Basel III Liquidity Vladimír Novotný

Basel III

Basel III Framework

Liquidity Matrixes (both higher than 100%)

LCR Highly Liquid assets Level 1 (100%) – Cash – Qualifying marketable securities from sovereign, central banks, public sector entities & mutlilateral development banks – Qualifying central bank reserves – Etc. Level 2 (85%) – Sovereign, central bank, and PSE assets qualifying for 20% risk weighting – Qualifying corporate bonds rated AA- or higher – Qualifying covered bonds rated AA- or higher

LCR Outflow over 30 days Retail deposits – stable deposits (5%) – less stable retail deposits (10%) Unsecured wholesale funding: – Stable small business customers (5%) – Less stable small business customers (10%) Legal entities with operational relationships (25%) Cooperative banks in an institutional network (25%) Non-financial corporates, sovereigns, central banks and PSEs (75%) Other legal entity customers (100%)

LCR Inflow over 30 Days Credit or liquidity facilities (0%) Other inflows by counterparty: – Amounts receivable from retail counterparties (50%) – Amounts receivable from non-financial wholesale counterparties, from transactions other than those listed in the inflow categories above. (50%) – Amounts receivable from financial institutions, from transactions other than those listed in the inflow categories above.(100%)

Liquidity Matrixes (both higher than 100%)

NSFR Available Stable funding The total amount of capital Tier 1 and Tier 2(100%) "Stable" non-maturity (demand) deposits (90%) "Less stable" non-maturity (demand) deposits and/or term deposits with residual maturities of less than one year provided by retail and small business customers (80%) Unsecured wholesale funding, non-maturity deposits and/or term deposits with a residual maturity of less than one year, provided by non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs. (50%) All other liabilities and equity categories not included in the above categories (0%)

NSFR Required stable funding Cash (0%) Unencumbered marketable securities 1Y+ sovereigns central banks (5%) Unencumbered corporate bonds or covered bonds rated AA- or higher with residual maturities of 1Y+ (20%) Unencumbered equity securities, not issued by financial institutions (50%) Unencumbered residential mortgages of any maturity (65%) Unencumbered loans to retail customers and small business customers (85%) All other assets not included in the above categories

Ratio of deposits to loans granted in selected EU countries (%; end of 2011; deposits/loans to residents)

Liquidity situation in the banking sector and building society sector (%; QA = quick assets; net position = client loans less client deposits)

Sources Basel Financial stability report of CNB w.cnb.cz/en/financial_stability/fs_reports/fsr_ /fsr_ pdf w.cnb.cz/en/financial_stability/fs_reports/fsr_ /fsr_ pdf