Bank of Uganda Compilation Notes for the Weekly Liquidity Risk Return

BANK OF UGANDA COMPILATION NOTES FOR THE WEEKLY LIQUIDITY RISK RETURN JUNE 2024

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1 Introduction I. This Return collects information from Supervised Financial Institutions (SFIs) on a set of liquidity moni- toring tools to facilitate the Bank of Uganda’s on-going supervision and monitoring of liquidity risk, both for individual SFIs and the banking sector as a whole. SFIs are also expected to make use of these liquidity monitoring tools, where appropriate, to complement their liquidity risk management. II. The Compilation Instructions (CIs) for this Return should be read in conjunction with the guidelines for the liquidity monitoring measures and the associated CIs. Unless otherwise specified or the context otherwise requires, the terms used in these CIs have the meanings adopted in the CIs for other supervisory returns and guidelines issued by Bank of Uganda. 2 Parts of the return I. Part 1 collects information on the liquid assets held by an SFI at on a daily basis and a summary of liquid assets that have been pledged as collateral at the end of the week. II. Part 2 collects information on the maturity profile of an SFI’s on- and off- balance sheet assets and liabilities for defined time bands, including contractual and anticipated cash flows and securities flows arising from such assets and liabilities and supplementary information (i.e., an SFI’s estimation of cash flows for selected items). Such information will be used for analysing the SFI’s Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), maturity mismatch positions and assessing its potential liquidity needs under different scenarios. Part two has 6 sheets of which one summarises the anticipated balance sheet of an SFI in UGX, foreign currencies and on a combined basis. The other five (5) sheets are for collection of contractual data on currency basis. The Bank of Uganda has selected the two currencies on which SFIs will report and left an option of one other currency in which the SFI holds at least 10 percent of its foreign currency liabilities. III. Part 3 has three sheets, two on the changes in deposits and changes in loans collect information on changes in deposits and advances over the week of reporting disaggregated by currency and counterparts whereas the third sheet “deposit withdrawals by customers” summarises the significant withdrawals (Significant withdrawals for the purpose of this return will mean cumulative withdrawals that amount to UGX 500 million and above.) in a week from an SFI through the different channels. IV. Part 4 collects information on collects information on the funding sources that are significant to an SFI by type of counterparty and funding instrument, and the level of concentration of such funding sources; this part has two sheets and reporting is also disaggregated by currency. 2.1 Maturity profile and supplementary information V. For the purposes of reporting under Part 2, the institution should adhere to the following general instruc￾tions. VI. In determining the remaining term to maturity of the institution’s asset, liability, obligation, cash-flow or securities-flow items, it is to be generally assumed that such items will not be rolled over upon their con￾tractual maturity, and the institution will not enter into any new transaction or contract in respect of such items, unless the institution has formally decided and completed all necessary contractual arrangements to roll over any such item, or to enter into any new transaction or contract. VII. Unless otherwise specified, the institution should report an asset, liability, obligation, cash-flow orsecurities￾flow item in the “Next day” column of the Tables under this Part (where applicable) if that item has no definite term to maturity but is receivable (or payable) on demand1 . If an amount of cash or securities receivable (or payable) by the institution is subject to any advance notification requirement, that amount should be reported in the appropriate time bands according to – VIII. The length of the notification period if the institution has not issued the notice (or received the notice from the customer); or IX. The expiry date of the notice if the institution has issued the notice (or received the notice from the customer).2 1For example, such cash-flow items include demand, savings and current account deposits, vostro balances and nostro balances. 2For example, an asset (or liability) that has no definite term to maturity and is callable at one day’s notice should be reported under the “Next day” column if the notice has been issued (or received). If such a notice has not been issued (or received), the item should be reported in the “1 to 7 days” column.

