Financial and capital market Commission, the provisions of regulations No 195 in Riga 2009. on 28 December (pr. No 50 3. p.)
Liquidity requirements, their execution and liquidity risk management regulations Issued in accordance with the provisions of the credit institutions act, article 6, first and third subparagraphs, and article 37, second subparagraph 1. General questions 1. "liquidity requirements, their execution and liquidity risk management regulations" (hereinafter-the rules) determines the liquidity requirements and their enforcement procedures and are binding on the Republic of Latvia registered banks and other national and foreign bank branches (hereinafter – the bank).
2. the Member States and the Other foreign bank branches are not binding rules 3.3, 40.2, 48-50 and 59 of the requirements.
3. in order to ensure liquidity, the bank: 3.1 develop liquidity management strategies, policies and procedures;
3.2. regularly assess and plan the maturity composition of assets and liabilities; 3.3. maintain liquid assets commitments sufficient in amount, but not less than 30 percent of the bank's current commitment totals (liquidity). Current liabilities are related to the request, and liabilities whose residual maturity not exceeding 30 days;
3.4. provide effective funding source and the diversification of the period;
3.5. establish a set of indicators of liquidity risk to regular analysis and control.
4. explanation of terms used in the rules: 4.1. funding liquidity risk (funding liquidity risk) is the risk that the bank will not be able to provide its current and future cash flow and collateral means borrowing needs so as not to jeopardise the bank's day-to-day operations, or the total of the bank financial situation;
4.2. market liquidity risk (market liquidity risk) is the risk that the bank will not be able to sell its financial assets in the desired time limit without significant loss of market collapse or insufficient market depth (market depth);
4.3. residual maturity – time of the last day of the reference month up to the end of the contract or the date on which in accordance with the terms of the contract payments are due;
4.4. liquidity (liquidity buffer)-available liquid assets that banks can provide within a short period to cover any possible gaps in cash flow that may arise to the bank crisis;
4.5. liquid assets – unencumbered funds and investments in financial instruments, if they have a permanent, unrestricted market (you can sell in a short time without significant loss or use as collateral to receive credit);
4.6. money – cash and short-term requirements (on request t.sk.) against the central banks and credit institutions solvent;
4.7. General use of the term corresponds to the law of credit institutions and financial instruments market law term usage.
2. Liquidity risk management policy and procedures 5. liquidity risk management, effective strategies, policies and procedures are developed and complied with the bank's response, the Council and the Board.
6. the Bank shall draw up a prudent liquidity risk management strategies, policies and procedures that allow timely identify, evaluate, analyze and manage the liquidity risk of the corresponding periods, t.sk. during the day (intra-day), so as to ensure a sufficient level of liquidity reserves, taking into account both the funding liquidity risk and market liquidity risk.
7. the management of the liquidity of the Bank's strategies, policies and procedures to comply with the bank's size, liquidity risk profile, the diversity of operations, complexity, and volume, as well as the permissible bank liquidity level of risk (the risk tolerance), and take into account the bank's systemic importance in each Member State in which it operates. The Bank shall ensure that every important Department is aware of the acceptable level of risk.
8. Liquidity Management liquidity management strategy includes qualitative and/or quantitative targets. Liquidity management strategies, taking into account the different risks (credit, market, operational and reputation risk) the impact on the bank's liquidity (liquidity risk).
9. the total of the Bank (General) liquidity management strategies, policies and procedures to adapt the bank activities, currencies, and group companies. The Bank calculates the liquidity risks associated with the costs and benefits of each key activity or service.
10. The Bank's liquidity risk management policies and procedures States: 10.1. liquidity risk assessment methods in accordance with the provisions of paragraphs 18-23;
10.2. funding structure (line) management, t.sk. detection, measurement and control procedures in accordance with the provisions of paragraph 24;
10.3. the assets, which can be used as loan collateral, the management procedure in accordance with rules 25 and 26;
10.4. the critical situation analysis (stress testing) in accordance with rule 27-36;
10.5. liquidity risk mitigation tools, t.sk. liquidity reserve to provide the opportunity to overcome the different stress situations;
10.6. the action plan possible liquidity crisis in accordance with rules 37 to 39.
