Instruction No. 2015-I-08 of March 2, 2015, on the Standard Approach for Liquidity Risk, as amended by Instruction No. 2015-I-24 of October 12, 2015 (Consolidated Version)

PRUDENTIAL CONTROL AND RESOLUTION AUTHORITY

Instruction No. 2015-I-08 dated March 2, 2015 relating to the standard approach for liquidity risk, as amended by Instruction No. 2015-I-24 dated October 12, 2015

The Prudential Control and Resolution Authority, Having regard to the Monetary and Financial Code, particularly Articles L. 511-41 and L. 611-1; Having regard to the Order of May 5, 2009, relating to the identification, measurement, management, and control of liquidity risk; Having regard to the Order of November 3, 2014, relating to internal control of companies in the banking, payment services, and investment services sectors subject to the supervision of the Prudential Control and Resolution Authority; Having regard to the Order of December 23, 2013, relating to the prudential regime of financing companies; Having regard to the Prudential Control and Resolution Authority’s Instruction No. 2007-01, as amended, of January 18, 2007, relating to the electronic signature of certain documents transmitted electronically to the Prudential Control and Resolution Authority; Having regard to the opinion of the Prudential Affairs Consultative Committee dated January 30, 2015,

DECIDES

Article 1 This Instruction applies to financing companies subject to Title II of the aforementioned Order of May 5, 2009, hereinafter referred to as "subject companies."

Article 2 Subject companies shall report the calculation elements of the liquidity coefficient defined in Article 7 of the aforementioned Order of May 5, 2009, on the COEF_LIQU table presented in Annex 1 to this Instruction. The table shall be completed monthly based on figures established on the last day of each month. Subject companies shall send the completed table for each of the last three months to the General Secretariat of the Prudential Control and Resolution Authority, no later than the 25th day of the month following the end of the civil quarter. The General Secretariat of the Prudential Control and Resolution Authority may also request a subject company to send it the COEF_LIQU table each month.

Article 3 Subject companies shall report the items referred to in Articles 19 and 20 of the aforementioned Order of May 5, 2009, on the INFO_LIQU table presented in Annex 2 to this Instruction and calculate the balance between the amount of forecast outflows and the amount of forecast inflows over seven calendar days. Without prejudice to the information whose communication is required under the aforementioned Order of November 3, 2014, the table shall be completed each quarter based on forecasts established on the last day of the quarter. It shall be sent to the General Secretariat of the Prudential Control and Resolution Authority no later than the 10th day of the following month. The General Secretariat of the Prudential Control and Resolution Authority may also request at any time from a subject company to send it any other information relating to its cash flow forecasts.

Article 4 The information relating to financing costs mentioned in Article 21 of the aforementioned Order of May 5, 2009, is as follows:

• The amount of non-subordinated and unsecured financing in euros obtained by the subject company between the first and last day of the past quarter, at the negotiation date:

  • through the issuance of debt securities;
  • or from banking counterparties, including financing companies, or other non-bank entities belonging to the same group. These financings are divided into four categories according to their contractual duration: overnight, greater than one day and less than or equal to three months, greater than three months and less than or equal to one year, and greater than one year;

• The number of financings included in each of these categories;

  • different overnight financings obtained during the same day are declared as a single financing;

• For financings with a duration greater than one year only, the weighted average duration of the financings expressed in years;

• The average spread between the effective interest rate of the financings mentioned above and the reference rate defined below, for each category of financing defined in the first bullet point. This average spread, expressed in basis points, results from the average of the spreads between the reference rate and the effective interest rate of each financing, weighted by the amount of the financing concerned; for financings with a duration greater than one year, the spreads are weighted by the amount and duration of each financing. The aforementioned reference rate is:

  • for overnight financings: the weighted average euro rate (TEMPE or EONIA) of the day of the financing;
  • for financings with a duration greater than one day and less than or equal to one year: the euro interbank offered rate (TIBEUR or EURIBOR) for the duration corresponding to that of the financing;
  • for financings with a duration greater than one year: the euro interbank offered rate (TIBEUR or EURIBOR) at 3 months, through the interest rate swap contracts of the duration of the financing against EURIBOR 3 months, if applicable. Subject companies shall report this information each quarter on the INFO_LIQU table mentioned in Article 3 of this Instruction.

Article 5 The tables mentioned in Articles 2 and 3 of this Instruction shall be expressed in euros and sent to the General Secretariat of the Prudential Control and Resolution Authority by electronic transmission in XML – XBRL format according to the technical specifications necessary for their processing as defined by the General Secretariat of the Prudential Control and Resolution Authority. They shall bear an electronic signature.

Article 6 The tables mentioned in Articles 2 and 3 of this Instruction shall be prepared for the first time on March 31, 2016, for the past quarter.

Article 7 This Instruction shall enter into force on January 1, 2016, on which date the Banking Commission’s Instruction No. 2009-05 of June 29, 2009, is repealed.

Article 8 Branches of credit institutions mentioned in I of Article L. 511-10 of the Monetary and Financial Code shall be subject to the provisions of this Instruction until June 30, 2016.

Paris, March 2, 2015 The President of the Prudential Control and Resolution Authority, [Robert OPHÈLE]