LIQUIDITY COVERAGE RATIO (LCR) DATA SERVICE A DTCC DATA SERVICES OFFERING

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1 LIQUIDITY COVERAGE RATIO (LCR) DATA SERVICE A DTCC DATA SERVICES OFFERING USER'S GUIDE MAY 02, 2018

2 Copyright 2018 DTCC. All rights reserved. This work (including, without limitation, all text, images, logos, compilation and design) is proprietary and protected by copyright, and is for the exclusive use of users authorized by DTCC. If this work is received from DTCC in any electronic medium, authorized users of this work are granted a limited, non-exclusive, nontransferable, non-sublicensable and freely revocable license to make reproductions and transmissions necessary for downloading and storage of this work on the users' computers and to print one or more paper copies from the electronic version for their own use. Other than to this limited extent, no part of this work (including any paper copies thereof or print versions thereof) may be printed, copied, altered, modified, posted, reproduced, displayed, published, sold, licensed, used or distributed (including by transmission) in any form or by any means, or stored in any information storage and retrieval system, without DTCC's prior written permission. All product or service names are the property of their respective owners. Disclaimer: The services described herein are provided under the DTCC brand name by certain affiliates of The Depository Trust & Clearing Corporation ( DTCC ). DTCC itself does not provide such services. Each of these affiliates is a separate legal entity, subject to the laws and regulations of the particular country or countries in which such entity operates. Please see for more information on DTCC, its affiliates and the services they offer. Publication Code: DS168 Service: Liquidity Coverage Ratio (LCR) Data Service Title: User's Guide Page 2

3 TABLE OF CONTENTS Introduction 4 Product Files 4 1. Input Template & Validation Rules (Bank File) 5 Sample Bank Input Record 7 Sample Acceptance File 7 Sample Rejection File 8 2. LCR Active CP Programs File Specification 9 3. LCR Active CP Programs File Sample 10 Example of Active CP Programs File Name LCR Report Layout LCR Exception Report Layout LCR Exception Report Reasons LCR Output File LCR Methodology Calculation Methodology Example 18

4 INTRODUCTION This document provides definition of the field names, formats, and descriptions in the LCR Input File, Acceptance/Rejection File (Input), Active CP Program File, Output File, and Exception Report. A flow diagram is included to show how DTCC processes the incoming data from the bank to arrive at the output file. In addition, a sample calculation is provided for one base5-cusip to reflect the methodology of the code in generating outstanding maturity buckets and additional capacity. Product Files The LCR product consists of four files that the client receives. This section lists these four files, along with their autoroute numbers. 1. LCR Client File Acceptance (based on Client Input File) Prod: ; PSE: a. This file lets client know whether their input file was accepted in its entirety or if records were rejected. If the input file has rejected records, the rejection reasons are listed. b. This file is client-specific. 2. LCR Active CP Program Prod: ; PSE: a. This file lists all of the active CP Programs. b. This file is general; all clients receive the same file. 3. Liquidity Coverage Ratio Prod: ; PSE: a. This file is the main report, showing additional capacity and maturity buckets. b. This file is client-specific. 4. File Exceptions (based on Liquidity Coverage Ratio) Prod: ; PSE: a. This file is sent if the client has exceptions noted during the creation of the Liquidity Coverage Ratio report. This document will NOT be sent if there are no exceptions to report. b. This file is client-specific. Introduction 4

5 1. INPUT TEMPLATE & VALIDATION RULES (BANK FILE) This file is a fixed-length, so remaining spaces will be padded with a space. Each field is left-justified and padded with spaces. Notes Your input date must follow the conventions documented in this file specification and look like the attached input file. Rule: Only 1 base CUSIP allowed per row. Table 1.1 Input Template & Validation Rules (Bank File) Field Name Length Start Position Format Description Validation Rules (Allowed Values) Action Facility ID 10 1 Alphanumeric A facility identifier for the bank's use. Clearing ID 4 11 Numeric A unique identifier used by DTCC No validation (bank use) Must match the Client ID number at DTCC. Nothing Any value not equal to the client number at DTCC, strip and report Reject. Input as of YYYYMMDD, Client supplied date The last two are If these two conditions are date representing an internal padded spaces. not met, then stop audit date For example: processing. " " Syndicate (13).99 Total amount of the Number If the whole number of the Facility Size syndicate facility. syndicate facility size and the bank share are equal, we will strip the decimal portion of both numbers and pass the whole number. Report a warning with decimal stripped from each amount. Input Template & Validation Rules (Bank File) 5

