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43
Contingent liquidity risk is the risk associated with
the need to provide additional funds to clients. We
include estimates of contingent liquidity cash outflows
within all stressed cash flow scenarios.
The stressed coverage ratios tabulated below express
stressed cash inflows as a percentage of stressed cash
outflows over one-month and three-month time
horizons. Inflows included in the numerator of the
stressed coverage ratio are those that are assumed to
be generated from monetization of liquid assets net of
assumed haircuts, and cash inflows related to assets
contractually maturing within the stressed cash flow
horizon and not already reflected as a monetization of
a liquid asset.
Stressed one-month coverage ratios (Unaudited)
2013
%
2012
%
Year-end ......................................................................................................................... 137 136
Maximum ....................................................................................................................... 137 142
Minimum........................................................................................................................ 120 125
Average .......................................................................................................................... 130 136
Stressed three-month coverage ratios (Unaudited)
2013
%
2012
%
Year-end ......................................................................................................................... 118 116
Maximum ....................................................................................................................... 118 122
Minimum........................................................................................................................ 110 106
Average .......................................................................................................................... 113 114
Liquid Assets
The table below shows the estimated liquidity value
(before assumed haircuts) of assets categorized as liquid
used for the purpose of calculating one and three month
stressed coverage ratio.
Any unencumbered asset held as a consequence of
a reverse repo transaction with a residual contractual
maturity within the stressed coverage ratio time period
and unsecured interbank loans maturing within three
months are not included in liquid assets, as these assets
are reflected as contractual cash inflows. All assets held
within the liquid asset portfolio are unencumbered.
Estimated liquidity value (Unaudited)
2013
$m
2012
$m
Level 11 ........................................................................................................................... 17,955 15,955
Level 22 .......................................................................................................................... 3,960 3,280
21,915 19,235
1 Includes debt securities of central governments, central banks, supranationals and multilateral development banks.
2 Includes debt securities of local and regional governments, public sector entities and secured covered bonds.
Net contractual cash flows
The following table quantifies the contractual cash flows
from interbank and intra-Group loans and deposits, and
reverse repo, repo (including intergroup transactions)
and short positions. These contractual cash inflows
and outflows are reflected gross in the numerator and
denominator, respectively, of the one and three-month
stressed coverage ratios and should be considered
alongside the level of liquid assets.
43