2 X. If the amounts receivable (or payable) by the institution involve lead time (say, for completing certain operational procedures), such lead time should be taken into account when the institution reports such amounts in this Part. XI. Assets, liabilities, obligations or cash-flows measured at book value should include accrued interest up to the month-end reporting period (if any). If the timing for the reporting institution to pay or receive such accrued interest is different from the term to maturity of the underlying assets, liabilities or obligations, report such interest in the same item as with the underlying assets, liabilities or obligations, but under the time columns according to the interest payment or receipt schedules. There is no need to consider unaccrued interest. XII. Part 5 collects information on collects information on the funding sources that are significant to an SFI by type of counterparty and funding instrument, and the level of concentration of such funding sources; this part has two sheets in which the same information is reported for the shilling component of the SFI’s business and the foreign currency component of an SFI’s business. 3 General Instructions 3.1 Reporting frequency and submission timeline I. All SFIs are required to submit this Return to BOU on a weekly basis. II. This return will be submitted not later than two working days after the end of the reporting period through the BSA portal and/or any other channels that may be prescribed by BOU. III. Notwithstanding the above reporting arrangements, it is imperative for SFIs to establish adequate systems and procedures which are capable of producing all of the information necessary for the compilation of the liquidity monitoring tools specified in this Return as and when necessary, in order to facilitate their liquidity risk management. (In other words, SFIs must be able to produce information for risk management purposes more frequently and swiftly than that required for regulatory reporting.) 3.2 Valuation of assets, liabilities, obligations, cash flows and securities flows IV. Unless otherwise specified, all assets, liabilities, obligations, cash-flow or securities flow items reported in this Return should be measured on the basis of their “principal amount”. In general, the “principal amount” of marketable assets should be measured at fair value irrespective of the applicable accounting standards. V. For other on-balance sheet assets, liabilities, obligations, and cash-flow items, the “principal amount” means the book value (including, where applicable, any accrued interest up to the month-end reporting date) as determined according to the applicable accounting standards. VI. For off-balance sheet items, the “principal amount” means the contracted amount or, in the case of an undrawn or partially drawn facility, the undrawn amount. VII. Where the trade date of a transaction is different from the settlement date of the transaction, the relevant asset, liability, obligation, cash-flow or securities-flow item arising from the transaction should be reported based on the trade date. 3.3 Reporting currencies VIII. Unless specified otherwise, the figures to be reported in this Return should be rounded up to the nearest thousand in Uganda Shilling (UGX) or the UGX equivalent in the case of foreign currency items. IX. The closing middle market T/T rates prevailing at the close of business on the position date should be used for conversion purposes. X. In Part 2 of this Return, SFIs are required to provide liquidity information for the calculation of the LCR by “significant currencies”. A currency is considered to be significant to an SFI if the SFI’s liabilities denominated in that currency account for 10 percent or more of its total foreign currencies’ liabilities. (Although SFIs are not required to report currency-specific information in all parts of this Return, it is still crucial for them to put in place adequate systems and procedures to ensure that they have the capacity to provide such information if requested by the central bank.)

3 3.4 Determination of contractual maturity XI. In Part 2 and 4, reporting institutions will need to report the relevant assets, liabilities, obligations or cash flows in specific time buckets. For the purposes of reporting under these Parts, a time bucket measured by “day” should be determined according to “working day”. XII. A time bucket measured by “month” or “year” should be determined according to “calendar month” or “calendar year”. XIII. In determining the contractual maturity date (or the remaining term to maturity) of an asset, liability, obligation or cash-flow item, reference should be made to its contractual terms unless otherwise specified. XIV. If there are options for prepayment or deferred payment embedded in the contractual terms that may alter the contractual maturity date of an asset, liability, obligation or cash-flow item, the relevant maturity date should be determined according to the following approach: XV. If an SFI’s customer3 has an option to defer payment to the SFI in relation to an asset (or an inflow arising from the asset), the SFI should assume that the customer will exercise the option. XVI. If however, the SFI has an option to advance the receipt of payment from its customer in relation to an asset (or an inflow arising from the asset), the SFI should assume that the option will not be exercised, unless the SFI has already notified its customer that it will exercise the option. XVII. If an SFI has an option to advance payment in relation to a liability or obligation (or the associated outflow) to a customer and there is market expectation that the SFI will exercise the option, the SFI should assume that the option will be exercised. XVIII. If however, the SFI has an option to defer payment in relation to a liability or obligation (or the associated outflow) to a customer, the SFI should assume that the option will not be exercised4 , unless the SFI has already notified its customer that it will exercise the option. 