# Contingency Funding Plan: [Bank name] [Plan year]

> Contingency funding plan (CFP) for a credit institution: the
> early-warning indicators that show liquidity stress building, the
> stress stages and who decides at each one, the stress scenarios and
> survival horizon, the counterbalancing capacity (funding sources and
> the cash each can raise, after haircuts, and how fast), central bank
> readiness, the action playbook, communication, intraday and intragroup
> liquidity, and the testing programme. It is the plan a regulated bank
> keeps under EU Directive 2013/36/EU (CRD) Article 86, the US
> Interagency Policy Statement on Funding and Liquidity Risk Management
> (2010, with the July 2023 addendum on contingency funding plans) and,
> for US bank holding companies and intermediate holding companies
> above the Regulation YY thresholds, 12 CFR 252.34(f). It is not a
> corporate treasury plan: non-financial groups use Liquidity and
> Funding Plan (`finance/liquidity-funding-plan`). Basel Committee and
> PRA material is cited by name and number only; obtain the standard or
> law for the normative text. Replace every `[bracketed]` value and
> every row marked *Example*. This is a document format, not financial,
> legal, regulatory or accounting advice.

<!--
Guidance: How to use this template
- A CFP answers four questions before a crisis, so that nobody has to
  invent the answers during one: How will we know stress is coming?
  Who decides what, and when? Where will the cash come from, how much,
  and how quickly? What do we tell depositors, markets and supervisors?
- Write it for the people who will use it on a bad Monday morning:
  the treasurer, the ALCO chair, the CRO, the CFO and the head of
  communications. Put decision tables and contact paths before prose.
- Keep the CFP consistent with the ILAAP Report (`finance/ilaap-report`)
  (the same stress scenarios, buffer and survival horizon), the Risk
  Appetite Statement (`finance/risk-appetite-statement`) (the same
  limits) and the Recovery Plan (`finance/recovery-plan`) (the CFP's
  most severe stage hands over to recovery indicators and options).
- The worked example uses "Fernhollow Bank", a fictional mid-sized EU
  credit institution (retail and SME lending, total assets EUR 47.4
  billion, CET1 ratio 15.0%, LCR 149.0%, NSFR 120.0%, survival horizon
  about 80 days against a 60-day appetite) with a US branch shown only
  where US rules are discussed. Figures match the ILAAP, ICAAP and
  recovery plan examples. All figures are fictional and in EUR million
  unless stated.
- Update the plan at least once a year, after every test, and when the
  balance sheet, the funding mix, the regulatory framework or the
  group structure changes materially.
-->

## Document control

<!-- Guidance: Record the balance-sheet date the figures start from and the body that approved the plan. Supervisors ask for the approved version and the date of the last test, so keep both visible. -->

| Field | Value |
|---|---|
| Document ID | [CFP-YYYY] *Example:* CFP-2027 |
| Institution and perimeter | [Legal entity / consolidated group] *Example:* Fernhollow Bank, consolidated, including the New York branch |
| Reference balance-sheet date | [YYYY-MM-DD] *Example:* 2026-12-31 |
| Currency and units | [EUR million] |
| Related ILAAP | [ILAAP ID and date] *Example:* ILAAP-2027 |
| Related recovery plan | [Recovery plan ID] *Example:* RP-2027 |
| Last test | [Date and type] *Example:* 2026-06-18, simulation exercise SIM-2026-01 |
| Version | [1.0] |
| Status | [Draft / In review / Approved] |
| Owner | [@group-treasurer] |
| Approvers/reviewers | [@alco-chair], [@cro], [management body or board risk committee] |
| Last updated | YYYY-MM-DD |
| Classification | [Confidential, restricted to CFP team and management body] |
| Next scheduled review | [YYYY-MM-DD] |

