## ONLINE ANNEX 1.2. BANK INTERNATIONAL DOLLAR FUNDING METHODOLOGY

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**Canonical URL:** [ONLINE ANNEX 1.2. BANK INTERNATIONAL DOLLAR FUNDING METHODOLOGY](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/annex1-2.pdf)

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### Overview
- Purpose: Measure liquidity and funding conditions of non-US banks’ international US dollar balance sheets (dollar positions outside the United States plus those in US branches; excluding US subsidiaries).
- Exclusions: US banks excluded because they only play a small part in the provision of US dollar credit internationally; US subsidiaries excluded because they play little role in international intermediation and funds are not easily transferred intragroup across national boundaries or jurisdictions.
- Two primary indicators:
  - Liquidity ratio (broadly mimics Basel LCR).
  - Stable funding ratio (broadly mimics Basel NSFR).

### Balance sheet structure and data sources
- Aggregate presentation: Country-level aggregates based on estimated international dollar balance sheets of banks headquartered in each country.
- Three operational elements:
  - Module 1: Operations located outside the United States (captured via BIS locational banking statistics by nationality, Table A7; uses unpublished BIS data with currency split by counterparty sector).
  - Module 2: Branch operations in the United States (captured via FFIEC 002 regulatory filings, aggregated by nationality).
  - Module 3: US subsidiaries — excluded.
- Potential double counting: Possible minor double counting (e.g., US branch lending directly to a borrower in another country) but judged probably minor.
- BIS and FFIEC data complementarities and gaps:
  - BIS locational and consolidated statistics used for cross-border and local positions, claims and liabilities.
  - FFIEC 002 provides full balance sheet detail for US branch operations.
  - For HQLA, use BIS consolidated banking statistics Table B4 for claims on the US official sector minus HQLA holdings from US subsidiaries and US branches (call reports of 28 non–US banks’ US subsidiaries used for subtraction).
  - Bonds and other short-term liabilities sourced from BIS debt securities statistics, Table C3 (US dollar denominated).

### Balance sheet taxonomy (as used in the framework)
- Assets: A1. High-quality liquid assets (HQLA); A2. Interbank assets; A3. Intragroup assets; A4. Loans; A5. Other claims.
- Liabilities: L1. Interbank liabilities; L2. Intragroup liabilities; L3. Bonds; L4. Other short-term liabilities; L5. Deposits.
- Foreign exchange swaps (L6): If A > L, foreign exchange mismatch assumed funded by foreign exchange swaps equal to A minus L.

### Liquidity ratio methodology
- Definition: Estimated HQLA divided by estimated funding outflows over a relatively short (generally one-month) stress period.
- Deviations from Basel LCR:
  - Numerator: Excludes Level 2 assets and holdings of foreign government securities; includes encumbered HQLA such as those funded by repos.
  - Denominator: Uses simplified maturity profile assumptions for interbank positions and deposits; applies more conservative outflow assumptions than Basel in key areas.
  - Off-balance-sheet activities (committed credit and other contractual obligations) are not considered; approach likely underestimates potential cash outflows.
- Net impact: Offset effects in numerator and more conservative denominator assumptions — overall effect varies; sensitivity analysis shows liquidity ratio generally stable for most banking systems and especially for those with weaker liquidity profiles (see Online Annex Figure 1.2.1).

### Short-term outflow assumptions (Online Annex Table 1.2.2)
- Interbank assets: 80 (percent). Note: "In line with Basel: We assume 80 percent of interbank assets and liabilities mature within 30 days. In line with Basel LCR, the outflow assumption is 100 percent."
- Interbank liabilities: −80 (percent).
- Other short-term liabilities: −100 (percent). Note: "More conservative than Basel: ... We assume 100 percent of these positions mature within 30 days and apply 100 percent outflow assumptions."
- Deposits: −40 (percent). Note: "More conservative than Basel: We assume 40 percent cash outflows for all US dollar deposits. This is more conservative than Basel LCR ... because foreign currency funding is probably inherently more flighty than local currency funding of domestic banks."

