D6/2015: Matters Related to Liquidity Risk and the Liquidity Coverage Ratio

Annexure B
LIQUIDITY RISK BA 300
(Confidential and not available for inspection by the public) Monthly Name of bank………………………………………………. Month ended…………………………….....…………….... (yyyy-mm-dd) (All amounts to be rounded off to the nearest R'000) Contractual balance sheet mismatch Line no. Total Next day 2 to 7 days 8 days to 1 month More than 1 month to 2 months More than 2 months to 3 months More than 3 months to 6 months More than 6 months to 1 year More than 1 year to 2 years More than 2 years to 3 years More than 3 years to 4 years More than 4 years to 5 years More than 5 years to 10 years More than 10 years Non contractual 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Contractual maturity of assets (items 2 to 4) 1 Advances 2 Trading, hedging and other investment instruments 3 Other assets 4 Contractual maturity of liabilities (items 6 to 9) 5 Stable deposits 6 Volatile deposits 7 Trading and hedging instruments 8 Other liabilities 9 On-balance sheet contractual mismatch (item 1 less item 5) 10 Cumulative on-balance sheet contractual mismatch 11 Off-balance sheet exposure to liquidity risk 12 of which:
Liquidity facilities provided to off￾balance sheet vehicles 13 Undrawn commitments (items 15 to 17) 14 Unutilised portion of irrevocable lending facilities 15 Unutilised portion of irrevocable letters of credit 16 Indemnities and guarantees 17

2
(All amounts to be rounded off to the nearest R'000) Business as usual (BaU) balance sheet mismatch1

Line no.
Total Next day
2 to 7 days
8 days to 1 month
More than
1 month to 2 months
More than
2 months to 3 months
More than
3 months to 6 months
More than
6 months to 1 year
More than 1 year to 2 years
More than
2 years to
3 years
More than 3 years to
4 years
More than 4 years to
5 years
More than 5 years to
10 years
More than 10 years
Indetermina te maturity
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 BaU maturity of assets (items 19 to 21) 18 Advances 19 Trading, hedging and other investment instruments 20 Other assets 21 BaU maturity of liabilities (items 23 to 26) 22 Stable deposits 23 Volatile deposits 24 Trading and hedging instruments 25 Other liabilities 26 On-balance sheet BaU mismatch (item 18 less item 22) 27 Cumulative on-balance sheet BaU mismatch 28 Off-balance-sheet exposure to liquidity risk 29 of which:
Liquidity facilities provided to off-balance sheet vehicles 30 Undrawn commitments (items 32 to 34) 31 Unutilised portion of irrevocable lending facilities 32 Unutilised portion of irrevocable letters of credit 33 Indemnities and guarantees 34

1. Please separately submit assumptions made and any other relevant information.

3
(All amounts to be rounded off to the nearest R'000) Bank-specific stress mismatch1 Line no. Total2 Next day 2 to 7 days 8 days to 1 month More than 1 month to 2 months More than 2 months to 3 months 1 2 3 4 5 6 Stressed maturity of assets (items 36 to 38) 35 Advances 36 Trading, hedging and other investment instruments 37 Other assets 38 Stressed maturity of liabilities (items 40 to 43) 39 Stable deposits 40 Volatile deposits 41 Trading and hedging instruments 42 Other liabilities 43 On-balance sheet stress mismatch (item 35 less item 39) 44 Cumulative on-balance sheet stress mismatch 45 Stressed outflows arising from off-balance-sheet exposure3 46 of which:
Liquidity facilities provided to off-balance sheet vehicles 47 Undrawn commitments (items 49 to 51) 48 Unutilised portion of irrevocable lending facilities 49 Unutilised portion of irrevocable letters of credit 50 Indemnities and guarantees 51 Cumulative stressed outflows 52

1. Please separately submit assumptions made and any other relevant information.
2. Means the total for the specified item, and not the mathematical total of the specified columns.
3. Report as absolute amounts.

