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2018 Pillar 3 Disclosures
Annex
liquidity requirements in the event of liquidity
problems of 30 calendar days.
• NSFR (Net Stable Funding Ratio):
This ratio
is defined as the amount of available stable
funding relative to the amount of required stable
funding, and aims to ensure the balance sheet is
kept balanced, and stable funding requirements
are anchored by stable liabilities.
In addition, other liquidity ratios are used for
the purpose evaluating and measuring liquidity
in the balance sheet, monitoring the following on
a daily basis:
•
Short-term liquidity ratios.
These ratios estimate
the potential capacity to generate liquidity within
a period of 7, 15 and 30 days in order to meet
a liquidity eventuality, and assess the adequacy
of the proportion of sight deposits captured and
maintained in liquid assets.
The short-term liquidity ratio is calculated as follows:
• Numerator, sum of the following concepts:
▪
▪
Collection flows (dynamic, with renewed
maturities of temporary asset acquisitions) for
the determined period.
▪
▪
Total amount of the inventory of liquefiable
assets (impact of immediate sale and/or
discount of the entire inventory of liquefiable
assets).
• Denominator:
▪
▪
Payment flows (dynamic, with renewed
maturities of temporary liability disposal) for
the determined period (with a normal impact
on current accounts).
This ratio measures Cecabank’s capacity to
generate sufficient liquidity to meet the committed
payments without the need to appeal to the
interbank market. The risk level of the proposed
limit means that, taking into account the collection
and payment structure in the analysis period, with
the discount facility in the ECB of eligible assets
and the sale of other liquefiable assets, the bank
has sufficient resources to cover payments in the
limit reference period without having to resort to
the interbank market or to take periods longer than
those used to calculate the ratio.
•
Structural liquidity ratio.
The purpose of this ratio
is to identify the funding mismatch, indicating the
structure of liquidity generation and financing/
investment by term.
•
Survival ratio.
This ratio estimates the term
over which liquidity commitments can be met
in the event of a lack of access to the interbank
market or alternative sources of funding, for a
period of 30 days. Various scenarios are combined
for non-availability of access to the sources of
funding covered by this calculation, along with
the immediate withdrawal of customer positions
classified as stable.
Stress ratios are also applied, combining different
restrictions such as the inaccessibility of capital
markets, a mass withdrawal of deposits, the activation
of contingent liquidity commitments and other
external market conditions.
In addition, a series of leading indicators of alert and
intensity with regard to a liquidity crisis are monitored
on a daily basis, and a detailed and permanently
updated inventory of the liquidation capacity of
balance sheet assets is maintained.
Liquidity risk limits
The Board of Directors, as part of its monitoring
function, establishes a framework of limits for
liquidity risk, based on the monitoring of the short-
term liquidity situation.
Specifically, limits have been established for the
LCR (Liquidity Coverage Ratio), the NSFR (Net Stable
Funding Ratio) and the short-term liquidity ratio
previously defined, and for the 1-month liquidity gap
with respect to stable funding, which compares the
net refinancing needs at 1 month, together with the
capacity to liquidate positions in the portfolio, with
respect to stable funding.
Any excess beyond these limits must always be
authorised by the Assets and Liabilities Committee
whenever deemed necessary and must be reported to
the Board of Directors together with the action plan in
order to redress the situation.
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