### Liquidity sensitivity scenarios (referenced)
- Scenarios illustrated in Online Annex Figure 1.2.1:
  - Current scenario (baseline).
  - Scenario 1: deposit outflow at 30%.
  - Scenario 2: deposit outflow at 30%; remove repo-financed HQLA.
- Figure note: Uses ISO country codes; HQLA = high-quality liquid assets.

### Stable funding ratio methodology
- Definition: Stable funding divided by loans, where stable funding = total deposits + long-term securities + long-term swaps.
- Swap maturity assumptions:
  - Japan: 70 percent of swap funding is greater than one year and included in stable funding (Bank of Japan data).
  - Other countries: 50 percent of swap funding assumed long term where country-specific information not available.
- Differences from Basel NSFR:
  - All deposits are included as stable funding; no ASF haircut applied to wholesale deposits due to limited deposit maturity-profile information.
  - Tends to generate higher estimates on more favorable funding assumptions.

### Constructing Modules — key mapping details (Online Annex Table 1.2.3 highlights)
- Module 1 (Operations outside United States):
  - A1. HQLA = Claims on ultimate risk basis, official sector minus HQLA positions from US subsidiaries minus HQLA positions from US branches (BIS consolidated banking statistics, Table B4 for United States).
  - A2. Interbank assets = Claims on banks minus Intragroup claims (BIS locational banking statistics).
  - A4. Loans = Claims on nonbanks minus Holdings of government securities; HQLA minus claims on central banks minus Reserves at US branches.
  - L3. Bonds = International debt securities, issued by banks, long term (BIS debt securities statistics, Table C3, denominated in US dollars).
  - L4. Other short-term liabilities = International debt securities, issued by banks, short term.
  - L6. FX swaps = Total claims minus (Claims on banks + Claims on nonbanks) minus (Total liabilities minus Liabilities to banks minus Liabilities to nonbanks).
- Module 2 (Branch operations within United States) — data source: FFIEC 002:
  - A1. HQLA = Balance due from Federal Reserve Banks [RCFD0090] + US government securities [RCFD0260] + US government agency obligations [RCFD0371] + MBS issued or guaranteed by US government agencies [RCFDC416] + Securities of foreign governments and official institutions [RCFDA003] + Trading assets (US Treasury and agency securities [RCFDK479] + MBS issued or guaranteed by US government agencies [RCFDK298]).
  - A2. Interbank assets = Balance due from depository institutions in the United States and specified foreign bank balances and federal funds sold and securities purchased under agreements to resell (detailed FFIEC fields listed).
  - A3. Intragroup = Net due from related depository institutions [RCFD2154].
  - A4. Loans = Total loans and leases, net of unearned income [RCFD2122].
  - A5. Other claims = Other bonds, notes, debentures, and corporate stock; trading assets; other securities (detailed FFIEC fields listed).
  - L1. Interbank liabilities = Transaction and nontransaction deposits from commercial banks in the United States and foreign countries; money market unsecured funding; secured funding (detailed FFIEC fields listed).
  - L2. Intragroup = Net due to related depository institutions [RCFD2944].
  - L3. Bonds = Assume branches do not issue bonds, therefore 0 for all.
  - L4. Other short-term liabilities = Trading liabilities [RCFD3548] + Other liabilities to nonrelated parties [RCFD2916].
  - L5. Deposits = Transaction and nontransaction deposits from nonfinancial depositors (US and non-US addresses), deposits from foreign governments and official institutions, and all other nontransaction deposits (detailed FFIEC fields listed).

### HQLA holdings of non–US banks’ US subsidiaries (Online Annex Table 1.2.4)
- Data source: Call Reports.
- A1. HQLA components for US subsidiaries:
  - Reserves with the Federal Reserve.
  - US Treasuries held.
  - Other US official sector and agency securities.
  - Foreign government securities.

*Source: This is an annex to Chapter 1 of the April 2018 Global Financial Stability Report.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/annex1-2.pdf_