11. The Bank shall periodically, but not less frequently than once each year, review and, if necessary, improve liquidity management policies and procedures according to the change in the operation of the bank and bank transaction in affecting external circumstances.
12. the Bank, which is subject to consolidated supervision, ensure effective liquidity risk management group consolidation in General.
13. the Bank shall develop and document management information procedures, determining the bank's internal review of the liquidity risk of the detailed structures, reporting procedures and frequencies.
14. Bank information system enables a specific date to evaluate the bank's incoming and outgoing cash flows, liquidity reserves and estimated the bank's incoming and outgoing cash flows together and in each currency in which the bank carries out a significant amount of transactions (t.sk. currency where it is exposed to the risk of indirectly) or for which there is a liquid market.
15. the Council approves the Bank's liquidity risk management strategy and policy, controls how the bank's Management Board manages the liquidity risk and if this action is in accordance with the bank's Council approved a liquidity risk management strategies and policies.
16. in the implementation of the Council's strategy and policy, the Management Board of the bank provides liquidity risk management, and approve appropriate procedures, URt.sk.: 16.1. Approves internal liquidity indicators limits and funding source concentration limits, controls and determine the action of the internal limit in the event of failure;
16.2. Approves the stress testing stress testing of assumptions and periodicity;
16.3. on a regular basis, but not less frequently than once each year, review and, if necessary, develop internal limits, the source of funding limits of concentration and stress test assumptions according to changes in the operation of banks and bank activity in affecting external circumstances;
16.4. to regularly receive information about the possible liquidity crisis efficiency testing to confirm the results and decide on the need to amend the action plan possible liquidity crisis, taking into account the stress test results, as well as timely reflect the external or internal changes (such as changes in the organisational structure of the bank, the opening of branches, new partners, etc.).
17. the Bank shall ensure that its liquidity risk management process is fully documented, t.sk. are documented and approved at the appropriate level of management of bank liquidity management process internal regulatory documents (strategy (t.sk. bank's allowable level of liquidity risks), policies, procedures, regulations, etc.), which was used to assess liquidity risks and to limit measurement methodology, funding concentration limit detection methodology, with liquidity risk-related expenditure measurement methodology, stress test (t.sk. stress scenario description), specific internal limits, liquidity indicators included in the calculation of the liquidity of the financial instrument (sales or mortgage options) the evaluation procedure all the assumptions made and the grounds, as well as other organizational and methodological aspects.
2.1. Liquidity risk assessment methods 18. Liquidity risk in banking: 18.1. evaluate existing and planned assets, liabilities and off-balance-sheet positions of the maturity composition by financial instruments, a variety of bank liquidity risk profile corresponding maturity band together and in each currency in which the bank carries out a significant amount of transactions (t.sk. currency where it is exposed to the risk of indirectly) or for which there is a liquid market;
18.2. determines liquidity horizons, used for liquidity risk analysis and control, for example: 18.2.1.  the proportion of liquid assets to total assets, the banks not 18.2.2. the proportion of loans total assets

18.2.3. core funding (may include, for example, capital and reserves, private customer deposits and long-term professional (wholesale) customer deposits) to illiquid assets, the banks not 18.2.4. credits provided in relation to deposits, the professional customer obligations. 18.2.5 the proportion of total liabilities.
19. the Bank shall determine the internal limits: 19.1. the maturity composition of assets and liabilities net liquidity positions in dollars and in any foreign currency, in which the bank carries out a significant amount of transactions (t.sk. currency where it is exposed to the risk of indirectly) or for which there is a liquid market;
19.2. other indicators of liquidity, the bank established the liquidity risk control.
