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MD&A - Risk management and control - Liquidity and funding management
 12 Months Ended
Dec. 31, 2021
Entity [Table]  
Description Of Managing Liquidity Risk
Audited |
 
Our management of
 
balance sheet, liquidity
 
and funding
positions
 
has
 
the
 
overall
 
objective
 
of
 
optimizing
 
our
 
franchise’s
value across a
 
broad range of
 
market conditions while
 
considering
current and
 
future regulatory
 
constraints. We
 
employ a
 
number
of measures to
 
monitor these positions
 
under normal and
 
stressed
conditions.
 
In
 
particular,
 
we
 
use
 
stress
 
scenarios
 
to
 
apply
behavioral
 
adjustments
 
to
 
our
 
balance
 
sheet
 
and
 
calibrate
 
the
results
 
from
 
internal
 
stress
 
models
 
while
 
in
 
compliance
 
with
external measures, primarily the liquidity coverage ratio (the LCR)
and
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR).
 
Our
 
liquidity
 
and
funding strategy is proposed by Group Treasury
 
and approved by
the
 
Group
 
Asset
 
and
 
Liability
 
Committee
 
(the
 
Group
 
ALCO),
which is a
 
committee of the
 
Group Executive Board (the
 
GEB) that
is overseen by the
 
Risk Committee of the
 
Board of Directors
 
(the
BoD).
Audited
 
|
 
Liquidity
 
and funding
 
limits
 
,
 
triggers
 
and targets
 
are
set
 
at
 
Group
 
and,
 
where
 
appropriate,
 
at
 
legal
 
entity
 
and
business
 
division
 
levels,
 
and
 
are
 
reviewed
 
and
 
reconfirmed
 
at
least
 
once
 
a
 
year
 
by
 
the
 
BoD,
 
the
 
Group
 
ALCO,
 
the
 
Group
Chief Financial
 
Officer,
 
the Group
 
Chief Risk
 
Officer,
 
the Group
Treasurer
 
and the
 
business
 
divisions,
 
taking
 
into
 
consideration
current
 
and projected
 
business
 
strategy
 
and risk
 
tolerance.
 
The
principles
 
underlying
 
our
 
limit
 
,
 
trigger
 
and
 
target
 
framework
are designed
 
to maximize
 
and sustain
 
the value of
 
our business
franchise
 
and maintain
 
an appropriate
 
balance
 
in the asset
 
and
liability
 
structure.
 
Structural
 
limits
 
,
 
triggers
 
and
 
targets
 
focus
on
 
the
 
structure
 
and
 
composition
 
of
 
the
 
balance
 
sheet,
 
with
supplementary
 
limits
 
,
 
triggers
 
and
 
targets
 
designed
 
to
 
drive
the
 
utilization,
 
diversification
 
and
 
allocation
 
of
 
funding
resources.
 
To complement
 
and support
 
this framework,
 
Group
Treasury
 
monitors
 
the
 
markets
 
for
 
early
 
warning
 
indicators
regarding
 
the
 
current
 
liquidity
 
situation.
 
These
 
indicators
 
are
used
 
at
 
the
 
Group
 
level
 
to
 
assess
 
both
 
the
 
overall
 
global
 
and
regional
 
liquidity
 
status
 
for
 
potential
 
threats.
 
Treasury
 
Risk
Control
 
provides
 
independent
 
oversight
 
over
 
liquidity
 
and
funding
 
risks.
Audited |
 
Our liquidity risk
 
management aims to
 
ensure that the firm
has
 
sufficient
 
liquidity
 
or
 
access
 
to
 
funding
 
sources
 
to
 
meet
 
its
liabilities
 
when
 
due,
 
to
 
meet
 
prudential
 
requirements
 
and
 
to
survive
 
a
 
severe
 
three-month
 
idiosyncratic
 
and
 
market-wide
liquidity stress
 
event,
 
allowing for
 
discrete
 
management actions
instructed by
 
the Group
 
Treasurer
 
in addition
 
to monetizing
 
the
firm’s liquidity reserves.
 
Our liquid assets
 
are managed using limits,
 
triggers and targets
to
 
maintain
 
an
 
appropriate
 
level
 
of
 
diversification
 
(issuer,
 
tenor
and
 
other
 
risk
 
characteristics)
 
in
 
response
 
to
 
any
 
expected
 
or
un
expected
 
volatility
 
in
 
funding
 
availability
 
or
 
requirements
caused
 
by
 
adverse
 
market,
 
operational
 
or
 
other
 
firm-specific
events. The liquid asset
 
portfolio size is managed
 
dynamically,
 
so
as to operate at all
 
times within the risk appetite of
 
the BoD and
relevant Group and subsidiary liquidity requirements.
Audited |
 
We perform stress
 
testing to determine the
 
optimal asset
and liability structure that enables
 
us to maintain an
 
appropriately
balanced liquidity
 
and funding
 
position under
 
various scenarios.
Liquidity crisis scenario
 
analysis and contingency
 
funding planning
support the liquidity management process
 
and aim to ensure that
immediate
 
corrective
 
measures
 
to
 
absorb
 
potential
 
sudden
liquidity shortfalls can be put into effect.
Audited |
 
Our Group Contingency Funding
 
Plan is an integral
 
part of
our
 
global
 
crisis management
 
framework,
 
which
 
covers
 
various
types of crisis events. This
 
Contingency Funding Plan contains an
assessment of contingent
 
funding sources and
 
liquidity generative
actions
 
in
 
a
 
stressed
 
environment,
 
early
 
warning indicators
 
and
metrics, and contingency procedures.
 
Our funding diversification
and global scope
 
help to protect
 
our liquidity position
 
in the event
of
 
a
 
crisis.
 
We
 
regularly
 
assess and
 
test all
 
material
 
known and
expected cash flows,
 
as well as
 
the level and
 
availability of high-
quality collateral that could be used
 
to raise additional funding if
required. Our contingent funding
 
sources include our
 
high-quality
liquid
 
asset
 
(HQLA)
 
portfolios,
 
available
 
and
 
unutilized
 
liquidity
facilities at several
 
major central banks,
 
contingent reductions of
liquid
 
trading
 
portfolio
 
assets
,
 
and
 
other
 
available
business
management actions.
Audited
 
|
 
Group
 
Treasury
 
regularly
 
monitors
 
our
 
funding
 
status,
including concentration risks, aiming
 
to ensure that
 
we maintain
a
 
well-balanced
 
and
 
diversified
 
liability
 
structure.
 
Our
 
funding
management team looks
 
to create
 
the optimal asset
 
and liability
structure
 
to
 
finance
 
our
 
businesses
 
reliably
 
and
 
cost-efficiently.
Our
 
funding
 
activities
 
are
 
planned
 
by
 
analyzing
 
the
 
overall
liquidity
 
and
 
funding
 
profile
 
of
 
our
 
balance
 
sheet,
 
taking
 
into
account the
 
amount of
 
stable funding
 
that would
 
be needed
 
to
support
 
ongoing
 
business
 
activities
 
through
 
periods
 
of
 
difficult
market conditions.