Decree of the NBS of 28 October 2008 No 18/2008 on Liquidity of Banks

18
DECREE of Národná banka Slovenska of 28 October 2008 on Liquidity of Banks and Branch Offices of Foreign Banks and on Process of Liquidity Risk Management of Banks and Branch Offices of Foreign Banks and on amendment of Decree of Národná banka Slovenska No. 11/2007 on Submission of Statements, Reports and Other Disclosures by Banks, Branches of Foreign Banks, Securities Dealers and Branches of Foreign Securities Dealers for Supervision and Statistical Purposes Pursuant to Article 27, paragraph 14, letters b) and d) and pursuant to Article 42, paragraph 2 of Act No. 483/2001 Coll. on Banks and on amendments to certain laws, as amended (hereinafter referred to as the “Act”), Národná banka Slovenska hereby stipulates as follows:
Section I
Article 1
Subject of the Decree
The purpose of this Decree is to stipulate for banks and branch offices of foreign banks (hereinafter referred to as “banks”) a. details on liquidity and methods for its identification; b. details on the system of liquidity risk management;
c. liquidity indicators.
Article 2
Definitions of the Terms Employed
For the purposes of this Decree, the terms below are defined as follows:
a. net cash flow means the difference between an increase and a decrease in the amount of cash; b. estimated maturity of an asset1 or liability1 means the time period in which the bank expects, according to the selected scenario, a cash flow connected with the relevant asset or liability;
c. scenario means the set of assumptions on the basis of which the bank assesses the time
to maturity of an asset or liability and the expected cash flow in net terms, and all the consequent activities on the part of the bank aimed at creating financial conditions for a net cash flow; d. extraordinary circumstance means a situation in which there is a real threat that the bank may lose its ability to meet its commitments by due date; e. emergency plan means a document of the bank describing the rules and procedures to be followed in dealing with extraordinary circumstances and the procedures for gaining access to emergency funds;

1 Act No. 431/2002 Coll. on Accounting, as amended

f. main currency means the currency in which the bank has significant balance-sheet or off-balance-sheet positions (in terms of volume); g. bank management means the board of directors of a bank or the chief executive officer of a branch office of a foreign bank; h. recognized exchange means a stock exchange, foreign stock exchange, or other recognized exchange abroad;2
i. customer means a natural person or a legal entity, except for banks, foreign banks or
public administration authorities.
Article 3
Liquidity Risk Management Process
(1) Banks shall use the following process for managing the liquidity risk:
a. creating conditions for liquidity risk management, mainly

1. a strategy of liquidity risk management pursuant to Article 4;
2. an efficient organisational structure, providing a basis for the
   implementation of the strategy of liquidity risk management, ensuring that the relevant managers are directly involved in the process of liquidity management, and appointment of a manager in charge of liquidity management;
3. internal regulations made in accordance with Article 5;
4. the supply of information to the bank management on the liquidity situation
   at regular intervals and on extraordinary occasions if the level of liquidity differs significantly from the expectations; information to the bank management is to be provided at such intervals and in such detail that the liquidity risk can be assessed for the bank as a whole or its portfolios with a major impact on the bank’s financial strength;
5. an information system created in accordance with Article 6;
   b. measuring, monitoring, and limiting the liquidity risk, mainly
6. selecting appropriate methods for measuring and monitoring the level of
   liquidity, methods and limits for limiting the liquidity risk in accordance with
   Article 7;
7. constructing scenarios pursuant to Article 8;
8. adopting procedures for measuring, monitoring, and managing the liquidity
   risk in the individual main currencies and setting the limits of liquidity risk in the main currencies pursuant to Article 9;
   c. making arrangements for a situation of increased liquidity risk, mainly by
9. stabilising and diversifying the bank`s sources of financing and creating
   possibilities for turning its assets into cash pursuant to Article 10;
10. drawing up an emergency plan pursuant to Article 11;
    d. establishing an adequate internal control system for liquidity risk management pursuant to Article 12. (2) Branch offices of foreign banks are not subject to those provisions of paragraph 1 the execution of which is evidently ensured by foreign banks.