### Approvals

| Role | Name | Decision | Date |
|---|---|---|---|
| Group treasurer (plan owner) | [@name] | [Submitted] | YYYY-MM-DD |
| Chief risk officer (independent review) | [@name] | [Challenge completed] | YYYY-MM-DD |
| Asset and liability committee (ALCO) | [@chair] | [Recommend] | YYYY-MM-DD |
| Board risk committee | [@chair] | [Recommend] | YYYY-MM-DD |
| Management body (board) | [@chair] | [Approve] | YYYY-MM-DD |

### Revision history

| Version | Date | Author | Change summary |
|---|---|---|---|
| 0.1 | YYYY-MM-DD | [@name] | Indicators, scenarios and counterbalancing capacity refreshed to the reference date |
| 0.2 | YYYY-MM-DD | [@name] | Findings from the annual simulation added to the playbook |
| 1.0 | YYYY-MM-DD | [@name] | Approved by the management body |

## Contents

- [1. Purpose, scope and legal basis](#1-purpose-scope-and-legal-basis)
- [2. Governance and decision rights](#2-governance-and-decision-rights)
- [3. Liquidity risk profile and starting position](#3-liquidity-risk-profile-and-starting-position)
- [4. Early-warning indicators and triggers](#4-early-warning-indicators-and-triggers)
- [5. Stress stages and escalation](#5-stress-stages-and-escalation)
- [6. Stress scenarios and survival horizon](#6-stress-scenarios-and-survival-horizon)
- [7. Funding sources and counterbalancing capacity](#7-funding-sources-and-counterbalancing-capacity)
- [8. Central bank facilities and operational readiness](#8-central-bank-facilities-and-operational-readiness)
- [9. Action playbook](#9-action-playbook)
- [10. Communication plan](#10-communication-plan)
- [11. Intraday, currency and intragroup liquidity](#11-intraday-currency-and-intragroup-liquidity)
- [12. Testing and maintenance](#12-testing-and-maintenance)
- [13. Glossary and references](#13-glossary-and-references)
- [Standard and licence note](#standard-and-licence-note)

## 1. Purpose, scope and legal basis

<!-- Guidance: State which entities, branches and currencies the plan covers and which rules require it. A common pitfall is a group CFP that ignores the legal and practical limits on moving liquidity between entities and countries. -->

### 1.1 Purpose

This plan sets out how [Bank name] identifies an emerging liquidity
stress, decides on a response and raises or preserves liquidity
quickly enough to keep meeting its payment obligations as they fall
due, in normal and stressed conditions, without breaching regulatory
minimums. The plan is a decision tool rather than a description of
liquidity management in general: day-to-day funding, transfer pricing
and the buffer calibration live in the ILAAP and the liquidity risk
policy, and this document refers to them instead of repeating them.

The plan has three outcomes. First, an early and objective signal:
indicators with thresholds that trigger escalation automatically, so
that the bank does not wait for judgement to catch up with events.
Second, prepared actions: a ranked list of funding and balance-sheet
actions with sizes, lead times, owners and preconditions already
checked. Third, rehearsed people: named roles, deputies and contact
paths that have been tested in a simulation within the last twelve
months.

### 1.2 Scope

| Item | Scope |
|---|---|
| Legal entities | [Entities] *Example:* Fernhollow Bank (parent credit institution), Fernhollow Leasing and Fernhollow Payments (subsidiaries), New York branch |
| Currencies | [Significant currencies] *Example:* EUR (about 91% of liabilities), USD (about 7%), other currencies below the significance threshold |
| Business lines | [Lines] *Example:* retail banking, SME lending, treasury and markets (banking book only) |
| Exclusions and their rationale | [Exclusions] *Example:* none; Fernhollow Leasing is funded entirely by the parent and Fernhollow Payments holds client funds safeguarded outside the bank's liquidity buffer; both are covered through the intragroup section |

