This bank is required to meet a Board-approved LTD ratio limit of 85%, which it is just exceeding as at the date of this report, but the forecast for year-end is within this.
This is still below the Basel III requirement, and so on the strength of this report the bank will need to take action to address the liquidity
This second chart shows the stressed cumulative cash flow forecast taking into account the immediate sale or repo of marketable securities. In this example, the standard FSA-specified stresses have been applied: wholesale funding, retail liquidity, intra-day liquidity (3- and 5-day stresses), cross-currency liquidity, intra-group liquidity, off-balance sheet liquidity, marketable assets, non-marketable assets, and funding concentration.
In this example, the survival period has been extended from 49 days to 93 days after taking into account the impact of the stress.
. . . continued
. . . continued
This report would be produced as part of routine stress testing, undertaken either by Treasury or Risk Management.
This second chart shows the stressed cumulative cash flow forecast taking into account the immediate sale or repo of marketable securities. In this example, the standard FSA-specified stresses have been applied: wholesale funding, retail liquidity, intra-day liquidity (3- and 5-day stresses), cross-currency liquidity, intra-group liquidity, off-balance sheet liquidity, marketable assets, non-marketable assets, and funding concentration.
In this example, the survival period has been extended from 49 days to 93 days after taking into account the impact of the stress.
. . . continued
. . . continued
This report would be produced as part of routine stress testing, undertaken either by Treasury or Risk Management.
This second chart shows the stressed cumulative cash flow forecast taking into account the immediate sale or repo of marketable securities. In this example, the standard FSA-specified stresses have been applied: wholesale funding, retail liquidity, intra-day liquidity (3- and 5-day stresses), cross-currency liquidity, intra-group liquidity, off-balance sheet liquidity, marketable assets, non-marketable assets, and funding concentration.
In this example, the survival period has been extended from 49 days to 93 days after taking into account the impact of the stress.
. . . continued
. . . continued
This report would be produced as part of routine stress testing, undertaken either by Treasury or Risk Management.
This second chart shows the stressed cumulative cash flow forecast taking into account the immediate sale or repo of marketable securities. In this example, the standard FSA-specified stresses have been applied: wholesale funding, retail liquidity, intra-day liquidity (3- and 5-day stresses), cross-currency liquidity, intra-group liquidity, off-balance sheet liquidity, marketable assets, non-marketable assets, and funding concentration.
In this example, the survival period has been extended from 49 days to 93 days after taking into account the impact of the stress.
. . . continued
. . . continued
This report would be produced as part of routine stress testing, undertaken either by Treasury or Risk Management.
This second chart shows the stressed cumulative cash flow forecast taking into account the immediate sale or repo of marketable securities. In this example, the standard FSA-specified stresses have been applied: wholesale funding, retail liquidity, intra-day liquidity (3- and 5-day stresses), cross-currency liquidity, intra-group liquidity, off-balance sheet liquidity, marketable assets, non-marketable assets, and funding concentration.
In this example, the survival period has been extended from 49 days to 93 days after taking into account the impact of the stress.
. . . continued
. . . continued
This report would be produced as part of routine stress testing, undertaken either by Treasury or Risk Management.