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2018 Pillar 3 Disclosures
Annex
stressed rate curves on the net present value (NPV) is
analysed, calculated on the basis of the zero-coupon
curve data.
In order to supplement the sensitivity measurements,
a methodology similar to the market VaR is applied,
which enables the calculation of the Economic Value of
Capital at Risk over a period of one month, and with a
confidence level of 99%, taking into consideration all
risk factors affecting the balance sheet.
Interest-rate risk limits
The Board of Directors, as part of its monitoring
function, establishes limits for interest-rate risk in
terms of sensitivity to variations in market interest
rates. These variations are performed both for the
brokerage margin and the economic value.
7. Liquidity risk
Liquidity risk is defined as:
•
The uncertainty of succeeding in financing at a fair
price the commitments assumed, at times when
recourse to external financing would be problematic
for a given period.
•
The maintenance or generation of the liquidity
levels required to finance the future growth of the
business.
In other words, this risk reflects the probability of
incurring losses or being required to abandon new
businesses or growth of current businesses through
an inability to meet maturity commitments on a
normal basis, or inability to finance additional needs
at market costs. In order to mitigate this risk, the
liquidity situation is periodically tracked, along
with possible actions to be taken, with measures
established in order to be able to re-establish the
overall financial balance of the bank, in the event of
a potential liquidity shortfall.
Objectives, policies and management
processes for liquidity risk
The objective with regard to liquidity risk is to have
instruments and processes in place at all times to
enable payment commitments to be met in a timely
manner, through access to instruments serving to
maintain sufficient levels of liquidity in order to meet
payments without significantly compromising profit,
and the maintenance of mechanisms which, in the
event of various eventualities, would serve to fulfil
payment commitments.
In general and traditional terms, various forms of
acquiring liquidity are available, including the capture
of customer deposits, the availability of various
funding facilities through official bodies and the
capture of liquidity through the interbank market.
Liquidity Risk Measurement
There follows an overview of the measurements
employed by the Market, Balance Sheet and Liquidity
Risk Division to measure Liquidity Risk.
•
Liquidity gap
The liquidity gap measures the maturity and
settlement profile by risk line (assets and liabilities
classified in accordance with their residual maturity
term plus the interest flows derived from these
volumes), and reveals the balance mismatch
structure in terms of cash flow incomings and
outgoings.
It reflects the level of liquidity maintained
under normal market conditions and provides
information on cash incomings and outgoings, both
contractual and non-contractual, in accordance with
performance hypotheses for a given period.
This is reported on a monthly basis.
•
Liquidity Inventory
A list is drawn up in order to monitor available
liquid assets so as to identify potential sources
available in the event of a liquidity contingency.
•
Liquidity ratios
As part of monitoring the liquidity position, the
regulatory ratios are calculated:
• LCR (Liquidity Coverage Ratio):
This is the
statutory ratio used to measure whether
adequate funds are available in terms of
unencumbered high-quality liquid assets (HQLA),
which can easily and immediately by converted
into cash on private markets, in order to cover
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