2 Article 2, paragraph 14 of the Act No. 429/2002 Coll. on Stock Exchange

Article 4
Strategy of Liquidity Risk Management
The strategy of liquidity risk management is a document approved by the bank management, stipulating the main principles and methods of liquidity risk management used by the bank, mainly a. methods for measuring and monitoring the liquidity risk; b. principles for the formulation of scenarios;
c. methods and procedures for limiting the liquidity risk, mainly

1. requirements for the structure of assets and liabilities;
2. a system of limits to be applied by the bank;
3. requirements concerning the liquidity and tradability of assets;
   d. principles for the use of financial instruments in liquidity risk management; e. principles for liquidity management in individual currencies; f. principles for ensuring the stability and diversification of financial funds; g. principles for solving temporary and long-term problems with liquidity; h. principles for preparing and adjusting an emergency plan.
   Article 5
   Internal Regulations
   In accordance with the strategy of liquidity risk management, the internal regulations of banks shall stipulate the following:
   a. mutual relations and methods of co-operation between the organisational units in charge of liquidity management and other units, supplying vital information for liquidity management; b. the procedures to be used in measuring and monitoring the liquidity risk in individual currencies and in total;
   c. the basic indicators for liquidity management, their monitoring, and limits for the
   values of basic indicators; d. the procedures to be followed in the case of a breach of the limits set by the bank; e. the procedures to be followed in granting exceptions from the bank`s limits; f. methods for construction of scenarios and requirements concerning the verification, on a regular basis, of the assumptions and parameters used in the basic scenario pursuant to Article 8; g. the emergency plan set out in Article 11, the method of its preparation, including requirements for regular revisions, and clear rules for its application; h. requirements for the regular supply of detailed information to the bank management, to managers in charge of liquidity management and to other respective members of the staff about the liquidity risk;
   i. methodology for compiling reports for Národná banka Slovenska;
   j. control mechanisms ensuring the correct functioning of the system of liquidity management.
   Article 6
   Information System

(1) For the purpose of liquidity risk management, banks shall adopt such an information system that makes it possible to conclusively and reliably measure, monitor, control, and check the level of liquidity, and supplies the necessary information to the bank management and those members of the staff whose activity has or may have an impact on the bank`s liquidity. (2) The information system described in paragraph 1 enables the following operations:
a. measuring the liquidity risk in the selected time bands on a daily basis; b. measuring the liquidity risk in the main currencies and in total (for all currencies);
c. verifying that real development of liquidity is in keeping with the relevant scenario;
d. verifying the achieved values of liquidity indicators against the prescribed limits; e. evaluating the trends of development of the bank’s liquidity.
Article 7
Measuring and Monitoring Net Cash Flows
(1) For the purposes of liquidity risk management, banks are required to a. adopt methods and corresponding procedures for measuring and monitoring net cash flows making possible

1. gathering all the quantitative information necessary for liquidity management;
2. compiling a calendar of maturities of assets and liabilities;
3. measuring and comparing the increases and decreases in funds;
4. monitoring of the net cash flow on a daily basis, over the next five days at least
   and over the following time bands; b. categorize assets and liabilities according to
5. the actual time to maturity;
6. the estimated maturity;
   c. set limits to limit the liquidity risk on the basis of measured and monitored indicators.
   (2) If a bank includes assets according to the estimated maturity into bands of shorter maturities than that corresponding to the actual time to maturity of these assets, a system of discounts shall be introduced for these assets, reflecting the market risk connected with the accelerated sale of individual assets. (3) Liabilities may be put according to the estimated maturity into bands of longer maturities than that corresponding to the actual time to maturity of these liabilities, if the bank is able to prove that such shifts are justified.
   Article 8
   Scenarios for Liquidity Management and the Verification of Assumptions (1) The assumptions of development of volume and structure (hereinafter referred to as “assumptions of development”) of balance-sheet assets and liabilities, off-balance-sheet items, and other assumptions shall be made for both the basic scenario and alternative scenarios. (2) For the purposes of this Decree, the terms below are defined as follows:
   a. basic scenario means a scenario expressing the development of assumptions in connection with liquidity as expected by the bank;

