Instruction No. 2009-05 of June 29, 2009, on the Standard Approach to Liquidity Risk (Repealed)

Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 148

Instruction No. 2009-05 on the Standard Approach to Liquidity Risk

The Banking Commission,

Having regard to the Monetary and Financial Code, particularly Articles L.511-41, L.613-8 and following;

Having regard to the Order of May 5, 2009, relating to the identification, measurement, management and control of liquidity risk;

Having regard to Regulation No. 97-02 of the Committee for Banking and Financial Regulation, modified on February 21, 1997, relating to the internal control of credit institutions and investment firms;

Having regard to Instruction No. 2007-01 of the Banking Commission, modified on January 18, 2007, relating to the electronic signature of certain documents transmitted electronically to the Banking Commission;

Decides:

Article 1
This Instruction applies to institutions subject to Title II of the aforementioned Order, hereinafter referred to as "covered institutions."

Article 2
Covered institutions shall report the calculation elements of the liquidity coefficient defined in Article 7 of the aforementioned Order 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. Covered institutions shall send the completed table for each of the last three months to the General Secretariat of the Banking Commission, no later than the 25th day of the month following the end of the calendar quarter.

The General Secretariat of the Banking Commission may additionally request a covered institution to send it the COEF_LIQU table each month.

Article 3
Covered institutions shall report the items referred to in Articles 19 and 20 of the aforementioned Order on the INFO_LIQU table presented in Annex 2 to this Instruction and calculate the balance between the amount of projected disbursements and the amount of projected receipts at seven calendar days.

Without prejudice to the information whose communication is provided for under Article 38-2 of the aforementioned Regulation 97-02, 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 Banking Commission no later than the 10th day of the following month.

The General Secretariat of the Banking Commission may additionally request at any time from any covered institution 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 is as follows:

– the amount of non-subordinated and non-guaranteed financing in euros obtained by the institution between the first and last day of the past quarter, at the negotiation date:
- through the issuance of debt securities
- or from banking counterparties or non-banking entities belonging to the same group.

OFFICIAL TEXTS OF THE BANKING COMMISSION
Instruction No. 2009-05 of June 29, 2009
Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 149

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; the 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 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 necessary.

Covered institutions shall report this information each quarter on the INFO_LIQU table mentioned in Article 3.

Article 5
The tables mentioned in Articles 2 and 3 are expressed in euros and sent to the General Secretariat of the Banking Commission by electronic transmission in XML – XBRL format according to the technical specifications necessary for their processing as defined by the General Secretariat of the Banking Commission. They are subject to an electronic signature.

Article 6
The tables mentioned in Articles 2 and 3 of this Instruction are prepared for the first time on the date of June 30, 2010, for the past quarter.

Article 7
This Instruction enters into force on June 30, 2010, on which date Instruction No. 88-03 of the Banking Commission, modified on April 22, 1988, Instruction No. 89-03 of the Banking Commission of April 20, 1989, and Instruction No. 88-10 of the Banking Commission, modified on July 29, 1988, are repealed.

Paris, June 29, 2009

The President of the Banking Commission,
Jean-Paul REDOUIN

Brut %
Pondération Brut %
Pondération
1 2 3 4 5 6
1 Cash and operations with Eurosystem Central Banks
1.1 Cash 100%
1.2 Current accounts debit/credit with CB 100% 100%
1.3
Loans/borrowings and repos - overnight and mat <= 1 month (other than operations related to monetary policy operations of a Eurosystem Central Bank) 100% 100% 1.4 Operations related to monetary policy operations of a Eurosystem Central Bank (for the Bank of France, operations carried out under the global collateral management facility - 3G) 0% 1.5 Amount of assets pledged as collateral to a Eurosystem Central Bank and not yet effectively mobilized 100% 1.6 Eligible private claims with the Eurosystem and not yet pledged to a Eurosystem Central Bank (for the Bank of France, private claims not mobilized under TRICP) 50% 2 Interbank Operations
2.1 Current accounts debit/credit 100% 100%
2.2 Overnight loans/borrowings and repos 100% 100%
2.3 Other loans/borrowings and repos with a residual maturity less than or equal to 1 month 100% 100%
2.4 Financial securities to be delivered/received in the coming month 100% 100%
2.5 Collection accounts 100% 100%
2.6 Excess Refinancing Agreements received/given or given/received (out-of-group) 80% 80%
2.7 Guarantees, avals, endorsements, acceptances, other guarantees in favor of or on behalf of credit institutions and similar 5%
3 Intra-group Operations with Credit Institutions and Similar
3.1 Current accounts debit/credit 100% 100%
3.2 Overnight loans/borrowings and repos 100% 100%
3.3 Other loans/borrowings and repos with a residual maturity less than or equal to 1 month 100% 100%
3.4 Financial securities to be delivered/received in the coming month 100% 100%
3.5 Collection accounts 100% 100%
3.6 Excess of refinancing agreements received/given or given/received (intra-group) 100% 100%
3.7 Guarantees, avals, endorsements, acceptances, other guarantees in favor of or on behalf of credit institutions and similar 5%
4 SUBTOTAL OF INTERBANK OPERATIONS
5 Operations with Customers (including non-banking intra-group)
5.1 Loans Granted
5.1.1 Loans granted with an initial duration greater than 1 year
COEF- LIQU – CALCULATION ELEMENTS OF THE LIQUIDITY COEFFICIENT Net Weighted Liabilities (col 34 - col 12 if positive) CALCULATION ELEMENTS Net Weighted Liquidity (col 12 - col 34 if positive) Liquidity Liabilities Activity All Zones Currency All Currencies Month of Month 1 Month 2 Month 3 Social Scope OFFICIAL TEXTS OF THE BANKING COMMISSION Instruction No. 2009-05 of June 29, 2009 Annex 1 to Instruction No. 2009-05 Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 150

