Guidance Note on Prudential Reporting of Liquidity Data (Branches) - Issued August 2019, Amended October 2019

Summary

This JFSC guidance note explains how Jersey branches of overseas incorporated banks (OIBs) should complete the prudential liquidity data returns required under modules 11.1 to 11.3 of their prudential reporting. It sets out the reporting methodology, maturity bucket structure, valuation discounts, and completion notes for each line item, rather than introducing new substantive requirements beyond existing liquidity management obligations.

• 11.1 Liquidity - Cashflows: Branches must report contractual cash inflows and outflows across nine defined maturity buckets, using worst-case timing assumptions (latest date for inflows, earliest for undated outflows), applying prescribed haircuts to marketable assets, and reporting FX transactions gross.
• 11.2 Liquidity - Large Deposits: Branches must report the ten largest deposits from bank depositors and the ten largest from other depositors, aggregated by beneficial owner, and disclose depositor identities to the JFSC on request.
• 11.3 Whole-bank Liquidity Data: Branches must report liquidity metrics for their parent OIB, including LCR components and ratio, NSFR components and ratio (where applicable), and any other liquidity metrics set by the OIB's home supervisor.

The note supplements the JFSC's 2017 guidance on Liquidity Management and Reporting and the Code of Practice for Deposit-taking Business; it does not replace a Branch's own liquidity management policy but sets minimum reporting expectations tied to that policy.

Key obligations

• Branches must monitor liquidity in accordance with their Liquidity Management Policy (LMP), with internal reporting frequency (usually daily) determined by the LMP
• Branches must report assets and liabilities on a residual maturity basis into the nine prescribed maturity buckets for the 11.1 Cashflows return, using worst-case assumptions for undated flows
• Branches must apply the prescribed haircut/discount percentages to marketable assets before inclusion, based on Zone classification and remaining maturity, using valuations less than one month old
• Branches must report all foreign exchange contract cash inflows and outflows gross in lines A.10 and B.10
• Branches must provide a note explaining key assumptions made in completing the liquidity return, accompanying the other prudential reporting paperwork
• Branches must report the ten largest deposits placed by bank depositors and the ten largest placed by other depositors, aggregated by beneficial owner, in the 11.2 Large Deposits return
• Branches must make the identity of large depositors available to the JFSC upon request
• Branches must provide whole-bank liquidity data for their parent OIB under 11.3, including LCR and/or NSFR components and ratios where the OIB is subject to those requirements, or other home-supervisor liquidity metrics where it is not
• All liquidity returns must be completed in sterling equivalent

Applies to

Branches of Overseas Incorporated Banks (OIBs) operating in Jersey, deposit-taking businesses