4
(All amounts to be rounded off to the nearest R'000) Available sources of stress funding Line no. Total1 Next day 2 to 7 days 8 days to 1 month More than 1 month to 2 months More than 2 month to 3 months 1 2 3 4 5 6 Realisable by forced sale (total of items 54 to 56) 53 Investment securities classified as available for sale 54 Unencumbered trading securities 55 Assets available for securitisation vehicles 56 FX market liquidity 57 Available repo facilities (item 59 plus item 60 minus item 61) 58 Ringfenced portfolio of prudential liquid securities 59 25% of liquid assets held 60 Current utilisation under Reserve Bank allotment 61 Estimated unutilised interbank funding capacity 62 Unsecured funding lines 63 Secured funding lines 64 Drawdown capacity in respect of call loans 65 Other funding 66 Total available liquidity (total of items 53, 57, 58 and 62 to 66) 67

1. Means the total for the specified item, and not the mathematical total of the specified columns.
   (All amounts to be rounded off to the nearest R'000) Concentration of deposit funding Line no. Total1 Next day 2 to 7 days 8 days to 1 month More than 1 month to 2 months More than 2 months to 3 months More than 3 months to 6 months More than 6 months to 12 months Longer than 12 months 1 2 3 4 5 6 7 8 9 Funding supplied by associates of the reporting bank 68 Ten largest depositors 69 Ten largest financial institutions funding balances 70 Ten largest government and parastatals funding balances 71 Negotiable paper funding instruments 72 of which: issued for a period not exceeding twelve months 73 of which: issued for a period exceeding five years 74
2. Means the total for the specified item, as well as the mathematical total of the specified columns.

5
(All amounts to be rounded off to the nearest R'000) Foreign exchange contractual maturity ladder (converted to ZAR) Line no. Total Next day 2 to 7 days 8 days to 1 month More than 1 month to 2 months More than 2 months to 3 months More than 3 months to 6 months More than 6 months to 1 year More than 1 year Non contractual 1 2 3 4 5 6 7 8 9 10 FX assets (total of items 76 to 80) 75 USD 76 EUR 77 GBP 78 Other 79 ZAR leg of FX derivatives 80 FX liabilities (total of items 82 to 86) 81 USD 82 EUR 83 GBP 84 Other 85 ZAR leg of FX derivatives 86 ZAR funding position of FX exposures (item 75 less item 81) 87 Anticipated change in business1 Line no. Total During next 6 months More than 6 months to 1 year 1 2 3 Expected incremental change due to change in assets (total of items 89 to 91) 88 Advances 89 Trading, hedging and other investment instruments 90 Other assets 91 Expected incremental change due to change in liabilities (total of items 93 to 96) 92 Stable deposits 93 Volatile deposits 94 Trading and hedging instruments 95 Other liabilities 96 Expected funding inflows / (outflows) to fund change in business (item 88 less item 92) 97

1. During the next 12 months

6
(All amounts to be rounded off to the nearest R'000) Liquidity coverage ratio (LCR):
High-quality liquid assets
Line no.
Total Specified factor7
Weighted total
(col.1 * 2)
1 2 3
Total qualifying high-quality liquid assets (total of items 99 and 114 to 117) 98 Total level one high-quality liquid assets1 (total of items 100 to 104) 99 Coins and bank notes 100 100% Specified marketable securities from sovereigns, central banks, public sector entities, and multilateral development banks 101 100% Qualifying central bank reserves2 102 100% Specified debt securities issued in Rand by the central government of the RSA or the Reserve Bank 103 100% Specified debt securities issued in foreign currency by the central government of the RSA or the Reserve Bank 104 100% Total level two high-quality liquid assets3 (total of items 106 and
110) 105
Total level 2A high-quality liquid assets (total of items 107 to 109) 106 Specified marketable securities from sovereign, central bank, multilateral development banks and public sector entities 107 85% Specified corporate bonds 108 85% Other qualifying items4 (please specify) 109 85% Total level 2B high-quality liquid assets5 (total of items 111 to 113) 110 Specified residential mortgage backed securities 111 75% Specified corporate debt securities 112 50% Specified common equity shares 113 50% Total qualifying level two high-quality liquid assets6 114 Committed Central Bank facility 115 As specified by the Registrar Foreign currency liquid assets 116 Additional level two high-quality liquid assets 117