6 Table 1.1 Input Template & Validation Rules (Bank File) (continued) Field Name Length Start Position Format Description Validation Rules (Allowed Values) Action Bank Share (13).99 Bank's share of the syndicate facility. Number. Must be less than or equal to the syndicate facility size. If the whole number of the syndicate facility size and the bank share are equal, we will strip the decimal portion of both numbers and pass the whole number. Report a warning with decimal stripped from each amount. If bank share is > syndicate facility size, strip the record and report reject. CUSIP (Base 6 57 Alphanumeric The Base CUSIP of the Alphanumeric If spaces, strip the record 5) CP Program. and report Reject. Note: Only the first 5 digits will be utilized. Utilized (13).99 Drawn amount of the facility. Number of spaces If not a number or spaces, report Reject. If utilized > bank share, strip the record and reject (utilized must be less than bank share). Borrower Type Alphanumeric Type of borrower. This is a free-text field that does not accept spaces. Any value provided If spaces, strip record and report Reject. Valid Values: Client-specific category for the facility type. Below are some examples and this list can be adjusted per client. Credit Institution Other Financial Regulated Financial Non- Regulated Non-Financial SPV Input Template & Validation Rules (Bank File) 6

7 Sample Bank Input Record Figure 1.1 illustrates a sample bank input record. Click here to open a sample bank input record. Figure 1.1 Sample Bank Input Record As a result of the input file checks, DTCC will send either an acceptance file or a reject file. An acceptance file indicates that all records were accepted and submitted for processing. A reject file indicates that something was removed and not submitted for processing. The reject file will contain the details of the rejected records. If the input validation produces only warnings (and no rejected records), as defined below, DTCC will send an acceptance file and will provide details of any warning records. However, if there is a reject (or more than one reject), DTCC will create a reject file which will include the details of the rejected records as well as any warning records that may have been identified. Sample Acceptance File Figure 1.2 shows a sample acceptance file. Figure 1.2 Sample Acceptance File Input Template & Validation Rules (Bank File) 7

8 Sample Rejection File Figure 1.3 shows a sample rejection file. Figure 1.3 Sample Rejection File Input Template & Validation Rules (Bank File) 8

9 2. LCR ACTIVE CP PROGRAMS FILE SPECIFICATION Table 2.1 LCR Active CP Programs File Specification Field Name Format Description Issuer Name Type: Char Width: 15 CUSIP Type: Char Width: 15 Commercial Paper issuer name 9-digit security identifier LCR Active CP Programs File Specification 9

10 3. LCR ACTIVE CP PROGRAMS FILE SAMPLE Issuer Name Company ABC CUSIP ABC Example of Active CP Programs File Name /dataprod/ndm/22/dtcc/receive/lcr.dtcc _b&byymmdd.csv Explanation of file name: The first B is part of the file name. It indicates to the recipient that the business is being used. The second B (&B) indicates to DTCC Data Services to use the business date in the file name. If the first B is removed, the recipient will only know the date, but will not know if the data if the delivery date or the business date. LCR Active CP Programs File Sample 10

11 4. LCR REPORT LAYOUT Table 4.1 LCR Report Layout Field Format Description Report Date Length: 8 Dec: 0 Type: Integer Submission Date Length: 8 Dec: 0 Type: Integer Clearing Id Length: 4 Dec: 0 Type: Char Borrower Type Length: 15 Type: Char 1. Total Additional Capacity Dec: 2 1a. Additional Capacity in Excess Dec: 2 1b. Additional Capacity Inactive Program Dec: 2 2. Adjusted CP <=30 days Dec: 2 3. Total Adjusted CP >30 Days Dec: 2 3a. Adjusted CP days Dec: 2 3b. Adjusted CP days Dec: 2 3c. Adjusted CP days Dec: 2 The most recent business date, based on the U.S. financial market, in which to compute the output. Format: YYYYMMDD This date will typically be the previous business date. The date of the client file (in YYYYMMDD format) used for this output file. A unique identifier submitted in the bank file. Client-defined borrower type for the CP program. Represents the amount of the facility that is in excess of the CP outstanding OR utilized plus all facility amounts for inactive programs. The portion of additional capacity attributable to the amount of the facility that is in excess of the CP outstanding OR utilized. Additional Capacity generated on active programs. The portion of additional capacity attributable to inactive programs where there is no outstanding obligation. CP currently outstanding with a maturity date <30 days out. CP currently outstanding with a maturity date >30 days out. CP currently outstanding with a maturity date days out. CP currently outstanding with a maturity date days out. CP currently outstanding with a maturity date days out. LCR Report Layout 11