20. developing a calculation of liquidity arrangements and setting the limits, the bank takes into account the operational objectives and the acceptable level of risk.
21. the Bank identifies and regularly analysed early warning indicators that can help identify vulnerabilities of the liquidity position of the bank (vulnerabilities) and additional finance.
22. on the basis of early warning indicators data, the bank identifies negative trends affecting liquidity, analyze them and assess the need for liquidity risk mitigation measures.
23. Early warning indicators can be both quantitative and qualitative, and may include the following: 23.1. rapid asset growth (for example, greater than the sector average), especially if the bank has a large fluctuating concentration of funding sources;
23.2. the individual assets (assets) or relationship (relation group) increase in concentration (changes in the assets and/or liabilities of concentration);
23.3. the maturity composition of assets and liabilities increase in imbalances, t.sk. separate currencies;
23.4. the weighted average duration;
14.6. the internal limit repeated failure cases (often limit changes);
14.7. significant bank profitability, asset quality and the overall deterioration of the financial situation;
23.7. the negative trends in economic sectors where companies issued credit significantly;
14.8. negative information to the public media on the bank or its related persons that impair the reputation of the bank;
14.9. the reduction of the bank's credit rating;
23.10. the funds raised prices significantly increased;
23.11. the counterparty (correspondent banking) transactions with the bank, limit the reduction of growth;
23.12. additional collateral request, or a new business growth in the event of refusal;
23.13. difficulties in refinancing possibilities interbank markets;
23.14. deposit outflows, t.sk. early deposit withdrawal cases.
2.2. the financing structure 24. to manage funding liquidity risk and control of the funding structure (lines), bank: 24.1. regularly assess its funding structure, i.e. the bank's dependence on certain types of linked resources, especially from the inter-bank borrowing, money and capital market;
24.2. evaluate funding sources, and your ability to quickly raise funds from funding sources;
24.3. ensure effective source of funding and the diversification of their duration, t.sk. then, when it's appropriate, determine the limits of concentration, for example, limits the maximum amount that is allowed to raise one client (a group of related clients) limits under the bank group and other companies, resources can be linked to the financial market with or without security (secured vs unsecured market funding), certain types of financial instruments, the repayment terms (in accordance with contract or prospective), currencies, geographic regions, residents and non-residents.
2.3. asset, which can be used as loan collateral, manage 25. the Bank shall assess and monitor its security position (assets that banks can use as collateral for loans (resource attraction)) in any currency and in the country in which the bank carries out significant activities, URt.sk.: 25.1. the bank shall always have accurate information about all unencumbered assets and assets used as collateral for loans (resource attraction), especially for those who will be available in emergency situations;
25.2. the bank shall regularly evaluate each asset (assets), which you can use as collateral for borrowing, pledging options (or asset is acceptable as collateral at the central bank or other potential business partners (interbank market), what is the minimum time needed to complete the transaction and receive funds, what is the difference between the means and the receivable the fair value of collateral) and identify any legal, regulatory requirements (regulatory) and operational limitations encumber assets and liquid funds pledging to transfer between banks (Group companies) and the European economic area and beyond;
25.3. the bank managed assets, which can be used as collateral, the location (physical location) (such as a bank, which is the financial instrument of the account holder or the securities settlement system) and transfer options.