b. alternative scenario means a scenario other than the basic scenario. (3) The assumptions of development in assets for the basic scenario and alternative scenarios include mainly an estimate of a. the volume of assets that the bank intends to sell before the expiry of maturity; b. the maturity of repayments of overdue receivables;
c. the early repayment of receivables.
(4) The assumptions of development in liabilities for the basic scenario include mainly an estimate of the average maturity of deposits. (5) The assumptions of development in liabilities for alternative scenarios include mainly an estimate of a. the volume of financial funds expected by the bank which will be at the banks disposal under any conditions; b. the possibility of an increase in the volume of financial funds which will be at the banks disposal under any conditions;
c. the volume of financial funds expected by the bank which the bank may lose under
non-standard conditions; d. the volume of stand-by financial funds which are at the banks disposal and under which conditions. (6) The assumptions of development in off-balance-sheet items for the basic scenario and alternative scenarios include mainly an estimate of a. the loss of funds resulting from the given commitments to provide loans and from credit restrictions, letters of credit, given guarantees and derivatives, including options; b. the increment of funds resulting from a potential realization of accepted guarantees, including an estimate of the time of their realization, from the given commitments to provide loans, from any potential use of credit lines, and from derivatives, including options. (7) In making assumptions for the individual scenarios, the bank shall also take into account its needs arising from its trading activities and the activities of customers which may affect the banks liquidity, especially payments, settlement of transactions, and corresponding banking. (8) The correctness of assumptions made for the individual scenarios is verified by banks on a regular basis, with regard to the changes in conditions inside or outside the bank. In the case of changes in the assumptions of individual scenarios, the scenarios shall be adjusted in the appropriate manner.
Article 9
Liquidity Management in Individual Currencies
(1) For the purposes of liquidity management in individual currencies, the bank shall set indicators for the individual currencies, which will be monitored over the course of liquidity

management in the main currency, and for some of these indicators, limits will also be set to limit the liquidity risk in the main currency. (2) In setting limits pursuant to paragraph 1, the bank shall take into account its financial situation, type, complexity, and volume of transactions conducted, and the conditions in the case of extraordinary circumstances. (3) If a bank finances assets held in a currency by liabilities held in another currency, an analysis shall be carried out of the market conditions which may affect the bank’s access to the foreign exchange market, the possible conditions of exchange of a currency for another currency in various situations, and other conditions which may affect the bank’s access to funds in the required currency.
Article 10
Management of Access to the Market
(1) For the purposes of stabilisation and diversification of financial funds, banks shall a. regularly establish and maintain contacts with customers and other trading partners who are significant for the bank from the point of view of liquidity; b. regularly verify the degree of reliability of individual financial funds;
c. monitor the development of various forms of financing.
(2) To ensure the timely sale of assets at adequate prices, the bank shall monitor and maintain the possibility of access to the market.
Article 11
Emergency Plan
(1) The principles governing the solution of extraordinary circumstances set out in the emergency plan apply mainly to a. the creation of conditions for a timely flow of a precise information within the bank; b. clear delimitation of powers and responsibilities within the bank;
c. the possible ways of affecting the development of assets and liabilities;
d. forms of communication with creditors, other customers, trading partners, and the public. (2) The procedures ensuring access to the stand-by financial funds described in the emergency plan apply mainly to a. the conditions under which a bank has access to these funds and their volume; b. the solution to the situation when a bank has no access to stand-by financial funds. (3) The emergency plan shall be updated on a regular basis, with regard to changes in conditions inside or outside the bank.
Article 12
Internal Control System for Liquidity Risk Management

(1) The internal control system for liquidity risk management is an inseparable part of the bank`s overall internal control system and consists of the following components:
a. a corresponding control environment, mainly

