LIQUIDITY RISK
Liquidity Stress Test
Basel III LCR · NSFR · ILAAP — 4 stress scenarios across 30-day horizon with HQLA composition and regulatory breach escalation
STRESS SCENARIOS
LCR — BASE CASE
175%
Regulatory minimum: 100%
0%Min 100%200%
HQLA COMPOSITION — ELIGIBLE BUFFER $2.7B
Level 1
Central bank reserves · Sovereign debt 0% RW
0% haircut
$1,850M
$1,850M
Level 2A
Sovereign debt 20% RW · GSE securities
15% haircut
$620M
$527M
Level 2B
RMBS AA+ · Corporate bonds A+
25% haircut
$480M
$360M
AVAILABLE STABLE FUNDING
$8.4B
ASF
REQUIRED STABLE FUNDING
$7.2B
RSF
NET STABLE FUNDING RATIO
117%
NSFR — min 100%
STRESS ASSUMPTIONS — COMBINED SCENARIO
Retail deposit runoff
Base: 3%
Stressed: 10%
−$280M
Wholesale funding cliff
Base: 25%
Stressed: 75%
−$640M
Committed credit line drawdown
Base: 5%
Stressed: 100%
−$180M
Derivative margin calls
Base: —
Stressed: 3σ move
−$220M
Asset encumbrance
Base: 12%
Stressed: 18%
−$60M
Intragroup liquidity support
Base: 100%
Stressed: 50%
−$90M
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