English - Banco de Chile

BANCO DE CHILE
Quarterly Liquidity Report
As of March 31st 2016
Liquidity Status Control and Report
According to Title V of Chapter 12-20 of the Superintendence of Banks and Financial
Institutions (from this point forward, “SBIF”) Updated Reviewed Norms and in compliance with
number 14 of the Chapter III.B.2.1 of the Financial Norms Compendium of the Central Bank of
st
Chile, we publish the quarterly liquidity report as of March 31 2016.
Liquidity Position measurement
The liquidity position is measured following the standards of the SBIF (Report C46, Contractual
Basis and Behavioural Basis), as the difference between the expected outflows due to liabilities
payments and the expected inflows as a result of either collecting asset items at maturity or
liquidating financial instruments held for investments, on a cumulative basis over various time
horizons. These standards allow and/or enforce banks to model the behaviour of some assets
or liabilities payments in a different way from the contractual approach in order to reflect the
behaviour of the bank’s expected net cash flows in a more realistic environment.
The resulting difference is referred as to the cumulative liquidity gap and is subject to various
measurements and controls.
Time horizons to be considered for reporting the liquidity gap to the public
The following time horizons must be considered, as a minimum, for reporting the liquidity gap to
the public:

One week

Fifteen days

Thirty days
In addition, the bank opted for reporting to the public the cumulative liquidity gap for the next
ninety days.
The following tables illustrate the liquidity position (Report C46) as of end-of-year, including all
currencies and foreign currency separately, on a contractual and behavioural basis, and also
the information is provided considering Banco de Chile on an isolated basis (i.e. without
including affiliates’ balance sheet items), which is referred as to Individual Report, and also
consolidating affiliates’ data, which is referred as to Consolidated Report. Additionally, the
actual cumulative liquidity gap for the next thirty and ninety days are compared with the
corresponding regulatory limits established only for these two time horizons.
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INDIVIDUAL QUARTERLY LIQUIDITY REPORT (C46)
CONTRACTUAL MATURITY CASHFLOWS BASIS
ST
AS OF MARCH 31 , 2016
(Amounts in $ MM)
ALL CURRENCIES
Up to 7 days
Up to 15 days
Up to 30 days
Inflows
4.838.259
5.522.459
6.159.907
Up to 90 days
8.996.223
Outflows
10.083.933
11.365.762
13.684.631
16.790.818
Liquidity Gap
5.245.674
5.843.303
7.524.724
7.794.595
Regulatory limits:
2.760.994
1 x Tier 1 Capital
2 x Tier 1 Capital
5.521.988
LIQUIDITY SURPLUS/(DEFICIT)
FOREIGN CURRENCY
(4.763.730)
(2.272.607)
Up to 7 days
Up to 15 days
Up to 30 days
Up to 90 days
630.603
841.978
930.827
1.837.042
Outflows
1.729.052
1.883.394
2.166.151
2.978.216
Liquidity Gap
1.098.449
1.041.416
1.235.324
1.141.174
Inflows
Regulatory limits:
1 x Tier 1 Capital
2.760.994
LIQUIDITY SURPLUS/(DEFICIT)
1.525.670
N/A
INDIVIDUAL QUARTERLY LIQUIDITY REPORT (C46)
BEHAVIOURAL MATURITY CASHFLOWS BASIS
AS OF MARCH 31ST, 2016
(Amounts in $ MM)
ALL CURRENCIES
Up to 7 days
Up to 15 days
Up to 30 days
Up to 90 days
Inflows
4.672.846
5.130.827
5.471.336
7.203.595
Outflows
5.213.635
5.883.432
7.108.359
9.522.001
540.789
752.605
1.637.023
2.318.406
Liquidity Gap
Regulatory limits:
2.760.994
1 x Tier 1 Capital
2 x Tier 1 Capital
5.521.988
LIQUIDITY SURPLUS/(DEFICIT)
FOREIGN CURRENCY
Inflows
Outflows
Liquidity Gap
1.123.971
3.203.582
Up to 7 days
Up to 15 days
Up to 30 days
Up to 90 days
595.534
761.357
769.377
1.214.885
1.143.179
1.254.368
1.471.974
2.230.441
547.645
493.011
702.597
1.015.556
Regulatory limits:
1 x Tier 1 Capital
2.760.994
LIQUIDITY SURPLUS/(DEFICIT)
2.058.397
N/A
2
CONSOLIDATED QUARTERLY LIQUIDITY REPORT (C46)
CONTRACTUAL MATURITY CASHFLOWS BASIS
ST
AS OF MARCH 31 , 2016
(Amounts in $ MM)
ALL CURRENCIES
Up to 7 days
Up to 15 days
Up to 30 days
Up to 90 days
Inflows
5.231.426
5.951.552
6.620.360
9.475.104
Outflows
10.400.901
11.717.101
14.088.162
17.201.469
Liquidity Gap
5.169.475
5.765.549
7.467.802
7.726.365
Regulatory limits:
2.760.994
1 x Tier 1 Capital
2 x Tier 1 Capital
5.521.988
LIQUIDITY SURPLUS/(DEFICIT)
FOREIGN CURRENCY
Up to 7 days
Inflows
Up to 15 days
(4.706.808)