1. control mechanisms and activities conducted by the bank management;
2. control activity conducted by managers at lower levels of management;
3. control activity performed by the banking staff as part of their duties and
   responsibilities; b. regular and independent verification of the system of liquidity management by the bank`s internal control and internal audit department and evaluation of the control system in terms of efficiency. (2) When deficiencies are detected, the internal control system for liquidity risk management shall ensure that a. appropriate corrective measures are adopted and met; b. the system is adjusted if necessary without undue delay;
   c. the managers in charge of liquidity management are notified of the detected
   deficiencies.
   Article 13
   Indicators of Liquidity
   (1) The following indicators of liquidity are hereby established:
   a. indicator of fixed and illiquid assets; b. indicator of liquid assets. (2) The indicator of fixed and illiquid assets is the ratio of the sum of fixed and illiquid assets to selected liability items. (3) Fixed assets include:
   a. participation certificates and deposits in business companies with a controlling influence; b. participation certificates and deposits in business companies with a substantial influence;
   c. tangible assets;
   d. intangible assets; e. tangible and intangible assets kept on acquisition accounts. (4) Illiquid assets include:
   a. receivables that are overdue for more than 30 days; b. shares, temporary certificates and units of mutual funds which are not fixed assets and are not quoted on the recognized exchange;
   c. co-operate participation certificates which are not fixed assets.
   (5) Selected liability items mean the sum of added items pursuant to paragraph 6, reduced by the sum of deductible items pursuant to paragraph 7.

(6) Added items include:
a. subscribed share capital; b. capital surplus;
c. reserve fund3
and other funds created from the distribution of profits after tax, except for funds which are of liability nature; d. other capital funds, except for the differential resulting from the conversion of participation certificates and deposits in a foreign currency; e. retained earnings from previous years. (7) Deductible items include:
a. accumulated losses from previous years; b. loss to be approved;
c. loss of the current accounting period;
d. own shares of the bank in book value, acquired by the bank; e. portion of the expected loss from the banks assets for which their value was not adjusted, and portion of the expected loss from the banks off-balance-sheet items for which no provisions were created. (8) Fixed assets and illiquid assets are included in the calculation of the indicator of fixed and illiquid assets in net book value. (9) The value of the indicator of fixed and illiquid assets must not be higher than 1. (10) The indicator of liquid assets is the ratio of the sum of liquid assets to the sum of volatile liabilities. (11) The sum of liquid assets means the sum of the values of a. cash items; b. receivables towards central banks payable within one month;
c. receivables towards banks, foreign banks and customers payable within one month,
except for failed receivables4 and except for overdue repayments; d. debt securities payable within one month, except for failed debt securities; e. securities according to the table stipulated in clause 12 with the residual maturity of more than one month or without the residual maturity, except for failed securities or securities provided as a security for a period longer than one month, and except for securities with an inverse floating interest rate and securities according to the table stipulated in clause 12 accepted during reverse repo transactions if the residual maturity of these reverse repo transactions is longer than one month, except for failed securities or securities provided as a security for a period longer than one month, and except for securities with an inverse floating interest rate; the value of securities pursuant to this letter e) shall be modified by the value of deductions according to the

3 Article 67 of the Commercial Code, as amended 4 Article 73 of Decree of Národná banka Slovenska No. 4/2007 on Banks Own Funds of Financing and Banks Capital Requirements and on Securities Dealers Own Funds of Financing and Securities Dealers Capital Requirements (Announcement No. 121/2007 Coll.)

table stipulated in clause 12; securities enter the calculation of liquid assets in their
real value increased by an aliquot interest yield; f. receivables towards public administration authorities payable within one month, except for failed receivables, and except for overdue repayments. (12) For the purposes of clause 11, a table is established as follows:
Table
Securities Issuer or guarantor Deduction
(%) treasury bills Slovak Republic, Národná banka Slovenska, Eurosystem member states, United States of America, Canada, United Kingdom of Great Britain and Northern Ireland, Japan and Switzerland and central banks of the Eurosystem member states, of the United States of America, of Canada, of the United Kingdom of Great Britain and Northern Ireland, of Japan and Switzerland 1 % variable coupon bonds or coupon bonds with the residual period of coupon fixation up to one year, including, issued or guaranteed up to 100 % of the amount of principal and coupon payments Slovak Republic, Národná banka Slovenska, Eurosystem member states, United States of America, Canada, United Kingdom of Great Britain and Northern Ireland, Japan and Switzerland and central banks of the Eurosystem member states, of the United States of America, of Canada, of the United Kingdom of Great Britain and Northern Ireland, of Japan and Switzerland 1 % coupon bonds with the residual period of coupon fixation from one to five years, including, or zero coupon bonds with the residual maturity from one to five years, including, issued or guaranteed up to 100 % of the amount of principal and coupon payments Slovak Republic, Národná banka Slovenska, Eurosystem member states, United States of America, Canada, United Kingdom of Great Britain and Northern Ireland, Japan and Switzerland and central banks of the Eurosystem member states, of the United States of America, of Canada, of the United Kingdom of Great Britain and Northern Ireland, of Japan and Switzerland 3 % coupon bonds with the residual period of coupon fixation from five to ten years, including, or Slovak Republic, Národná banka Slovenska, Eurosystem member states, United States of America, 6 %