1. Refer to regulation 26(12)(b).
2. Means such percentage or amount of central bank reserves as may be determined by the Governor of the Reserve Bank from time
   to time.
3. Refer to regulation 26(12)(b).
4. Relates to consolidated reporting only. Include in this line item 109 the aggregate amount of instruments qualifying as level 2A
   high-quality liquid assets for entities established in jurisdictions other than the RSA.
5. May not exceed fifteen per cent of item 98.
6. Total qualifying level two high-quality liquid assets shall not exceed two-thirds of the bank’s total qualifying level one high-quality
   liquid assets. This item 114 shall be equal to item 105 only when item 105 is less than or equal to two-thirds of item 99.
7. Or such factor as may be directed in writing by the Registrar.
   (All amounts to be rounded off to the nearest R'000) Liquidity coverage ratio (LCR):
   Cash outflows1

Line no.
Total Specified factor4
Weighted total
(col.1 * 2)
1 2 3
Retail deposits (total of items 119 and 124) 118 Demand deposits and qualifying term deposits with residual maturity or notice period within 30 days (total of items 120 to 123) 119 Specified stable deposits that meet the specified additional criteria 120 3% Stable deposits that do not meet the specified additional criteria 121 5% Less stable deposits 122 10% Other2 (please specify) 123 Specified by the Registrar Term deposits with residual maturity greater than 30 days subject to withdrawal with a significant penalty, or no legal right to withdraw3 124 Specified by the Registrar

1. Based on the respective requirements specified in regulation 26(12)(d).
2. Means such category of retail deposits that is subject to such a run-off factor as may be directed in writing by the Registrar.
3. Means such category of term deposits that is subject to such a run-off factor as may be directed in writing by the Registrar.
4. Or such factor as may be directed in writing by the Registrar.

7
(All amounts to be rounded off to the nearest R'000) Liquidity coverage ratio (LCR):
Cash outflows1

Line no.
Total Specified factor2
Weighted total
(col.1 * 2)
1 2 3
Unsecured wholesale funding (total of items 126 to 134) 125 Stable demand and term funding from small business 126 5% Less stable demand and term funding from small business 127 10% Specified term deposits with residual maturity greater than 30 days 128 Specified by the Registrar Specified persons with specified operational relationship 129 25% Portion of specified corporate deposits with specified operational relationship covered by deposit insurance 130 5% Specified funding from cooperative banks in an institutional network 131 25% Specified non-financial corporates, sovereigns, central banks, multilateral development banks and public-sector entities with no operational relationship 132 40% Specified non-financial corporates, sovereigns, central banks, multilateral development banks and public-sector entities with no operational relationship when entire amount is fully covered by deposit insurance scheme 133 20% Other legal entities 134 100% Secured funding (total of items 136 to 141) 135 Secured funding backed by level one high-quality liquid assets or the Reserve Bank 136 0% Secured funding backed by level 2A high-quality liquid assets 137 15% Secured funding from specified counterparties backed by non-level one or non-level 2A high-quality liquid assets 138 25% Secured funding backed by RMBS qualifying as level 2B high-quality liquid assets 139 25% Secured funding backed by qualifying level 2B high-quality liquid assets other than level 2B high-quality liquid assets already specified hereinbefore 140 50% Other secured funding 141 100% Other expected outflows (total of items 143 to 152, 160, and 165 to 169) 142 Net payable amount related to specified derivative transactions 143 100% Outflows related to specified transactions such as collateral calls for specified downgrade 144 100% Valuation changes on posted collateral securing derivative transactions that is comprised of non-level one high-quality liquid assets 145 20% Excess collateral held related to derivative transactions that could contractually be called at any time 146 100% Liquidity needs related to collateral contractually due on derivatives transactions 147 100% Increased liquidity needs related to derivative transactions that allow collateral substitution to non-high-quality liquid assets 148 100% Market valuation changes on derivatives transactions (largest absolute net 30-day collateral flows realised during the preceding 24 months) 149 100% Specified funding related to asset-backed securities or other structured financing instruments 150 100% Sum of liabilities from maturing funding related to asset-backed commercial paper, conduits, securities investment vehicles and other similar financing facilities, and required liquidity related to assets that may be returned 151 100%

1. Based on the respective requirements specified in regulation 26(12)(d).
2. Or such factor as may be directed in writing by the Registrar.