26. the Bank diversified assets that can be used as collateral, taking into account the receipt of the funds (deals) possible limitations (legal, regulatory, operational URu.tml.), price fluctuations, the discount (possible price reduction, the difference between the received funds and the fair value of collateral), the additional requirements for security in crisis situations, etc. 2.4. Stress testing to identify 27 potential liquidity problem sources and determine the required liquidity reserves, the bank shall periodically, but not less frequently than every six months take the stress test (i.e., analyse and assess the possible development scenarios for different time periods and different stress levels), which includes the following scenarios: 27.1. bank crisis (institution-specific) – internal, bank-specific adverse events, such as: 27.1.1. bank liquidity problems of reputation risk events, bank credit reduction 27.1.2., the bank allocated significant 27.1.3. the use of the credit line before the expected period, historically 27.1.4. individuals deposit outflow, term deposits, 27.1.5. legal persons (key account) non-residents, in particular, a rapid outflow of rigorously 27.1.6. assets, pledging additional security restrictions, request;
27.2. General market crisis (market-wide) changes in general market conditions, such as: 27.2.1. simultaneous availability of resources previously highly liquid markets and the bank's liquid assets, an impairment loss of liquidity 27.2.2. securities markets, the most significant systemic 27.2.3. operators in the withdrawal from the market, certain difficulties 27.2.4. interbank market, 27.2.5. currency conversion restrictions, 27.2.6. disorders of the payment and settlement systems, especially if its activities, the bank relies on the bank group's funding;
27.3. the combined scenario (a bank crisis and general market crisis at the same time).
28. Stress testing used in the scenarios should be exceptional, with significant influence, but not impossible. The stress scenario the quantity and level of detail (granularity) is dependent on the bank's operations diversity and complexity, type of activity (business model) and the size of the bank.
29. developing the assumptions for the scenario "crisis of the Bank", the bank assesses the impact of the scenario the bank funding sources, in view of the different customer behaviour. For example, the bank predicted that stress can exacerbate a phase of unsecured bank loans (unsecured wholesale funding) will not be extended, but ensure that loans will not be affected, that deposit, which is completely covered with a guaranteed remuneration in accordance with the law on deposit guarantees (or equivalent requirements in other countries), the outflow will be smaller than the deposit above the guaranteed amount outflow associated with the bank that the customer deposit outflow will be less than with a bank deposit of unrelated customer outflow that reduction in the rating results of the syndicated loan repayments will be required before the deadline, the counterparty will request additional collateral from the bank or a bank line of credit granted will be used before the expected period URu.tml. The Bank shall also assess the possible relationship of other possible changes. The Bank, which acts as a sponsor for a specific purpose, which made society on vērtspapirizēšan, or gives it a significant liquidity support, evaluate the impact of the activities of the bank.
30. developing the assumptions for the scenario "General market crisis", the bank assesses the impact of the scenario the bank liquidity of assets and make assumptions about a separate financial instrument sales and mortgage options. For example, a bank may predict that sales or mortgage discount (haircut, i.e. the possible losses in the assets or quickly the difference between products and their collateral received fair value) will increase.

31. Stress testing the bank's analysis of at least two phases of stress, i.e. short term exacerbation phase (such as one to two weeks) and a longer but less problematical phase (such as one to two months).
32. the Bank shall develop and apply a stress scenario assumptions the bank scheduled for outgoing and incoming cash and liquid assets and evaluate the required liquidity reserves for a specific period of time.
33. Liquidity reserves must be sufficiently diversified, taking into account currency, the remainder of the term, and business partners to ensure that the bank does not rely solely on a specific type of liquidity (such as only on loans from the Bank of Latvia).
34. the Bank provides the assumptions is conservative and is statistically and economically justified.
35. in the light of the stress test results, the bank is developing an effective plan of action possible liquidity crisis, as well as the need to improve liquidity risk management strategies, policies and procedures, t.sk. limits.
36. the Bank provides stress testing in accordance with the financial and capital market Commission (hereinafter the Commission) a specific scenario and assumptions, if requested.
2.5. the action plan for the liquidity crisis-37.  The action plan may include liquidity crisis procedures and the coordination of measures taken by the bank management adverse scenario in the case of accession envisages to tap into and with reasonable costs, mitigate the negative impact of the events to the bank.