zero coupon bonds with the residual maturity from five to ten years, including, issued or guaranteed up to 100 % of the amount of principal and coupon payments Canada, United Kingdom of Great Britain and Northern Ireland, Japan and Switzerland and central banks of the Eurosystem member states, of the United States of America, of Canada, of the United Kingdom of Great Britain and Northern Ireland, of Japan and Switzerland coupon bonds with the residual period of coupon fixation above ten years or zero coupon bonds with the residual maturity above ten years, issued or guaranteed up to 100 % of the amount of principal and coupon payments Slovak Republic, Národná banka Slovenska, Eurosystem member states, United States of America, Canada, United Kingdom of Great Britain and Northern Ireland, Japan and Switzerland and central banks of the Eurosystem member states, of the United States of America, of Canada, of the United Kingdom of Great Britain and Northern Ireland, of Japan and Switzerland 10 % other debt securities quoted on recognized exchanges, accounted as financial instruments and valuated at real value against profit and loss and financial instruments for sale 20 % other debt securities quoted on recognized exchanges, accounted as financial instruments held until maturity and as deposits and loans 20 % other capital securities quoted on recognized exchanges 30 % (13) The sum of volatile liabilities means the sum of the values of a. liabilities towards banks, foreign banks and central banks, payable within one month, multiplied by the coefficient of 0.7; b. liabilities towards the Ministry of Finance of the Slovak Republic or towards the State Treasury resulting from transactions on the financial market made on their behalf by the Debt and Liquidity Management Agency, payable within one month;
c. liabilities towards natural persons payable within one month, multiplied by the
coefficient of 0.4; d. liabilities towards natural persons with the residual maturity of more than one month, multiplied by the coefficient of 0.05; e. liabilities towards legal entities and public administration authorities, except for liabilities towards the Ministry of Finance of the Slovak Republic or towards the State

Treasury resulting from transactions on the financial market made on their behalf by the Debt and Liquidity Management Agency, payable within one month, multiplied by the coefficient of 0.4; f. liabilities towards legal entities and public administration authorities, except for liabilities towards the Ministry of Finance of the Slovak Republic or towards the State Treasury resulting from transactions made on their behalf by the Debt and Liquidity Management Agency, with the residual maturity of more than one month, multiplied by the coefficient of 0.3; g. issued short-term securities payable within one month, multiplied by the coefficient of 0.4; h. issued mortgage bonds payable within one month, multiplied by the coefficient of 0.5;
i. other issued debt securities payable within one month;
j. other liabilities payable within one month; k. commitments to provide a loan, multiplied by the coefficient of 0.1; the calculation shall only include those commitments that arise out of or result from agreements which may not be withdrawn;
l. liabilities from bills of credit payable within one month;
m. provided guarantees, multiplied by the coefficient of 0.05.
(14) The value of the indicator of liquid assets must not be lower than 1. (15) The provisions of paragraph 1, letter a) and the provisions of paragraphs 2 to 9 do not apply to branches of foreign banks.
Article 14
Decree No. 3/2004 of Národná banka Slovenska of 16 January 2004 on Liquidity of Banks and Branch Offices of Foreign Banks and on Process of Liquidity Risk Management of Banks and Branch Offices of Foreign Banks (Announcement No. 35/2004 Coll.), as amended by Decree No. 16/2006 of 20 December 2006 (Announcement No. 683/2006 Coll.) is hereby repealed.
Section II
Decree No. 11/2007 of Národná banka Slovenska of 30 October 2007 on Submission of Statements, Reports and other Disclosures by Banks, Branches of Foreign Banks, Securities Dealers, and Branches of Foreign Securities Dealers for Supervision and Statistical Purposes (Announcement No. 496/2007 Coll.) is hereby amended as follows:
Annex No. 11 is replaced by annex to this Decree.
Section III
This Decree becomes effective on 15 November 2008.
Ivan Šramko
Governor

