Market Liquidity and Funding Liquidity - Excel by bqs10067

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									   b3632fe6-1298-427c-a5a7-592b94e0b92e.xls                                                                       Data item data definition                                                                                             Printed on 4/12/2011

Version:     1
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 "unconsolidated"
                                                                                                                                                                                                     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
                                                                           GroupInfo
                                                                                                                                                                                                     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 "unconsolidated"                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
             framework in place?
                                                                                                                                                                                                     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 = 'yes',
    2A                                                                           ProcessesStrategiesSystems         YesNo                                                               ERR0050
             assessment incorporated into the framework?                                                                      otherwise must not be completed
                                                                                                                              Conditional: mandatory if 1A = 'yes',
    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 = 'yes',
    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 = 'yes',
    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 = 'yes',
    6A                                                                           UndertakeStressTesting             YesNo                                                               ERR0050
             risk model?                                                                                                      otherwise must not be completed
                                                                                                                              Conditional: mandatory if 6A = 'yes',
    7A       Is your approach to stress testing documented?                      ApproachDocumented                 YesNo                                                               ERR0050
                                                                                                                              otherwise must not be completed
                                                                                                                              Conditional: mandatory if 6A = 'yes',                     ERR0050
             How many times throughout the year do you conduct
    8A                                                                           TestFrequency                      IntPos    otherwise must not be completed.
             stress tests?
                                                                                                                              8A <= 52                                                  ERR0040
  9 to 11    Part 4 - Contingency funding plans                               ContingencyFunding
             Do you have an appropriate contingency funding plan                                                              Conditional: mandatory if 1A = 'yes',
    9A                                                                           PlanInPlace                        YesNo                                                               ERR0050
             in place?                                                                                                        otherwise must not be completed
                                                                                                                              Conditional: mandatory if 9A = 'yes',                     ERR0050
                                                                                                                              otherwise must not be completed.
                                                                                                                              If completed, must be one of:                             ERR0047
                                                                                                                              'less than once a year'
   10A       How frequently is this plan updated?                                PlanUpdateFrequency                 List
                                                                                                                              'annually';
                                                                                                                              'semi-annually';
                                                                                                                              'quarterly'; or
                                                                                                                              'monthly'.
                                                                                                                              Conditional: mandatory if 9A = 'yes',                     ERR0050
             How many times has this plan been updated in the past
   11A                                                                           UpdatesOver12Months                IntPos    otherwise must not be completed
             12 months?
                                                                                                                              11A <= 52                                                 ERR0040
 12 to 15    Part 5 - Senior management oversight                             SeniorManagementOversight
             Is the governing body / senior management actively
                                                                                                                              Conditional: mandatory if 1A = 'yes',
   12A       involved in reviewing and updating the liquidity risk               ReviewAndUpdateApproach            YesNo                                                               ERR0050
                                                                                                                              otherwise must not be completed
             management approach?
                                                                                                                              Conditional: mandatory if 12A = 'yes',                    ERR0050
                                                                                                                              otherwise must not be completed.
                                                                                                                              If completed, must be one of:                             ERR0047
             How frequently does the governing body / senior
                                                                                                                              'less than once a year'
   13A       management formally review the liquidity risk                       ApproachReviewFrequency             List
                                                                                                                              'annually';
             management approach?
                                                                                                                              'semi-annually';
                                                                                                                              'quarterly'; or
                                                                                                                              'monthly'.


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  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 = 'yes',
   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 = 'yes',
   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:
                                                                                                                       Conditional: mandatory if 1A = 'yes',
   16A      Pricing liquidity risk?                                      PricingLiquidityRisk                YesNo                                              ERR0050
                                                                                                                       otherwise must not be completed.
                                                                                                                       Conditional: mandatory if 1A = 'yes',
   17A      Intra-day liquidity risk management?                         IntradayLiquidityRisk               YesNo                                              ERR0050
                                                                                                                       otherwise must not be completed.
                                                                                                                       Conditional: mandatory if 1A = 'yes',
   18A      Management of collateral positions?                          CollateralPositions                 YesNo                                              ERR0050
                                                                                                                       otherwise must not be completed.
            How liquidity is managed across legal entities, business                                                   Conditional: mandatory if 1A = 'yes',
   19A                                                                   EntitiesBusinessLinesCurrencies     YesNo                                              ERR0050
            lines and currencies?                                                                                      otherwise must not be completed.
                                                                                                                       Conditional: mandatory if 1A = 'yes',
   20A      Funding diversification and market access?                   DiversificationAndMarketAccess      YesNo                                              ERR0050
                                                                                                                       otherwise must not be completed.




                                                                                                                 Page 2 of 3
     b3632fe6-1298-427c-a5a7-592b94e0b92e.xls                          Handbook layout and sample data               Printed on 4/12/2011
FSA055
Systems and controls questionnaire

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
                                                                                                           yes
            into the framework?
     3      Is the framework documented?                                                                    no
     4      Do you consider institution specific and market wide stresses and their impact
                                                                                                           yes
            upon your assets?
     5      Do you consider your ability to raise funds under stressed market circumstances
                                                                                                           yes
            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 /
                                                                                                         monthly
            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
                                                                                                           yes
            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
                                                                                                           yes
            liquidity risk issues?
    15      Does the governing body approve stress tests and contingency funding plans?                    yes

Part 6 - Provisions on measurement and management
In your liquidity risk management do you consider:
     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


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