4 Specific Instructions I. TABLE A which is the only table under part 1 collects data on the liquid assets held by an SFI at the end of each working day. This also computes the liquidity ratio of the SFI per day which should not fall below 20 percent as per the Financial (Liquidity) Regulations, 2023. II. Table B under part 2 is used to collect data on contractual maturities as explained in prior sections. There are 6 sheets under this part, the first sheet combines all maturities of a reporting SFI whereas the next 3 are for reporting maturities denominated in the Uganda Shilling, the US Dollar, and the Euro respectively. III. The next one sheet labelled “Contractual Maturity OTHER” should be used for reporting contractual maturities for any other currency in which an SFI holds 10 percent or more of its combined liabilities. IV. The next sheet in this part is the anticipated sheet in which there are three tables similar to table B for which reporting of anticipated maturities on a consolidated, shilling and foreign currency basis is to be made. V. Table C and Table D are for recording information on changes in deposits and loans and advances within the reporting period respectively. Table E1 – Significant funding providers VI. Table E1 of this Part collects information on the reporting institution’s 10 largest bank customers5 , 10 largest non-bank customers , as well as any other bank or non-bank customer that has provided, on a 3For the purpose of this Return, a “customer” includes a counterparty. 4This treatment takes into account the possible interaction between an SFI and its creditors. For example, if the liability or obligation of an SFI (e.g. debt securities issued) is callable at its discretion and the market expects the SFI to exercise the option, there may be a case for assuming that the SFI will indeed exercise the option for reputation reasons (otherwise the market may perceive the SFI as having liquidity problems). 5In this Return, the term “non-bank customer” means a customer (which is not a bank) of an SFI. A non-bank customer may be the Government of Uganda, the central Bank, any government or central bank (or monetary authority) of a jurisdiction outside Uganda, international organization, multilateral development bank, non-bank financial institution, corporate, or any other legal entity

4 group basis where applicable6 , funding to the institution exceeding 1 percent of the institution’s total liabilities (including shareholders’ funds) at the month-end reporting date. VII. Report the total amount7 of funding raised from, and hence payable (or repayable, same below) to, these funding providers at book value (including any accrued interest, where applicable), and provide a breakdown of the total amount8 according to the remaining term to maturity of such funding. VIII. Indicate in the second column of this Table whether any group of funding providers reported in item 1 or 2 are connected parties of the institution. IX. Two extra columns have been added to cater for reporting of the economic sector in which the customer is engaged and their residence status with a drop-down menu to pick the available sectors and residence status. 4.0.1 Table E2– Significant funding instruments X. Table E2 of this Part collects information on significant funding instruments used by the reporting in￾stitution to obtain funding. Report the book value (including accrued interest where applicable) of the instruments. XI. The first 4 items are deemed to be significant funding instruments and should be reported, irrespective of whether the 1 percent benchmark is exceeded. XII. Report in item 1, the total amount of deposits taken by the institution from retail customers (i.e. indi￾viduals). These deposits should be slotted into sub-items (a) to (c) according to the amount of deposit taken from each such customer9 . XIII. Report in item 2, the total amount of deposits taken by the institution from other non-bank customers. These deposits should be slotted into sub-items (a) to (c) according to the amount of deposit taken from each such customer. XIV. Report in item 3 the total amount of all types of funding raised from or provided by other banks. For example, this item includes all types of borrowing from other banks, vostro account balances maintainedby other banks at the reporting institution, and the amount of money raised through any transactions conducted by the institution with other banks with the purpose of obtaining funding (this may include,but is not limited to, foreign exchange transactions, derivatives transactions, and securities financing transactions conducted for funding purposes). XV. Report in item 4 the total amount of specific types of capital and debt instruments issued by the institution that are still outstanding, as specified in the following sub-items: 6If an SFI has raised funding from two or more customers that are connected to the same group, the SFI should report the aggregate amount of funding raised from these customers as if they were a single customer. For reporting under Table E1 of Part5, two or more customers that are “connected to the same group” means any of the following: subsidiary and its holding company; (b) companies which are subsidiaries of the same holding company; (c) the headquarters and the branches (in the case of a bank customer group); and (d) any persons (whether individuals or entities) which are regarded by the reporting institution as being affiliated to the same customer group in the course of the reporting institution’s liquidity management. 7In this Return, unless otherwise specified, “funding” means money raised by, or lent to, an SFI. Typical examples include, but are not limited to, deposits taken from customers, interbank loans or placements received from counterparties, proceeds from issuance of bonds or certificates of deposit, and money raised under securities financing transactions (e.g., repo transactions).“Funding” does not include reserves (e.g. retained earnings), current profit/loss and those liabilities (e.g. operating expenses) thatare not incurred by money being raised by, or lent to, the SFI, unless otherwise specified. 