Issued by:
Department for Regulation and Risk Management Methodology Tel.: +421 2 5787 3301 in cooperation with the Department for Supervision Tel.: +421 2 5787 1118

Instructions for completing a report on the actual time to maturity of assets and liabilities and a report on the estimated maturity of assets and liabilities Bd (LIK) 3-12

1. Figures are to be entered in the reports in thousands of Slovak koruna.
2. In the individual columns of the Report on the Actual Time to Maturity of Assets
   and Liabilities (hereinafter referred to only as Section A) and of the Report on the Estimated Maturity of Assets and Liabilities (hereinafter referred to only as Section C), the figures are to be entered in net value, i.e. including provisions and accumulated depreciation. The exception comprises assets in the case of which depreciation is made on the portfolio basis. These assets are to be reported in gross value in the individual columns according to the residual actual or estimated maturity and depreciation formed with regard to such assets are to be reported in column 10 with a negative mark.
3. Explanatory notes to the content of lines in Part I of the report:
   in line 2, treasury, gold and values on the way are to be reported, in lines 7 to 11 and line 13, securities to be entered must include also securities covered by lien, in line 13, the volume of participation certificates and deposits in business companies with a controlling and substantial influence is to be reported, in line 14, tangible assets and intangible assets, including non-current assets held for sale (IFRS 5) are to be reported, in line 19, the allocation of State bonus to customers is to be reported, in line 20, liabilities towards the Ministry of Finance of the Slovak Republic or towards the State Treasury resulting from transactions on the financial market made on their behalf by the Debt and Liquidity Management Agency are to be reported.
4. Explanatory notes to the content of lines in Part II of the report:
   in lines 39 to 43 and in lines 52 to 54, accepted or provided guarantees are to be reported. A guarantee means any form of security. Classification of guarantees accepted in REPO transactions to guarantees towards banks and towards customers is to be made on the basis of guarantor or security issuer, and not on the basis of the debtor. In the case of a transfer of a security accepted as a guarantee (e.g. by a securing transfer of a security) within a REPO transaction to another person, such securities are not to be reported, in line 39 and line 40 or line 48, line 49 and line 52, NBS and foreign issuing banks are to be reported, in line 41 and line 42 or line 53, also guarantees accepted from or provided to public administration authorities and international organizations are to be reported, in line 50 and line 51, also commitments to provide loans to public administration authorities and international organizations are to be reported, in line 44 and line 55, the value of underlying instruments of all spot transactions is to be reported, in line 45 and line 56, the value of underlying instruments of those term transactions is to be reported, where an exchange of the underlying instrument takes place, i.e. during their settlement, the underlying instrument is actually provided and so it is not only a financial settlement without the provision of the underlying instrument. An exchange of the underlying

instrument also means an exchange of cash flows, in particular if the cash flows are in various currencies, in line 46 and line 57, the value of underlying instruments of those transactions with options are to be reported, where in the case of realization of the option, an exchange of the underlying instrument takes place.
5. Lines 64 and 65 in Section A are not to be filled in by branch offices of foreign
banks.
6. The relationships between the individual lines of the report can be defined as
follows:
line 1 = lines 2 + 3 + 4 +. . . + 11 + 13 + 14 + 15 line 16 = lines 17 + 18 + 19 + 23+24+25+26+28+29 line 36 = lines 37 + 39 + 41 + 43 + 44 + 45 + 46 line 47 = lines 48 + 50 + 52 + 53 + 54 + 55 + 56 + 57
7. In cumulative terms, net positions in lines 31 and 59 are to be calculated as the sum
of values from all the previous columns, including the filled column in question in the previous line, i.e. line 30 and 58. For example, the cumulative net balance-sheet position in column 4 shall be calculated as the sum of figures from line 30 in columns 1 to 4. Explanatory notes to Section A
8. Column 10 of the Report shall contain the values of assets and liabilities the
maturity of which is not specified, which have no maturity, or cannot be classified according to the actual time maturity. The exception comprises those repayments of receivables valuated individually without an identified devaluation and of receivables valuated individually with an identified devaluation which are in default, all repayments of failed receivables, regardless of the default, and other failed assets; they are to be reported in column 10. During the reporting of receivables that did not fail, the individual repayments of the principal, during payment of which no default occurred, are to be reported in columns according to the residual maturity determined according to the agreed repayment schedule.
9. Column 10 shall also include the retained earnings or accumulated losses of banks
from previous years. From 1 January to 31 March (including), profits to be approved shall be entered in column 4, and from 1 April to 30 June (including), in column 3. Losses to be approved shall be reported in column 10.
10. Column 10 shall also include valuation differences accounted in own equity and
real values of derivatives accounted in the balance sheet.
11. In lines 7 to 10, all debt securities are to be reported according to their residual
maturity. In line 12, securities according to the residual maturity of the bank`s liability that they secure are to be reported. If it concerns debt securities the maturity of which is shorter than the maturity of the liability that they secure, they are to be reported according to this shorter period of their maturity.

