Guidance Note on Prudential Reporting of Liquidity Supporting Data (re-issued February 2020)

Summary

This guidance note explains how Jersey International Banks (JIBs) must complete the liquidity supporting data sections of the prudential return. It covers four data sheets: funding concentrations, HQLA (high quality liquid asset) details, LCR/LMR history, and cashflows, all intended to support assessment of a JIB's liquidity position alongside the LCR, LMR and NSFR.

• 10.1 Funding Concentrations: Report the 15 largest significant counterparties (over 1% of total balance sheet), the 15 largest significant funding products (over 1% of total balance sheet), and the 5 largest significant currencies (5% or more of total liabilities), each broken down across five time horizons from less than 30 days to more than 1 year.
• 10.2 HQLA Details: Report the largest 20 holdings of marketable assets by connected issuer group, whether or not classified as HQLA, including custodian location, HQLA classification, amounts pledged or rehypothecated, realisable value, adjusted amount, haircut amount, and repo/central bank haircut values where relevant.
• 10.3 LCR History and 10.4 LMR History: Report the internally calculated LCR or LMR (as applicable) for every working day from the day after the prior quarter end up to and including the current quarter end, including HQLA, inflows, outflows and related figures; flag any day where the calculation was not performed or recorded; no reporting required for non working days.
• 10.5 Cashflows: Report contractually due inflows and outflows by maturity bucket (from Sight to more than 5 years), using prudent assumptions for undated flows (inflows under the latest date, outflows under the earliest date), consistent with definitions in the Liquidity Ratios Guide.

The note was re-issued in February 2020 solely to clarify the reporting of marketable assets in sheet 10.2 (paragraph 3.3.3); the substantive reporting requirements otherwise date from the original March 2019 issuance.

Key obligations

• JIBs must report the fifteen largest significant counterparties (each exceeding 1% of total balance sheet) across five specified time horizons in sheet 10.1
• JIBs must report the fifteen largest significant funding products/instruments (each exceeding 1% of total balance sheet) in sheet 10.1
• JIBs must report the five largest significant currencies (each 5% or more of total liabilities), including sterling, in sheet 10.1
• JIBs must report their largest 20 holdings of marketable assets by connected issuer group in sheet 10.2, including issuer, custodian location, HQLA classification, pledged/rehypothecated amounts, realisable value, adjusted amount and haircut amount
• JIBs must report internally calculated LCR or LMR figures for every working day from the day after the prior quarter end to the current quarter end in sheets 10.3/10.4, flagging any day the calculation was not performed or recorded
• JIBs must report contractually due cashflows by maturity bucket in sheet 10.5, applying prudent assumptions for undated inflows and outflows

Applies to

Jersey International Banks (JIBs)