8Total amount” means the sum of the principal amounts of those assets, liabilities, obligations or cash flows that need to be reported in a particular item in this Return. “Total amount” should be reported on a gross basis (i.e. without netting other assets, liabilities, obligations, cash flows, or collateral), unless otherwise specified. For all references to “total amount” . For example, funding raised from a bank should be reported in the column of “1-7 days” if the funding will mature within 7 days, or the funding is repayable on demand or subject toa notification period within 7 days. 9The total amount of deposits taken from a depositor should be determined on the basis of each single depositor (instead of a group of related depositors). For example, if a retail customer has placed UGX 500 million in total (or an equivalent amount in foreign currencies) with an SFI, that total amount of deposit should be reported in item 1(a), irrespective of whether that amount is placed in one (or more than one) deposit account. There is no need to combine the customer’s total deposit with any other depositor for reporting under item 1 (or item 2, in case of a non-retail customer). For a deposit held in a joint account, each account holder is assumed to have an equal share of the deposit, unless there is evidence showing otherwise. Following the above example, if the customer concerned also has a joint name deposit account (i.e. an account opened jointly with another person) at the SFI, where that account has a deposit balance of UGX 500 million, the SFI should assume that the customer is entitled to a half of that deposit balance (i.e. UGX 250 million). Taking into account this part of the deposit in the customer’s joint-name account, the total amount of deposits taken by the SFI from that customer should be UGX 500 million, which should be included in the reporting under item 1(b).

5 XVI. capital instruments that are recognised as CET1 capital, Additional Tier 1 capital instruments or Tier 2 capital instruments under the BCR; XVII. negotiable debt instruments issued in the form of certificates of deposit enumitemdebt securities that are senior, unsecured, and not structured (e.g., plain vanilla bonds); XVIII. securities that are convertible into equities (but which do not fall within sub-item (a)); XIX. asset-backed securities, the payments of which are secured by a pool of underlying assets or exposures (e.g. residential mortgage loans, credit card receivables, etc.); and XX. any other capital or debt instruments (which may or may not be structured instruments) not otherwise covered in sub-items (a) to (e). XXI. Report in item 5 the total amount of any other outstanding funding instrument (or a group of similar funding instruments) used by the institution to obtain funding, where the outstanding total amountexceeds 1 percent of the institution’s total liabilities (including shareholders’ funds)10 . XXII. As in the case of Table E1, the institution should provide in Table E2 a breakdown of the total amount of funding raised from the use of these significant funding instruments according to the remaining term to maturity of such instruments. XXIII. For example, deposits (items 1 and 2) and funding raised from banks (item 3) without a definite term to maturity but repayable by the institution upon customer demand (or subject to a withdrawal notification period of not more than 1 calendar month) should be reported under the column of “15-30 days”. XXIV. Debt or capital instruments issued by the institution without a definite term to maturity are regarded as “perpetual instruments”, which should be reported under the column for “over 12 months” in item 4 or 5 (where applicable). XXV. However, any instrument with an embedded option that may alter its term to maturity should be reported in the appropriate time column taking into account the embedded option. XXVI. To avoid doubt, liabilities not arising from funding instruments or funding transactions need not be included in the reporting under this Table. For example, reserves (e.g. retained earnings) and current profit/loss are not regarded as “funding instruments” and therefore need not be included in the reporting under this Table; XXVII. Other liabilities that do not arise from the raising of funds (such as operating expenses payable by the reporting institution) are not covered by this Table; XXVIII. An SFI selling securities short for trading or hedging purposes does not need to consider such transactions in reporting under this Table. (However, if a short position in securities is held by the SFI in orderto obtain funding (e.g. rehypothecating customer collateral to enter into a repo transaction for funding purposes), then the repo transaction should be included in the reporting under this Table). 5 Other Considerations 5.1 Valuation of Liquid Assets I. When computing the minimum amount of liquid assets to be held by it on any maintenance day, a bank shall use the following methods to value its liquid assets in the case of its bills of exchange, the book value of those bills of exchange; and in the case of its liquid assets (other than bills of exchange), the marked-to-market value of those liquid assets as of the computation day to which that maintenance day relates. II. All amounts shall be reported in thousands of Uganda shillings, . Foreign currencies shall be translated into the Uganda Shillings at the bank’s closing mid-rate on the reporting date. III. The following provides guidance in the course of filling or reporting required information in the monitoring reports by these guidelines. 10For example, item 5 may include (but are not limited to) – the sum of amounts payable by the reporting institution under securities financing transactions; the sum of amounts of securities and financial instruments issued by the institution, other than those securities and instruments specified in item 4; and the sum of amounts of funds raised from offering investment products(such as derivatives and structured deposit products) to customers.