12. Securities accepted in reversed REPO transactions are to be reported according to
    the residual value of maturity of the respective reversed REPO transaction. Other accepted methods of securing are to be reported in column 10.

13. During the reporting of spot and term transactions and transactions with options,
    off-balance-sheet receivables and liabilities from these transactions are to be reported in the individual maturity periods according to the date of settlement if it concerns a cash flow, or according to the residual maturity of the underlying instrument if it concerns an underlying instrument which is not a cash flow (e.g. security in a term transaction before the date of settlement).

14. Commitments to provide or accept loans are to be reported in the individual time
    periods according to the period when a bank or a branch office of a foreign bank assumes the provision or acceptance of such loan, whereas the maturity of the respective loan shall not be taken into account. Explanatory notes to Section B

15. In lines 1 to 7, debt securities accounted in the asset and liability statement, as well
    as securities accepted in reversed REPO transactions are to be reported if their residual maturity is longer than one month.

16. Failed securities and securities provided as a guarantee for a period longer than
    one month and securities with inverse floating interest rate are not to be reported here.

17. Securities in columns 3 and 4 shall be reported in real value (including securities
    held until maturity) increased by an aliquot interest yield.
    Explanatory notes to Section C

18. Section C shall contain data according to the estimated maturity of assets and
    liabilities in the basic scenario as of the last day of the respective month of the calendar year.

19. During the reporting of repayments from receivables valuated individually without
    an identified devaluation and from receivables valuated individually with an identified devaluation which did not record a delay during their payment, these repayments are to be reported according to their estimated maturity, and also in the case of receivables if a bank or a branch office of a foreign bank intends to provide these funds to another customer immediately after the repayment of the receivable.

20. Securities, including stock, are to be reported according to the intention of the
    bank to sell securities.

21. Discounts, expressing the degree of market risk connected with the accelerated
    sale of assets, used by the bank in categorising assets into groups with shorter maturities, will cause the remaining value of assets to change into loss in the bank`s balance sheet as part of the profit and loss account, and thus Part I in Section C will remain balanced. However, the equality of the size of balance amount between Section A and Section C does not have to apply.

22. The accepted methods of securing, except for securities accepted in reversed
    REPO transactions in the case of which a bank or a branch office of a foreign bank does not expect their realization, are to be reported in column 10. If a bank or a branch office of a foreign bank assumes their realization, they are to be reported in the time period corresponding with this assumption.

23. The abbreviations used and their meaning:
    r. - line (l.)
    Č.r. - line number (l. no.) stĺ. - column (col.) mes. - month NBS - Národná banka Slovenska ŠPP - Treasury bills ŠD - government bonds PP - cash items CP - securities ARDaL - Debt and Liquidity Management Agency (DLMA)

