of these "other contingent funding obligations" may materialise under the assumed stress events. Authorised Firm'sG are expected to use historical behaviour in determining appropriate outflows. All identified contractual and non-contractual contingent liabilities and their assumptions should be documented, along with their related triggers.
B220_01590 Non-contr. Obligations — liquidity draws from JVs or minority investments Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 137.

This category comprises non-contractual obligations related to potential liquidity draws from joint ventures ("JVs") or minority investments in entities which are not consolidated where there is the expectation that the Authorised FirmG will be the main liquidity provider when the entity is in need of liquidity.
B220_01600 Trade finance-related obligations (including LCs & Guarantees) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraphs 138–139.

This category comprises contingent funding obligations stemming from trade finance instruments. These instruments consist of trade-related obligations directly underpinned by the movement of goods or the provision of services, such as:
•   documentary trade letters of credit ("LCs"), documentary and clean collection, import bills, and export bills; and,
•   guarantees directly related to trade finance obligations, such as shipping guarantees.

Lending commitments, such as direct import or export financing for non-financial corporate FirmG s, are excluded from this category and treated under the relevant "undrawn committed credit and liquidity facilities" CategoriesG .

B220_01610 Unconditionally revocable "uncommitted" credit and liquidity facilities Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
B220_01620 Guarantees & LCs unrelated to trade finance obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
Non-contractual obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
B220_01630 Debt-buy back requests (incl. related conduits) Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.

This category comprises potential requests for debt repurchases of the Authorised FirmG own debt or that of related conduits, securities investment vehicles and other such financing facilities.
B220_01640 Structured products Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
This category comprises structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes.
B220_01650 Managed funds Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
This category comprises managed funds that are marketed with the objective of maintaining a stable value, such as money market mutual funds or other types of stable value collective investment funds.
B220_01660 Other non-contractual obligations Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
This category comprises other non-contractual obligations not included in the prior three CategoriesG .
B220_01670 Outstanding debt securities with remaining maturity > 30 days Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
For issuers with an affiliated dealer or market maker, an amount of the outstanding debt securities (unsecured and secured, long term as well as short-term) having maturities greater than 30 calendar days is to be included, to cover the potential repurchase of such outstanding securities.
B220_01680 Non contractual obligations — customer short positions covered by other customers' collateral Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 140.
This category comprises contingent obligations where an Authorised FirmG has internally matched client assets against other clients' short positions where the collateral does not qualify as Level 1 or Level 2, and the Authorised FirmG may be obligated to find additional sources of funding for these positions in the event of client withdrawals.
B220_01690 Other contractual cash outflows Ref. PIB A9.2.15 and Basel III LCR Section II.B.1(iv) Paragraph 141 and Section II.B.2(i) Paragraph 147.
This category comprises any other contractual cash outflows within the next 30 calendar days, such as outflows to cover unsecured collateral borrowings, uncovered short positions, dividends or contractual interest payments. Outflows related to operating costs, however, are not to be considered for LCR calculation.
B220_0100T Total Cash Outflows This figure is calculated by EPRS.
Cash Inflows Ref. PIB A9.2.13(3), Basel III LCR Section II.B Paragraph 69 and Basel III LCR Section II.B.2 Paragraphs 142–143.

Cash inflows to be considered include only contractual inflows (including interest payments) from outstanding ExposuresG that are fully performing and for which the Authorised FirmG has no reason to expect a default within the 30-day time horizon. Contingent inflows are not included in total net cash inflows.
Secured lending (incl. revere repos and securities borrowing), with the following as collateral:
B220_02110 Level 1 assets Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(i) Paragraphs 145–148.
B220_02120 Level 2A Assets
B220_02130 Level 2B Assets — eligible RMBS
B220_02140 Level 2B Assets — Other assets
B220_02150 Margin lending backed by all other collateral
B220_02160 All other assets
B220_02170 Credit or liquidity facilities provided to the reporting bank Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(ii) Paragraphs 149.
B220_02180 Operational DepositsG held at other financial institutions Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 156–157.
This category comprises operational DepositsG held at other financial institutions (including DepositsG held at centralised institution of a network of co-operative BanksG ) for operational purposes such as for clearing, custody, and cash management purposes.
Other inflows by CategoriesG Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 150–152.
Inflows to be considered are limited to receivables that are fully performing and contractually due within a 30-day horizon. Inflows should only be taken at the latest possible date, based on the contractual rights available to counterparties. Inflows from loans that have no specific maturity (i.e. have non-defined or open maturity) are not be included; therefore, no assumptions to be applied as to when maturity of such loans would occur. An exception to this would be minimum payments of principal, fee or interest associated with an open maturity loan, provided that such payments are contractually due within 30 days. These minimum payment amounts are to be captured as inflows in the relevant category below.
B220_02190 Amounts receivable from retail counterparties Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 153.
This category comprises amounts receivable from retail and small business customers that are fully performing and contractually due within a 30-day horizon.
B220_02200 Amounts receivable from non-financial wholesale counterparties Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 154.

This category comprises amounts receivable from non-financial wholesale counterparties (including non-financial corporates, sovereigns, multilateral development BanksG , and public sector entities) from transactions other than those listed in the inflow CategoriesG above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon.
B220_02210 Amounts receivable from financial institutions Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 154–155.

This category comprises amounts receivable from financial institutions, from transactions other than those listed in the two inflow CategoriesG above. These includes all payments (including interest payments and instalments) that are fully performing and contractually due within the 30-day horizon. It includes, among others, payments from interbank, money market placements and DepositsG (e.g. nostro accounts) which meet the prescribed criteria.
Inflows from securities maturing within 30 days not included in the stock of HQLA should be included.
B220_02220 Net DerivativeG receivables Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraphs 158–159.

Where DerivativeG s are collateralised by HQLA, cash inflows are to be calculated net of any corresponding cash or contractual collateral outflows that would result, all other things being equal, from contractual obligations for cash or collateral to be posted by the Authorised FirmG , given these contractual obligations would reduce the stock of HQLA.
B220_02230 Other contractual cash inflows Ref. PIB A9.2.18 and Basel III LCR Section II.B.2(iii) Paragraph 160.
B220_02240 Adjustment to net cash inflows to not excess 75% of net cash outflows Ref. PIB A9.2.13(1).

This field is automatically calculated by EPRS as an adjuster to limit Total Cash Inflows at 75% of Total Cash Outflows.
B220_0200T Total Cash Inflows This figure is calculated by EPRS.
B220_0300T Total Net Cash Outflows Ref. PIB A9.2.13(1) and Basel III LCR Section II.B Paragraph 69.

This figure is calculated by EPRS.
B220_05000 Liquidity Coverage Ratio ("LCR") Ref. PIB 9.3.5 and Basel III LCR Section II Paragraph 22.

This figure is calculated by EPRS.