6 5.2 Maturity Bands Financial Institutions shall categorise assets and liabilities into 11 maturity bands: 0-7 days; 8 days - 14 days; 15 days-30 days; 31 days – 60 days; 61 days-90 days; 91 days – 180 days; 6-12 months; 1-3 years; 3 -5 years and 5-10 years and over 10 years. 5.3 Connected borrowers/depositors. IV. Where the same depositor/lender has made more than one deposit/loan, these shall be aggregated for the purposes of this guideline. Where deposits/loans have been made by a group of connected deposi￾tors/borrowers, they too shall be aggregated and treated on reporting as one deposit/loan. V. Fiduciary/agency funds received from another bank/institution shall where possible be reported according to the originator of those deposits. 5.4 Double Counting VI. Banks must avoid double counting: Specifically, cash inflows relating to assets that have been recognised as HQLA must not be recognised as inflows. VII. This is most important when considering inflows but shall also be considered when assessing outflows and banks shall seek to identify situations where this principle is breached and consider the guidance provided herein regarding how to deal with the breach. 5.5 Collateral VIII. Any assets which have been pledged as collateral are excluded from the maturity band; similarly, any assets held by institutions as collateral must be excluded. IX. Similar considerations arise with forward sales and purchases. Swaps, forward rate agreements and futures shall be reported according to the cash flows expected to arise. 5.6 Netting X. Netting of debts and claims: All claims and liabilities shall be reported gross for liquidity purposes. XI. Reporting institutions are not permitted to net (or offset) claims on counterparties or groups of counter￾parties against debts owed to those counterparties or groups of counterparties, even where a legal right of set off exists. XII. Where the maturity of the claims and debts falls within the same time band, the claims and debts will automatically offset each other on the return in the calculation of the mismatch. 5.7 Maturity XIII. Unless otherwise stated, all references to cashflow and maturity reports for the purpose of reporting refer to residual maturity calculated from the return’s reporting date. XIV. For supervisory monitoring, the Central Bank will gauge the bank’s liquidity position on a “worst-case” basis. Therefore, cash outflows shall be assumed to occur at their earliest contractual maturity while cash inflows shall be assumed to occur at their latest contractual maturity. XV. For deposit liabilities, the earliest repayment date means the first roll-over date, or the shortest period of notice required to call or exercise a break clause, where applicable. XVI. On the other hand, loans by the reporting bank are to be entered according to their final maturity. XVII. Where the bank holds a security where the issuer has the option to repay over a range of dates, the last repayment date shall be taken as the date of repayment, unless notice has been given of redemption at an earlier date. Where the bank has issued such a security the first repayment date shall be taken as the date of repayment unless notice has been given of repayment at a later date.

7 XVIII. Spot foreign exchange deals will be reported on a trade or settlement date basis also include details from previous days which have yet to settle. XIX. Where a bank has entered into a forward deal where it is fully committed (e.g., a loan/deposit with a start date of two days forward and a spot foreign exchange trade) and the cashflows will take place within the “0-7 days” time band, it shall be reported on the return as such. XX. Cashflows arising or assets/liabilities maturing on a non-business day shall be reported as taking place on the following business day. XXI. Funds callable at one day’s notice shall be entered as two-day maturity unless notice has been received or given on the reporting date. XXII. Qualifying: Where used in this guideline, the term means qualifying for inclusion as marketable assets or deposits.