Source: http://www.docstoc.com/docs/76251966/Market-Liquidity-and-Funding-Liquidity---Excel
Timestamp: 2015-07-29 10:06:34
Document Index: 567408927

Matched Legal Cases: ['art 1', 'art 2', 'art 3', 'art 4', 'art 5', 'art 6', 'art 1', 'art 2', 'art 3', 'art 4', 'art 5']

Market Liquidity and Funding Liquidity - Excel by bqs10067
76251966
bqs10067
Market Liquidity and Funding Liquidity document sample
b3632fe6-1298-427c-a5a7-592b94e0b92e.xls                                                                       Data item data definition                                                                                             Printed on 4/12/2011
Date:        07 October 2009
Based on:    Handbook Legal Instrument 2009/56 (October 2009)
Reference                             Label                                         XML Name                      Data Type                          Validation                         Error code                    Additional Information
FSA055       Systems and controls questionnaire                          FSA055-SystemsControlsQuestionnaire
An attribute of the data item element, indicating the
@reportingBasis                         RepBas
reporting basis, eg &quot;unconsolidated&quot;
This element does not appear on the handbook layout,
but has been added to the XML of this and other data
items to capture information when the data item is being
submitted for a defined liquidity group. If the data item is
not being completed on such a group basis, then this
element should be omitted.
OtherGroupFirms
Conditional: If the reporting basis is &quot;unconsolidated&quot;                This element is repeated as many times as there are
FirmReferenceNumber                 FRN                                                                ERR0050
then this element must not be completed.                               other firms in the group.
1        Part 1 - Overall framework                                    LiquidityRiskManagementFramework
Does your firm have a liquidity risk management
1A                                                                        FrameworkInPlace                      YesNo     Mandatory                                                 ERR0080
This element does not appear on the handbook form
2A to 20A                                                                 FrameworkDetail
but has been added to aid understanding of the XML
2 to 5     Part 2 - Systems and controls                                    SystemsControls
Are processes, strategies and systems for liquidity risk                                                         Conditional: mandatory if 1A = &#39;yes&#39;,
2A                                                                           ProcessesStrategiesSystems         YesNo                                                               ERR0050
assessment incorporated into the framework?                                                                      otherwise must not be completed
Conditional: mandatory if 1A = &#39;yes&#39;,
3A       Is the framework documented?                                        FrameworkDocumented                YesNo                                                               ERR0050
otherwise must not be completed
Do you consider institution specific and market wide                                                             Conditional: mandatory if 1A = &#39;yes&#39;,
4A                                                                           InstitutionalAndMarketStresses     YesNo                                                               ERR0050
stresses and their impact upon your assets?                                                                      otherwise must not be completed
Do you consider your ability to raise funds under                                                                Conditional: mandatory if 1A = &#39;yes&#39;,
5A                                                                           AbilityToRaiseFunds                YesNo                                                               ERR0050
stressed market circumstances as adequate?                                                                       otherwise must not be completed
6 to 8     Part 3 - Stress testing                                          StressTesting
Does your firm undertake stress testing on your liquidity                                                        Conditional: mandatory if 1A = &#39;yes&#39;,
6A                                                                           UndertakeStressTesting             YesNo                                                               ERR0050
risk model?                                                                                                      otherwise must not be completed
Conditional: mandatory if 6A = &#39;yes&#39;,
7A       Is your approach to stress testing documented?                      ApproachDocumented                 YesNo                                                               ERR0050
Conditional: mandatory if 6A = &#39;yes&#39;,                     ERR0050
How many times throughout the year do you conduct
8A                                                                           TestFrequency                      IntPos    otherwise must not be completed.
8A &lt;= 52                                                  ERR0040
9 to 11    Part 4 - Contingency funding plans                               ContingencyFunding
Do you have an appropriate contingency funding plan                                                              Conditional: mandatory if 1A = &#39;yes&#39;,
9A                                                                           PlanInPlace                        YesNo                                                               ERR0050
in place?                                                                                                        otherwise must not be completed
Conditional: mandatory if 9A = &#39;yes&#39;,                     ERR0050
otherwise must not be completed.