(2.204.377)
Up to 30 days
Up to 90 days
652.817
863.525
952.374
1.857.254
Outflows
1.750.610
1.904.952
2.187.849
2.999.915
Liquidity Gap
1.097.793
1.041.427
1.235.475
1.142.661
Regulatory limits:
1 x Tier 1 Capital
2.760.994
LIQUIDITY SURPLUS/(DEFICIT)
1.525.519
N/A
CONSOLIDATED QUARTERLY LIQUIDITY REPORT (C46)
BEHAVOURIAL MATURITY CASHFLOWS BASIS
ST
AS OF MARCH 31 , 2016
(Amounts in $ MM)
ALL CURRENCIES
Up to 7 days
Up to 15 days
Up to 30 days
Up to 90 days
Inflows
5.066.013
5.559.921
5.931.789
7.682.476
Outflows
5.530.602
6.234.771
7.511.891
9.932.652
464.589
674.850
1.580.102
2.250.176
Liquidity Gap
Regulatory limits:
2.760.994
1 x Tier 1 Capital
2 x Tier 1 Capital
5.521.988
LIQUIDITY SURPLUS/(DEFICIT)
FOREIGN CURRENCY
Inflows
Outflows
Liquidity Gap
1.180.892
3.271.812
Up to 7 days
Up to 15 days
Up to 30 days
Up to 90 days
617.749
782.904
790.924
1.235.098
1.164.738
1.275.927
1.493.673
2.252.139
546.989
493.023
702.749
1.017.041
Regulatory limits:
1 x Tier 1 Capital
2.760.994
LIQUIDITY SURPLUS/(DEFICIT)
2.058.245
N/A
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LIQUID ASSETS
CONSOLIDATED BALANCE SHEET
ST
AS OF MARCH 31 , 2016
Amounts in $ MMM
Cash and Due
2.008
Investments marked at
market prices
2.186
MAIN FUNDING SOURCES
CONSOLIDATED BALANCE SHEET
ST
AS OF MARCH 31 , 2016
Amounts in $ MMM
Demand deposits accounts
2.593
Savings accounts and time
deposits
5.958
7.857
1.207
Borrowings from financial
institutions
Debt issued
10.731
Others
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Main aspects of the Liquidity Management Process
In accordance with the Title V of the Chapter 12-20 of the SBIF Updated Reviewed Norms,
“Information to the Public”, following are summarized the main aspects of Banco de Chile’s
liquidity management process.
Liquidity Risk definition
Liquidity risk is the risk that the firm will not be able to obtain the funds when they are required
to efficiently meet its payments obligations without adversely impacting the financial condition of
the firm.
Liquidity Risk Management main targets
a. To ensure that funds are always available to meet both expected and unexpected
current and future cash flow needs, being also in compliance with all regulatory liquidity
requirements.
b. To ensure that funding capacity may be always available to take advantage of business
opportunities.
c.
To ensure that the firm is able to liquidate price risk positions without materially altering
market prices, attracting the attention of other market participants or compromising on
counterparty quality.
Organization structure: roles and responsibilities
The Treasury/Sales & Trading unit is responsible of the liquidity management of the bank, with
the support and oversight of the Risk Management unit through the Market Risk Management
area. Independent areas of the Financial Control unit are in charge of measuring and reporting
market risks metrics. The ALCO (Assets & Liabilities Committee) on a monthly basis is
thoroughly informed about the evolution of different metrics related with price and liquidity risks;
the board is informed on a quarterly basis about market risks, including stress tests and
derivatives credit risk exposures.
Liquidity Risk Management Governance
The liquidity management process is governed by the guidelines stated in the Liquidity Risk
Management Policy, which is approved by the board and reviewed at least annually.
The board, according to the Liquidity Risk Management Policy, defines the liquidity risk appetite
by establishing internal limits in addition to those established by the regulators. Additionally,
internal triggers are defined to control various financial ratios; payment dates concentrations,
payments concentration by counterparts, products, etc. are also under oversight through
triggers. Finally, market triggers are also established in order to early detect changes on the
liquidity market conditions.
The reporting and limits/triggers controlling processes are daily executed by independent areas.
Additionally, the Liquidity Risk Management Policy establish the escalation process when limits
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breach or triggers activation occur; limit exceptions or permanent limits/triggers changes,
previous to the regular annual review, are also duly addressed in the policy.
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