8
(All amounts to be rounded off to the nearest R'000) Liquidity coverage ratio (LCR):
Cash outflows1

Line no.
Total Specified factor3
Weighted total
(col.1 * 2)
1 2 3
Committed undrawn credit or liquidity facilities (total of items 153 to
159) 152
Retail or small business 153 5%
Credit facilities to non-financial corporates, sovereigns or central banks, public sector entities and multilateral development banks 154 10% Liquidity facilities to non-financial corporates, sovereigns or central banks, public sector entities and multilateral development banks 155 30% Credit or liquidity facilities extended to any other bank subject to prudential supervision 156 40% Credit facilities extended to any financial institution other than banks subject to prudential supervision 157 40% Liquidity facilities extended to any financial institution other than banks subject to prudential supervision 158 100% Other legal entities 159 100% Uncommitted undrawn credit or liquidity facilities2 (total of items 161 to
164) 160
Retail or small business 161
Specified by the Registrar
Credit facilities to non-financial corporates, sovereigns and central banks, public sector entities and multilateral development banks 162 Liquidity facilities to non-financial corporates, sovereigns and central banks, public sector entities and multilateral development banks 163 Other legal entities 164 Trade finance instruments2 165 Internally matched client assets against other clients’ short positions2 166 Specified contractual lending obligations 167 100% Other specified outflows, such as dividend payments (please specify) 168 100% Other2 (please specify) 169 Specified by the Registrar Total outflows (total of items 118, 125, 135 and 142) 170

1. Based on the respective requirements specified in regulation 26(12)(d).
2. Relates to such items, instruments or facilities, and such factors, as may be specified in these Regulations or directed in writing by
   the Registrar from time to time.
3. Or such factor as may be directed in writing by the Registrar.

9
(All amounts to be rounded off to the nearest R'000) Liquidity coverage ratio (LCR):
Cash inflows1

Line no.
Total Specified factor3
Weighted total
(col.1 * 2)
1 2 3
Maturing secured lending transactions secured by: (total of items 172 to 176) 171

• level one high-quality liquid assets as collateral 172 0%
• level 2A high-quality liquid assets as collateral 173 15%
• eligible RMBS qualifying as level 2B high-quality liquid assets as
  collateral 174 25%
• assets other than eligible RMBS, qualifying as level 2B high-quality
  liquid assets, as collateral 175 50%
• assets other than level one or level two high-quality liquid assets as
  collateral 176 100%
  Margin lending transactions secured by assets other than qualifying level one or level two high-quality liquid assets as collateral 177 50% Credit or liquidity facilities provided to the reporting bank 178 0% Specified net inflows (total of items 180 to 182) 179
• from retail and small business 180 50%
• from wholesale non-financial institutions 181 50%
• from financial institutions and central banks 182 100%
  Specified deposits held at financial institutions for operational purposes 183 0% Specified deposits held at a centralised institution in a cooperative banking network 184 0% Net receivable amount from derivative instruments 185 100% Other contractual cash inflows2 186 Specified by the Registrar Total inflows (total of items 171, 177 to 179, and 183 to 186) 187

1. Based on the respective requirements specified in regulation 26(12)(e).
2. Relates only to such inflows and such factors as may be directed in writing by the Registrar from time to time.
3. Or such factor as may be directed in writing by the Registrar.
   (All amounts to be rounded off to the nearest R'000) Calculation of liquidity coverage ratio (LCR) Line no. Total 1 Total outflows (item 170, column 3) 188 Total inflows (item 187, column 3) 189 Total net cash outflows (item 188 minus min[item 189, 75% of item 188]) 190 LCR 1 Liquidity coverage ratio (item 98 divided by item 190, multiplied with 100) 191