12 Table 4.1 LCR Report Layout (continued) Field Format Description 3d. Adjusted CP days Dec: 2 3e. Adjusted CP > 365 days Dec: 2 4. Grand Total (1+2+3) Dec: 2 1. Total Additional Capacity % Dec: 2 1a. Additional Capacity in Excess % Dec: 2 1b. Additional Capacity Inactive Programs % Dec: 2 2. Adjusted CP <=30 days % Dec: 2 3. Total Adjusted CP >30 Days % Dec: 2 3a. Adjusted CP days % Dec: 2 3b. Adjusted CP days % Dec: 2 3c. Adjusted CP days % Dec: 2 3d. Adjusted CP days % Dec: 2 3e. Adjusted CP > 365 days % Dec: 2 4. Grand Total (1+2+3) (%) Dec: 2 5. Client Input Dec: 2 CP currently outstanding with a maturity date days out. CP currently outstanding with a maturity date >365 days out. Aggregated amount of Additional Capacity and CP Outstanding across all borrower types. The portion of additional capacity attributable to the amount of the facility that is in excess of the CP outstanding OR utilized divided by Grand Total. The portion of additional capacity attributable to the amount of the facility that is in excess of the CP outstanding OR utilized divided by Grand Total. The portion of additional capacity attributable to inactive programs divided by Grand Total. The total CP outstanding that is due in < 30 days divided by Grand Total. The total CP outstanding that is due in > 30 days divided by Grand Total. The total CP outstanding that is due in days divided by Grand Total. The total CP outstanding that is due in days divided by Grand Total. The total CP outstanding that is due in divided by Grand Total. The total CP outstanding that is due in divided by Grand Total. The total CP outstanding that is due >365 days divided by Grand Total. Total amount of Additional Capacity % and CP Outstanding %. Total amount of bank s share minus utilized from client input file. LCR Report Layout 12

13 Table 4.1 LCR Report Layout (continued) Field Format Description 6. Client Excluded Amount Dec: 2 7. Check Figure (4+6)-5 Dec: 2 Represents any client input amount excluded from the output file due to severe errors. (Grand Total + Client Excluded) Client Input; Value: 0 x.99 LCR Report Layout 13

14 5. LCR EXCEPTION REPORT LAYOUT Table 5.1 LCR Exception Report Layout Field Name Format Description Submission Date Length: 8 Type: Integer See LCR Report Layout.on page 11. dec: 0 Date: YYYYMMDD.Clearing Id Length: 4 Type: Integer Dec: 0 Report Date Length: 8 Type: Integer See Input Template & Validation Rules (Bank File) on page 5. See LCR Report Layout on page 11. Dec: 0 Date: YYYMMDD Facility ID Length: 15 Type: Char Base CUSIP 5 Length: 5 Type: Char Borrower Type Length: 15 Type: Char First Issuer Name Length: 30 Type: Char Reason Length: 255 Type: Char AmountExcluded Length: 2 Type: Integer See Input Template & Validation Rules (Bank File) on page 5. See Input Template & Validation Rules (Bank File) on page 5. See Input Template & Validation Rules (Bank File) on page 5. Issuer name on DTCC Master File (where available). Error Reason. See LCR Exception Report Reasons on page 15. Dollar amount excluded from LCR calculation. If exception type is advisory, the value will be 0. If exception type is severe, the amount excluded will show. LCR Exception Report Layout 14