If completed, must be one of:                             ERR0047
&#39;less than once a year&#39;
10A       How frequently is this plan updated?                                PlanUpdateFrequency                 List
&#39;annually&#39;;
&#39;semi-annually&#39;;
&#39;quarterly&#39;; or
&#39;monthly&#39;.
How many times has this plan been updated in the past
11A                                                                           UpdatesOver12Months                IntPos    otherwise must not be completed
11A &lt;= 52                                                 ERR0040
12 to 15    Part 5 - Senior management oversight                             SeniorManagementOversight
Is the governing body / senior management actively
12A       involved in reviewing and updating the liquidity risk               ReviewAndUpdateApproach            YesNo                                                               ERR0050
Conditional: mandatory if 12A = &#39;yes&#39;,                    ERR0050
How frequently does the governing body / senior
13A       management formally review the liquidity risk                       ApproachReviewFrequency             List
b3632fe6-1298-427c-a5a7-592b94e0b92e.xls                                                                 Data item data definition                                                        Printed on 4/12/2011
Reference                             Label                                 XML Name                       Data Type                          Validation        Error code   Additional Information
Is an appropriate process in place for capturing,                                                          Conditional: mandatory if 12A = &#39;yes&#39;,
14A                                                                   IssueManagementProcess              YesNo                                              ERR0050
managing and escalating liquidity risk issues?                                                             otherwise must not be completed
Does the governing body approve stress tests and                                                           Conditional: mandatory if 12A = &#39;yes&#39;,
15A                                                                   StressTestAndContingency            YesNo                                              ERR0050
contingency funding plans?                                                                                 otherwise must not be completed
Part 6 - Provisions on measurement and management
16 to 20                                                              RiskManagementConsiderations
In your Liquidity Risk management do you consider:
16A      Pricing liquidity risk?                                      PricingLiquidityRisk                YesNo                                              ERR0050
17A      Intra-day liquidity risk management?                         IntradayLiquidityRisk               YesNo                                              ERR0050
18A      Management of collateral positions?                          CollateralPositions                 YesNo                                              ERR0050
How liquidity is managed across legal entities, business                                                   Conditional: mandatory if 1A = &#39;yes&#39;,
19A                                                                   EntitiesBusinessLinesCurrencies     YesNo                                              ERR0050
lines and currencies?                                                                                      otherwise must not be completed.
20A      Funding diversification and market access?                   DiversificationAndMarketAccess      YesNo                                              ERR0050
b3632fe6-1298-427c-a5a7-592b94e0b92e.xls                          Handbook layout and sample data               Printed on 4/12/2011
Part 1 - Overall framework                                                                                  A
1      Does your firm have a liquidity risk management framework in place?                            yes
(If you answer no above, leave the remaining data elements blank)
Part 2 - Systems and controls
2      Are processes, strategies and systems for liquidity risk assessment incorporated
into the framework?
3      Is the framework documented?                                                                    no
4      Do you consider institution specific and market wide stresses and their impact
upon your assets?
5      Do you consider your ability to raise funds under stressed market circumstances
as adequate?
Part 3 - Stress testing
6       Does your firm undertake stress testing on your liquidity risk model?                         yes
7       Is your approach to stress testing documented?                                                no
8       How many times throughout the year do you conduct stress tests?                                2
Part 4 - Contingency funding plans
9      Do you have an appropriate contingency funding plan in place?                                  yes
10      How frequently is this plan updated? (Monthly / Quarterly / Semi-annually /
Annually / less than once a year)
11      How many times has this plan been updated in the past 12 months?                                10
Part 5 - Senior management oversight
12      Is the governing body / senior management actively involved in reviewing and
updating the liquidity risk management approach?
13      How frequently does the governing body / senior management formally review
the liquidity risk management approach? (Monthly/ Quarterly/ Semi-                           quarterly
annually/ Annually/ less than once a year)
14      Is an appropriate process in place for capturing, managing and escalating
liquidity risk issues?
15      Does the governing body approve stress tests and contingency funding plans?                    yes
16       Pricing liquidity risk?                                                                      yes
17       Intra-day liquidity risk management?                                                         yes
18       Management of collateral positions?                                                          no
19       How liquidity is managed across legal entities, business lines and currencies?               yes
20       Funding diversification and market access?                                                   yes
"Market Liquidity and Funding Liquidity - Excel"
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Funding the Bank and Managing Liquidity