Prudential reporting of liquidity ratios

Guidance on the calculation of the liquidity coverage ratio (LCR) or liquidity mismatch ratio (LMR), as applicable, in connection with the Code of Practice for Deposit-taking Business (Banking Code), as applicable to persons incorporated in Jersey that are registered under the Banking Business (Jersey) Law 1991 (JIBs). This includes the determination of High Quality Liquid Assets (HQLA), all definitions and all calculations. In addition this document establishes detailed requirements relating to the prudential reporting of the Net Stable Funding Ratio (NSFR).

1 Summary

Introduction

1.1 This document specifies requirements that apply to JIBs relating to internal monitoring and prudential reporting of:

1.1.1 the LCR/LMR - the liquidity ratios for which a minimum is established in Section 5 of the Banking Code - including HQLA; and

1.1.2 the NSFR.

1.2 The relevant sheets in the Prudential Return are:

1.2.1 HQLA: sheet ‘1.1 HQLA’

1.2.2 LCR / LMR (as appropriate to the JIB): sheet ‘1.2 LCR-LMR’

1.2.3 NSFR: sheet ‘1.3 NSFR’

Overview

1.3 The Banking Code requires JIBs to internally monitor the LCR/LMR daily and notify the JFSC if limits are not complied with or buffers not maintained. (See Sections 5 and 6 of the Banking Codes). This reporting must be consistent with the definitions set out herein.

1.4 The requirements regarding the calculation and reporting of HQLA are based on the international standards promulgated by the Basel Committee on Banking Supervision (Basel Committee).

1.5 The specification defines both the definitions of the component items and the calculations that must be used to derive total HQLA and the LCR/LMR. Where component items are not relevant to a JIB, the JIB’s internal monitoring need not reflect the term.

1.6 The Banking Code also requires JIBs to submit prudential returns to the JFSC, consistently with this document, for each prudential period end date. The specific mechanics of this are set out in the “Prudential Reporting Guide for JIBs”, issued by the JFSC and available at:

1.6.1 http://www.jerseyfsc.org/banking-business/prudential-reporting/

1.7 For prudential reporting purposes only, this Guide also specifies the reporting of the NSFR.

1.8 Appendices A to C list all items defined herein.

Layout of this Guide

1.9 Sections 2 to 6 and Appendix D to Appendix F relate to the computation of HQLA.

1.10 Sections 7 to 14 and Appendix G to Appendix L relate to the subsequent calculation of the LCR/LMR, as applicable.

1.11 Sections 15 and 16 relate to the prudential reporting of the NSFR.

Read our full prudential reporting of liquidity ratios for JIBs guidance note.