15 6. LCR EXCEPTION REPORT REASONS Table 6.1 LCR Exception Report Reasons Exception Description Exception Type Borrower Type Mismatch A condition where two or more CUSIPs belong to Not Enough Criteria for Borrower Type Invalid CUSIP Contra-CUSIP Invalid sub issue type the same borrower, however, have been submitted with two or more different borrower types. To ensure anonymity of data, at least 5 borrowers must have outstanding obligations for a given borrower type. Any CUSIP not found on DTCC s Security Master File. A CUSIP that is not valid for CP programs, but that is an internal CUSIP used at DTCC for processing A CUSIP that is found on DTCC s Security Master File, but is not a valid CP sub issue type. Severe* Severe* Advisory** Advisory** Advisory** * Severe: The input record will be recorded in the exception report and removed from any processing related to obligations, but for reconciliation purposes, will be added to the client-excluded column on the output report. ** Advisory: The input record will be recorded on the exception report and added to additional capacity on the output report. If DTCC is out of balance by >.99 and DTCC cannot resolve the condition on the current day, the previous day's successful file will be resent with a new file name as an indicator: Sample file name for resending the output file with delivery date (D) and business date (B) and time (T): LCR.DTCC.P D B T CSV (This is an example of a file that balanced) Format of dates is YYYYMMDD will be replaced by the 8-digit product autoroute. Explanation of file name: Example: D , B Date of Data: 3/21/2017 Business Date: 3/22/2017 Delivery Date: 3/23/2017 (this is an example of a file that was out of balance the day before.) Note If delivery date equals business date, then the file is a good file. If the file had to be resent, then the delivery date will be the current date and the business date will be a prior date. LCR Exception Report Reasons 15

16 7. LCR OUTPUT FILE Click here to download a zip file that contains two samples files, both in.csv format: A sample LCR Output file A sample Exceptions report After downloading the.zip file, unzip it to open the file of interest. Note Severe exceptions will have a $(dollar) amount in the Amount Excluded column in the Exceptions report, and will be reported as a $(dollar) amount in the Client Excluded column in the Output report; however, for the advisory exceptions they will have a $0 amount in the Amount Excluded column in the Exceptions report and will not be reported in the Client Excluded column in the Output report. LCR Output File 16

17 8. LCR METHODOLOGY Figure 8.1 LCR Methodology LCR Methodology 17

18 9. CALCULATION METHODOLOGY EXAMPLE Table 9.1 Calculation Example for One Issuer Calculating Total Market Obligations Outstanding Syndicate facility size 240,000,000 Total Credit Line of Issuer* Bank share % 10% Bank's credit line % = Bank's share $ /Syndicate facility size) Bank's share $ 24,000,000 Credit line available from bank * CP outstanding amount 168,000,000 CP Issued by Borrower Total CP Market outstanding by maturity days (All CP outstanding amounts are received from DTCC's outstanding obligation data.) Bank's unadjusted share % of total market outstanding CP<=30 days 48,000,000 4,800,000 CP days 32,000,000 3,200,000 CP days 28,000,000 2,800,000 CP days 60,000,000 6,000,000 CP days 0 CP > 365 days 0 Totals 168,000,000 16,800,000 Additional Capacity Calculation Bank Utilized 1,200,000 Already drawn credit line* Bank Unutilized 22,800,000 Available credit line (Bank's share % - Bank utilized) Syndicate Unutilized 228,000,000 Bank's unutilized/bank's share % Additional capacity (over and above CP issuance) 60,000,00 Syndicate unutilized minus CP outstanding Amount 2 Bank's Report Amounts for Borrower Type (Items 1-7 Below are Shown on the Aggregated Report) Additional Capacity 6,000,000 1 Bank's share of additional capacity CP<=30 days 4,800,000 2 CP>30 days 1,200,000 Total ,00 1 Total not to exceed Bank's available Credit Line (Bank Utilized) 2 If calculation is less then 0, then -0 Adjusted CP Outstanding (Ensures Reported Aggregates do not Exceed Bank's Unutilized) Calculation Methodology Example 18

19 Table 9.1 Calculation Example for One Issuer (continued) Calculating Total Market Obligations Outstanding CP days 3,200,000 3 CP days 2,800,000 4 CP days 6,000,000 5 CP days - 6 CP > 365 days - 7 Sum 12,000,000 * Bank Provided Value Calculation Methodology Example 19

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