Type of report:
Report prepared as at:
Section A: Report on the actual time to maturity of assets and liabilities
up to 7 days 7 days to 1 month 1 to 3 months 3 to 6 months 6 to 9 months 9 to 12 months 12 to 24 months 24 to 60 months more than 60 items including months a b 1 2 3 4 5 6 7 8 9 10
Part I. - BALANCE-SHEET ASSET AND LIABILITY ACCOUNTS
SUM OF BALANCE-SHEET ASSET ACCOUNTS 1 cash items 2 accounts of central banks and postal checking accounts 3 accounts of other banks 4 accounts of customers and public administration authorities 5 accrued revenues 6 Treasury bills 7 government bonds 8 central bank bills and bonds 9 other debt securities 10 other securities for sale and securities at real value against profit and loss 11 securities covered by lien (from line 7 to 11 and line 13) 12 other financial investments 13 tangible and intagible fixed assets 14 other assets 15 SUM OF BALANCE-SHEET LIABILITY ACCOUNTS 16 accounts of central banks and postal checking accounts 17 accounts of other banks 18 accounts of customers and public administration authorities 19 liabilities towards DLMA 20 liabilities towards natural persons 21 liabilities towards legal entities and public administration authorities, except for DLMA 22 short-term securities issued 23 accrued expenses 24 subsidies and similar funds 25 issue of bonds 26 issued mortgage bonds 27 reserves and own equity 28 other liabilities 29 NET BALANCE-SHEET LIQUIDITY POSITION (l.1 - l.16) 30 CUMULATIVE NET BALANCE-SHEET LIQUIDITY POSITION 31 NET BALANCE-SHEET LIQUIDITY POSITION IN SKK 32 NET BALANCE-SHEET LIQUIDITY POSITION IN CZK 33 NET BALANCE-SHEET LIQUIDITY POSITION IN USD 34 NET BALANCE-SHEET LIQUIDITY POSITION IN EUR 35
Annex to
REPORT ON THE ACTUAL TIME TO MATURITY OF ASSETS AND LIABILITIES AND ON THE ESTIMATED MATURITY OF ASSETS AND LIABILITIES SPECIMEN
Annex No. 11 to Decree No. 11/2007
Name of bank (branch office of a foreign bank):
maturity unspecified maturity
Code of bank (branch office of a foreign bank):
Indicator maturity maturity
L.no. maturity maturity

up to 7 days 7 days to 1 month 1 to 3 months 3 to 6 months 6 to 9 months 9 to 12 months 12 to 24 months 24 to 60 months more than 60 items including months a b 1 2 3 4 5 6 7 8 9 10
Part II. - SELECTED OFF-BALANCE-SHEET ASSET AND LIABILITY ACCOUNTS
SUM OF SELECTED OFF-BALANCE-SHEET ASSET ACCOUNTS 36 commitments to accept loans 37 of which: non-cancellable 38 other liabilities from guarantees to banks 39 of which: collateral accepted in REPO transactions 40 other liabilities from guarantees to customers 41 of which: collateral accepted in REPO transactions 42 guarantees accepted from letters of credit 43 claims from spot transactions 44 claims from term transactions 45 claims from transactions with options 46 SUM OF SELECTED OFF-BALANCE-SHEET LIABILITY ACCOUNTS 47 commitments to provide loans to banks 48 of which: non-cancellable 49 commitments to provide loans to customers 50 of which: non-cancellable 51 other claims from guarantees to banks 52 other claims from guarantees to customers 53 guarantees provided for letters of credit 54 liabilities from spot transactions 55 liabilities from term transactions 56 liabilities from transactions with options 57 NET OFF-BALANCE-SHEET LIQUIDITY POSITION (l.36 - l.47) 58 CUMULATIVE NET OFF-BALANCE-SHEET LIQUIDITY POSITION 59 NET OFF-BALANCE-SHEET LIQUIDITY POSITION IN SKK 60 NET OFF-BALANCE-SHEET LIQUIDITY POSITION IN CZK 61 NET OFF-BALANCE-SHEET LIQUIDITY POSITION IN USD 62 NET OFF-BALANCE-SHEET LIQUIDITY POSITION IN EUR 63 Fixed assets of the bank 64 Illiquid assets of the bank 65 Selected liability items 66 INDICATOR OF FIXED ASSETS AND ILLIQUID ASSETS OF THE BANK TO TWO DECIMAL PLACES (line 64 and 65) / line 66 Liquid assets of the bank 68 Volatile liabilities of the bank 69 INDICATOR OF LIQUID ASSETS OF THE BANK TO TWO DECIMAL PLACES (line 68 / line 69) maturity 67 maturity unspecified Indicator L. no. maturity maturity 70

Bd (LIK) 3-12
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(col. 1 to 10)
11 o Decree No. 18/2008
Total

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(col. 1 to 10)
11
Total