Brut %
Pondération Brut %
Pondération
1 2 3 4 5 6
Net Weighted
Liabilities
(col 34 - col 12 if positive)
CALCULATION ELEMENTS
Net Weighted
Liquidity
(col 12 - col 34 if positive)
Liquidity Liabilities
5.1.1.1
Customer loans - mat <= 1 month excluding draws on permanent credit lines referred to in line 5.1.1.2 100%
5.1.1.2 Draws on permanent credit lines maturing in the month 0%
5.1.1.3 Simple lease, LOA and hire-purchase with a residual maturity less than or equal to 1 month 100%
5.1.2 Loans granted with an initial duration less than or equal to 1 year
5.1.2.1
Customer loans - mat <= 1 month excluding draws on permanent credit lines referred to in line 5.1.2.2 75%
5.1.2.2 Draws on permanent credit lines maturing in the month 0%
5.1.2.3 Simple lease, LOA and hire-purchase with a residual maturity less than or equal to 1 month 75%
5.1.3 Bills and mortgage claims free of any commitment with more than one month to run 15%
5.2 Deposits
5.2.1
Term credit accounts and cash certificates for retail customers with a residual maturity less than or equal to 1 month 30% 5.2.2 Term credit accounts and cash certificates for customers other than retail with a residual maturity less than or equal to 1 month 50%
5.2.3 Credit current accounts (any type of customer) 10%
5.2.4
Term credit accounts and cash certificates (any type of customer) with a residual maturity greater than 1 month 10%
5.2.5 Savings accounts and special regime savings accounts (any type of customer) 10%
5.2.6 Borrowings received from the group with a residual maturity less than or equal to 1 month 80%
5.3 Off-Balance Sheet Operations
5.3.1 Guarantees, avals, endorsements, acceptances and other guarantees in favor of or on behalf of customers 2.50%
5.3.2 Financing commitments in favor of retail customers
5.3.2.1
Financing commitments to be drawn in the coming month under contractual provisions 100% 5.3.2.2 Financing commitments in the case where the draw on financing commitments in favor of customers is calculated statistically 120%
5.3.2.3 Permanent credit lines 3%
5.3.3 Financing commitments in favor of customers other than retail
5.3.3.1
Financing commitments to be drawn in the coming month under contractual provisions 100% 5.3.3.2 Financing commitments in the case where the draw on financing commitments in favor of customers is calculated statistically 120%
5.3.3.3 Financing commitments in favor of ad hoc entities 30%
5.3.3.4 Other financing commitments and permanent credit lines 15%
5.3.4 Excess Financing commitments received/given from group customers 70% 70%
6 SUBTOTAL OF CUSTOMER OPERATIONS
7 Operations on Financial Securities
OFFICIAL TEXTS OF THE BANKING COMMISSION Instruction No. 2009-05 of June 29, 2009 Annex 1 to Instruction No. 2009-05 Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 151