38. The action plan possible liquidity crisis by: 38.1. responsible persons (as well as their substitutes and all the parties involved), their duties (functions), powers, t.sk. the right to take appropriate action during the crisis, the Division of responsibilities, the procedure for the exchange of information and management of information;
38.2. the event, which is to begin to act, description (trigger events);
38.3. the detailed action plan, that is, the steps and the time they need (for example, to attract funds);
23.9. potentially available funding sources and amounts, which will likely attract adverse scenario in the case of accession;
38.5. communication activities (when and how these activities are carried out) with employees, customers, savers, borrowers, shareholders, the Bank of Latvia, the Commission and the foreign supervisory authorities when it's appropriate, and media representatives.
39. The Bank shall periodically, but not less frequently than once a year, check the developed action plan possible liquidity crisis of effectiveness (tested internal procedures and the reliability of current assumptions (for example, assess ongoing security products and their fair value difference)).
3. the reporting needs of supervision 40. Bank supervisory needs, prepare the following reports: 24.9. "the maturity composition of assets and liabilities report";
40.2. "liquidity indicators calculation";
40.3. "report on the projected cash flows;
40.4. "report on the concentration of funding".
3.1. the maturity composition of assets and liabilities report 41. Bank "assets and liabilities of reporting maturity composition" dealt with in accordance with the rules laid down in annex 1 to the form.
42. "the maturity composition of assets and liabilities statements of assets the group according to the remaining term for repayment or sales, liabilities and off-balance-sheet commitments, according to the remaining period of performance.
43. Off-balance-sheet commitments included in the report, if there is reason to believe that the counterparty demands it. Off-balance-sheet obligations secured by a bank deposit in, the report does not include.
44. As off-balance-sheet requirements may be presented with the mātesbank contracts for the loan.
45. Assets, which created special savings, presented according to the residual value.
46. In preparing "the maturity composition of assets and liabilities report", comply with the following conditions: 46.1. active the remaining repayment or sales period shall be determined in accordance with the refund laid down in a contract of sale or deadlines or accept notifications for early repayment;
46.2. the assets shall be invested with the right to receive, upon request, provides the term "on demand";
46.3. Notwithstanding rule 46.1. the requirements of point, held for trading and available for sale financial instruments that can be sold in a short time without significant loss, as well as financial tools that you can use as collateral to receive loans as assets "to the request", or the term of the group in accordance with the relevant financial instrument sales or loan receipt may deadline;
46.4. repayment of assets or sales period is fixed, be considered in support of investment and show a maturity band "From 361 days";
46.5. the assets that late payment is longer than 14 days, or part of it to be shown as overdue assets;
46.6. assets that late payment does not exceed 14 days, or part of the assets is presented as "on request";
29.0. assets which burdened the bank or bank branch liabilities, t.sk. involved in the repo transactions, or as part of the assets pledged assets. The performance of the obligations provided by this pledge of assets as loans against mortgage of assets;
29.1. the remainder of the term of the commitment shall be determined in accordance with the current contractual deadlines or accept applications for early;
46.9. commitments with a specific deadline, and the obligation to implement them shall, on request, be produced to the term "on demand";
46.10. customer deposits the mortgage bank or bank branch to receive the credit (guarantee, guarantee the security of the URu.tml.), displays the corresponding maturity band according to the remaining term of the mortgage;
46.11. liabilities on deposits falling due are timed, but the client has requested the presentation of deposit term "on demand".
47. the maturity composition of assets and liabilities is assessed by calculating the net liquidity position as the difference between assets and liabilities in each term of the Group and the common position of liquidity as the difference between assets and liabilities in ascending time order.
3.2. calculation of the 48 indicators of liquidity. Banks ' liquidity index calculation "dealt with in accordance with the rules laid down in annex 2 of the form.
49. "liquidity indicators calculation" on liquid assets are to be considered as such unencumbered assets: 30.5. cash in hand;
30.6. the requirements on the request to the Bank of Latvia and solvent credit institutions;
30.6. the claims against the Bank of Latvia and solvent credit institutions whose residual maturity not exceeding 30 days, and other deposits with the maturity, if the contract provides for the possibility to withdraw them before the deadline (except the fine amount for the pre-term fulfilment, if one is provided);
49. investments in financial instruments, if they have a permanent, unrestricted market, i.e. they can be sold in a short time without significant loss or use as collateral to receive loans.
