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!!20119 III1.2.2%5%4%6%8%(Conservationbuffer)2.5%3.“”1%!!!!!!!1.0%!!5.0%4.0%6.0%5.0%8.0%8.0%2.5%2.5% 11.50%10.50% III4.0-2.5%“”(Counter-cyclicalbuffer)()5.(/)4%2.5%150%100%66.20132016Ⅲ“”“”20091 200987!!!!•••确偿间预测对动标预标LCR动NSFR净稳资动贷动额••••••••••••••••!!!!!!购变现变现债现预测场证 资结构额设动–123100//12 3 –12310012 3 -302010 0123456BAU-1010 0123456-2025201510 5 0123456–BAU25201510 5 01234560-20123456-520 15 10 5 0123456-BAU25201510 5 0123456-100123456201510 5 0123456 30 3025201510 5 01d2d3d4d5d6d25201510503025201510501d2d3d4d5d6d2520151050301d2520151050301d2d3d4d5d6d2520151050301d2d3d4d5d6d现资产变现资2520151050301d2d3d4d5d6d1d2d3d4d5d6d152520151050301d2d3d4d5d6d2d3d4d5d6d30302520151050301d2d3d4d5d6d资产业务10 5 0-5-10-151d2d3d4d5d6d20 10 0-10-20301d2d3d4d5d6d3020100-10-201d2d3d4d5d6d2010 0-10-20-301d2d3d4d5d6d2010 0-10-201d2d3d4d5d6d2010 0-10-20301d2d3d4d5d6d负债20 10 0-10-20-30-40-50301d2d3d4d5d6d301d2d3d4d5d6d2010 0-10-20301d2d3d4d5d6d301d2d3d4d5d6d301d2d3d4d5d6d2010 0-10-20301d2d3d4d5d6d现偿还负债25201510 5 0-5-10301d2d3d4d5d6d20 10 0-10-202520151050-5301d2d3d4d5d6d2010 0-10-202520151050301d2d3d4d5d6d2010 0-10-20净动头10864201086420应计划 ! !!! !! !!-e!!-e.g.TimeDeposit-e.g.SavingAccount(Anticipated)-e.g.1month-e.g.3month e.g.6monthandbeyond!-Retaildeposit-Institutiondeposit-FIdeposit!-SpecificbehaviorA(e.g.FIwithprioracuterunofdeposit)…..(FTP)+10bp+0bp+5bp+8bp+10bp+3bp+3bp+0bp-10bp+/-XXbp!!-e.g.UnsecuredLoan-e.g.USTreasury(2year)(Anticipated)-e.g.Available-for-sale(AFS)-e.g.1year!-RetailUnsecuredLoan-InstitutionUnsecuredLoan-Repo!-SpecificbehaviorA(e.g.priorNon-performingRepaymentincidentofaCustomer,orCreditratingbelowBBB)…..(FTP)COF+12bpCOF-10bpCOF-5bpCOF+10bpCOF+3bpCOF+3bpCOF-7bppCOF+15bp+/-XXbp!!!SelectanAssumptionTypefromthedropdownlistSelectthedesiredbaselineRulefromtheRuleBrowser provided Selecttherequiredmembersfrom eachhierarchy.Thesemembers determinetheconditionalityofthe ruleTheselecteddimensionmembersaredisplayedintheformofatable. Specifytheassumptionvaluesagainsteach dimensionmembercombination.Assumptionvalues arespecifiedagainstabusinessprocessordefinition. Valuessetataparentlevelwillbeinheritedtochild members.Selectiveexclusionsupported.!!BAU!!!!!BAU!BAU!BAU!!SelectanAssumptionTypefromthedropdownlist! ExampleshowingmodificationofabaselineruleintoastressrulebychangingthePrepaymentpercentagesprovided SelectthedesiredstressRule fromtheRuleBrowserSelecttherequiredmembersfromeachhierarchytodeterminetheconditionalityoftheassumption.Theselecteddimensionmembersaredisplayedintheformofatable.Specifythevaluesunderstressconditionsagainsteachdimensionmembercombination.!BAU!!!BAU!!!!!:!!“X1!”!!!!!()Haircuts!!!!!!!DefinecounterbalancingforbaselineaswellasstressRunsandathelevelofeachindividuallegalentityViewtheliquiditygapcalculatedunderbaseline/stressconditionstoassesstheliquiditygappositionsDefinitionofCounterbalancingstrategiesagainstliquiditygapineachtimebucket(a)SaleofMarketableandFixedAssets,DiscountRatehandling(b)RepoofCollateral(Rolloverand New),CollateralHaircutsconsidered(c)NewFundingsourcesEffectofcounterbalancingvisibleagainstliquiditygapforeachscenario!!!!!!!BAU!!!!!–!!! •Viewthecumulativeliquiditygapspostcounterbalancingforeach•counterbalancingstrategyappliedtotheRun.CumulativeGapscanbeviewedacrossreporting.Localandnaturalcurrencies!LCR:!NSFR:!!:……ThankYou!()!