10
(All amounts to be rounded off to the nearest R'000) Net stable funding ratio (NSFR):
Available stable funding1

Line no.
Total Specified factor3
Weighted total
(col.1 * 2)
1 2 3
Total available stable funding (total of items 193 to 200) 192 Capital after all relevant deductions, including common equity tier 1 capital and reserve funds, additional tier 1 capital and reserve funds and tier 2 capital and reserve funds 193 100% Specified amount of preferred securities with an effective remaining maturity of one year or longer not included in item 193 194 100% Specified amount of secured and unsecured borrowings and liabilities with effective remaining maturities of one year or longer 195 100% Specified amount of stable demand deposits and/or term deposits with residual maturities of less than one year from retail and small business 196 90% Specified amount of less stable demand deposits and/or term deposits with residual maturities of less than one year from retail and small business 197 80% Unsecured wholesale funding, non-maturity deposits and/or term deposits with a residual maturity of less than one year, from non￾financial corporate, sovereigns, central banks, multilateral development banks and public-sector entities 198 50% Specified amount of stable deposits from cooperative banks required by law2 199 Specified by the Registrar Other liabilities and equity not included elsewhere 200 0%

1. Based on the respective requirements specified in regulation 26(14)(b).
2. As may be directed in writing by the Registrar from time to time.
3. Or such factor as may be directed in writing by the Registrar.

11
(All amounts to be rounded off to the nearest R'000) Net stable funding ratio (NSFR):
Required stable funding1

Line no.
Total Specified factor3
Weighted total
(col.1 * 2)
1 2 3
Total required stable funding related to on-balance-sheet items (total of items 202 to 217) 201 Unencumbered cash 202 0% Specified unencumbered short-term unsecured instruments and transactions with outstanding maturities of less than one year 203 0% Specified unencumbered securities with remaining maturities of less than one year 204 0% Specified unencumbered securities with offsetting reverse repurchase or resale transactions 205 0% Specified unencumbered loans to financial entities with effective remaining maturities of less than one year that are not renewable 206 0% Specified unencumbered marketable securities with residual maturities of one year or longer representing claims on or claims guaranteed by specified counterparties assigned a zero per cent risk-weight 207 5% Specified unencumbered corporate bonds or covered bonds (when allowed in a particular jurisdiction) rated AA- or higher with residual maturities of one year or longer meeting specified conditions 208 20% Specified unencumbered marketable securities with residual maturities of one year or longer representing claims on or claims guaranteed by specified counterparties assigned a twenty per cent risk-weight 209 20% Unencumbered gold 210 50% Specified unencumbered listed equity securities, not issued by financial institutions or their affiliates or associates 211 50% Specified unencumbered corporate bonds and covered bonds (when allowed in a particular jurisdiction) that meet specified conditions 212 50% Specified unencumbered loans to specified non-financial counterparties with a remaining maturity of less than one year 213 50% Unencumbered residential mortgages of any maturity that qualify for a risk weight of thirty five per cent or lower 214 65% Specified unencumbered loans, excluding loans to financial institutions, with a remaining maturity of one year or longer, that qualify for a risk weight of thirty five per cent or lower 215 65% Specified unencumbered retail or small business loans with a remaining maturity of less than one year, other than those that qualify for the aforesaid RSF of sixty five per cent 216 85% All other assets not included elsewhere, including assets encumbered for more than 1 year 217 100% Total required stable funding related to off-balance-sheet items (total of items 219 and 220) 218 Conditionally revocable and irrevocable credit and liquidity facilities 219 5% Other contingent funding obligations2 220 Specified by the Registrar Total required stable funding (total of items 201 and 218) 221

1. Based on the respective requirements specified in regulation 26(14)(c).
2. As may be directed in writing by the Registrar from time to time.
3. Or such factor as may be directed in writing by the Registrar.
   (All amounts to be rounded off to the nearest R'000) Calculation of net stable funding ratio (NSFR) Line no. Total 1 Total available stable funding (item 192) 222 Total required stable funding (item 221) 223 NSFR 1 Net stable funding ratio (item 222 divided by item 223, multiplied with 100) 224