Brut %
Pondération Brut %
Pondération
1 2 3 4 5 6
Net Weighted
Liabilities
(col 34 - col 12 if positive)
CALCULATION ELEMENTS
Net Weighted
Liquidity
(col 12 - col 34 if positive)
Liquidity Liabilities
7.1 Debt Securities
7.1.1 Financial securities with at most one month to run
7.1.1.1 Eligible Eurosystem 100%
7.1.1.2 Other EEA States (issued or guaranteed) 95%
7.1.1.3 Others 90%
7.1.1.4 Bond loans and subordinated redeemable in the month 100%
7.1.1.5 TCN redeemable in the month 70%
7.1.2 Financial securities with more than one month to run
7.1.2.1 Eligible Eurosystem 90%
7.1.2.2 Other EEA States (issued or guaranteed) 85%
7.1.2.3 Others 80%
7.2 Capital Securities
7.2.1 Negotiable capital securities on an active market 80%
7.3 Units or Shares of UCITS
7.3.1 Units or Shares of Money Market UCITS 100%
7.3.2 Units or Shares of other UCITS 80%
8 SUBTOTAL OF OPERATIONS
ON FINANCIAL SECURITIES
9 TOTAL LIQUIDITIES (col 5) and LIABILITIES (col 6) OFFICIAL TEXTS OF THE BANKING COMMISSION Instruction No. 2009-05 of June 29, 2009 Annex 1 to Instruction No. 2009-05 Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 152

CALCULATION OF THE RATIO Result
A Liquidity
B Liabilities
C Liquidity Surplus (A-B)
D LIQUIDITY COEFFICIENT (A/B)
COEF- LIQU – CALCULATION ELEMENTS OF THE LIQUIDITY COEFFICIENT Activity All Zones Currency All Currencies Month of submission Month 1 Month 2 Month 3 Social Scope OFFICIAL TEXTS OF THE BANKING COMMISSION Instruction No. 2009-05 of June 29, 2009 Annex 1 to Instruction No. 2009-05 Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 153

Cash Flow Monitoring Table at One Week - Gross Projected Cash Flows Euros Currency 1 Currency n 1
1.1 Operations with the Central Bank (Eurosystem)
1.2 Interbank Loans/Borrowings (including Intragroup)
1.3 Purchase/Take-in of Financial Securities
1.4 Customer Withdrawals/Current Deposits (net)
1.5 Customer Withdrawals/Term Deposits (net)
1.6 Issued Financial Securities
1.7 Customer Loans and Commitments Made
1.8 Financial Derivatives
1.9 Securitizations
1.10 Other Market Operations including Currency Operations (Currency Swaps)
1.11
2
2.1 Operations with the Central Bank (Eurosystem)
2.2 Interbank Loans/Borrowings (including Intragroup)
2.3 Sales/Out-repo of Financial Securities
2.4 Issued Financial Securities
2.5 Customer Repayments
2.6 Financial Derivatives
2.7 Securitizations
2.8 Financing Commitments Received
2.9 Currency Operations (Currency Swaps)
2.10
3
4 Details on Potential Sources of Financing Not Taken into Account in One-Week Forecasts* Euros Currency 1 Currency n 4.1 4.2
4.3 Refinancing Agreements
4.4 Marketable Assets Other Than Those Mentioned Above
4.5
ISO 4217 Currency Code
Other Assets That Can Be Pledged to Other Counterparties Other

• additional one-week financing sources, in the case where one-week disbursements were to exceed the forecasts indicated in the "gross projected cash flows at one week" table
  Eligible Eurosystem Assets Not Yet Pledged as Collateral INFO - LIQU – CASH FLOW FORECASTS Other Receipts (to be specified) PROJECTED RECEIPTS (E) NET PROJECTED BALANCE (S = E - D) Other Disbursements (to be specified) PROJECTED DISBURSEMENTS (D) ISO 4217 Currency Code Social Scope Activity All Zones All Currencies Currency OFFICIAL TEXTS OF THE BANKING COMMISSION Instruction No. 2009-05 of June 29, 2009 Annex 2 to Instruction No. 2009-05 Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 154

1 Overnight
Financings
Financings with a duration greater than one day and less than or equal to 3 months Financings with a duration greater than 3 months and less than or equal to one year Financings with a duration greater than one year 1.1 1.2 1.3 1.4 INFO - LIQU – REFINANCING COSTS Number of Financings Information on the costs of financings obtained during the past quarter Average Spread with the Reference Index (EONIA for overnight, Euribor of the financing duration up to one year, and Euribor 3 months for duration greater than one year) Total Amount of Financings Weighted Average Duration Social Scope Activity All Zones Currency EUR OFFICIAL TEXTS OF THE BANKING COMMISSION Instruction No. 2009-05 of June 29, 2009 Annex 2 to Instruction No. 2009-05 Bulletin Officiel of the CECEI and the Banking Commission • No. 16 • June 2009 155