50. In assessing the financial instrument concerned, sales opportunities, the bank takes into account the safety of the market in financial instruments, as well as the liquidity of the financial instrument raksturojošo factors, such as the daily number of transactions and the bank's financial instruments held by the ratio of the amount of the purchase and sale of the day.
3.3. review of projected cash flows 51. Bank "statement of projected cash flows" drawn up appropriate rules in the form laid down in annex 3.
52. "review of projected cash flows" bank presented the planned outgoing and incoming cash flows (outgoing and incoming payments), as well as the estimated liquid assets and potential funding sources for seven days, by currency, i.e. in dollars, euro, us dollars, and in General in all currencies.
53. "report on the estimated cash flows," the bank's outgoing and incoming cash flow plan carefully and ensure that developed the assumptions is conservative, based on the bank's experience and economically justified.
54. the Bank provides, at the request of the Commission, to prepare a "report on the estimated cash flows," the Commission on the status of the specified date.
3.4. the overview of the financing of Bank concentration 55. "report on the concentration of funding" prepares the corresponding provisions in the form defined in annex 4, which sets out the following information: 55.1 10 customers (customer related groups), which are the major deposits at the end of the reporting period;
55.2. all persons associated with the bank that are not credit institutions, the total amount of the deposit;
55.3. If the bank liabilities to credit institutions exceed 10 percent of the bank's total commitments (i.e. the "assets and liabilities maturity composition review 2000. the amounts shown in the line), the bank presented a five credit institutions to which the bank is greater commitments at the end of the reporting period.
56. In preparing the report about 10 customers with larger deposits, comply with the following conditions:

56.1. calculating the client's deposit account is taken of all customer accounts existing funds in any currency, which are recalculated in lats in accordance with the Bank of Latvia exchange rate fixed end date for the report period;
56.2. customer number as the sequence number (without a period) and for each group of related customer groups gives the customer the same number that corresponds to the number in the group in the report.
57. Greater obligations to the credit institution is calculated on the net value, i.e., from all liabilities arising from transactions to the credit institution, is deprived of the claims against the credit institution. Account is taken of all liabilities and claims of the bank against the credit institution in any currency, which translated into lats according to the Bank of Latvia exchange rate fixed end date for the report period.
4. Reporting procedures 58. "the maturity composition of assets and liabilities report" on the State report prepared last month and submitted to the Commission by the date of the accounting period following the 15th of the month.
59. "liquidity indicators calculation" on the State report prepared last month and submitted to the Commission by the date of the accounting period following the 15th of the month.
60. the "report on the projected cash flows" drawn up on the last working day of the month and submitted to the Commission during the next working day (for example, the bank shall prepare a report for the period from 1 January 2010 until 7 April (inclusive), reflecting estimated liquid assets and possible sources of funding for the start of the reference period the situation, and this report shall be submitted to the Commission on April 1). At the request of the banks "report on projected cash flows" on the State of the Commission shall submit to the Commission on the working day stipulated at the time of the next working day.
61. "report on the concentration of funding" prepare for State review on 31 March, 30 June, 30 September and 31 December and submitted to the Commission by reporting period following the 15th of the month.
62. the report shall be drawn up in accordance with the provisions of Commission regulations 14.10.2008 No 146 ' prepared statements electronically submit the legislative provisions ".
63. If the Commission finds that the report has been prepared in error, on the review of the contractor is notified. If the Commission has not indicated otherwise, corrected report must be submitted not later than on the working day following notification of the existence of the error from the Commission.
5. final question 64. provisions shall enter into force on April 01, 2010.65. This provision into force 23.12.2005 shall terminate the Commission. the legislative provisions no. 166 "liquidity requirements, rules".
Financial and capital market Commission of Krūman I.