### 1.3 Legal and supervisory basis (as of 2026-10, check local law)

| Jurisdiction | Requirement or expectation | How this plan responds |
|---|---|---|
| EU | Directive 2013/36/EU (CRD) Article 86, in particular paragraph 11 on liquidity recovery (contingency) plans and their testing, as transposed nationally | Sections 4 to 12 |
| EU | Regulation (EU) No 575/2013 (CRR) Articles 412 and 413 (LCR and NSFR) and Delegated Regulation (EU) 2015/61 (LCR) | Section 3 starting position, section 7 buffer eligibility |
| EU | EBA Guidelines on ICAAP and ILAAP information collected for SREP purposes (EBA/GL/2016/10); revised SREP guidelines EBA/GL/2026/06 (apply from 2027-01-01) | Section 12 testing evidence and supervisory submission |
| EU, ECB-supervised banks | ECB Guide to the internal liquidity adequacy assessment process (ILAAP), November 2018 | Consistency with ILAAP scenarios and buffer |
| US | Interagency Policy Statement on Funding and Liquidity Risk Management (Federal Reserve SR 10-6, 2010-03-17, revised 2023-08-01) and its Addendum on the importance of contingency funding plans (2023-07-28; OCC Bulletin 2023-25) | Sections 7, 8 and 12 (discount window readiness and periodic test transactions) |
| US, bank holding companies with USD 100 billion or more | 12 CFR 252.34(f) (Regulation YY, subpart D): contingency funding plan with a quantitative assessment, a liquidity event management process, monitoring and testing; risk committee approval under 252.34(b). Foreign banking organisations follow the separate FBO subparts of Regulation YY, which apply only above their own asset thresholds (check the current thresholds) | Not binding on Fernhollow Bank, a foreign bank whose total consolidated assets are well below USD 100 billion; used as a benchmark and mapped for illustration in section 12.4 |
| US, OCC-supervised banks | OCC rescinded its recovery planning guidelines (12 CFR 30 appendix E) by final rule of 2026-03-31, effective 2026-05-01 (OCC Bulletin 2026-10); the OCC still expects every bank it supervises to maintain a formal contingency funding plan covering a range of stress scenarios | If the New York branch is a federal (OCC-licensed) branch, the OCC continues to expect a CFP; a state-licensed branch follows New York State Department of Financial Services and Federal Reserve expectations, including SR 10-6 and the 2023 addendum. Appendix E never applied at Fernhollow's size; recovery planning sits in Recovery Plan (`finance/recovery-plan`) under EU law |
| UK | PRA Supervisory Statement SS24/15 (the PRA's approach to supervising liquidity and funding risks) | Name only; UK entities add PRA-specific requirements |
| International | Basel Committee, Principles for Sound Liquidity Risk Management and Supervision (2008), Principle 11 (contingency funding plan) | Name and principle number only |

## 2. Governance and decision rights

<!-- Guidance: Name the people who can declare a stage, approve actions and speak externally, with deputies. A pitfall is a CFP that requires a full board meeting to approve the first action: delegate in advance and report afterwards. -->

### 2.1 Roles

| Role | Holder *(Example)* | Responsibilities in the CFP | Deputy |
|---|---|---|---|
| Management body | Board of directors | Approves the CFP annually; is informed within 24 hours of a Stage 2 declaration; decides on Stage 3 and recovery plan invocation | Board risk committee chair |
| Liquidity crisis committee (LCC) | CEO (chair), CFO, CRO, group treasurer, head of retail, head of communications, general counsel | Declares Stages 2 and 3, approves playbook actions above treasurer limits, approves external messages | CFO chairs if CEO unavailable |
| ALCO | CFO (chair) | Owns Stage 1 response, reviews indicators weekly in Stage 1 | Group treasurer |
| Group treasurer | Head of treasury | Plan owner; monitors indicators daily; declares Stage 1; executes funding actions | Deputy treasurer |
| Chief risk officer | CRO | Independent challenge of indicators, scenarios and the CFP; reports to the board risk committee | Head of liquidity risk |
| Head of communications | Communications | Prepares and releases depositor, media and market messages approved by the LCC | Investor relations lead |
| Supervisory liaison | Head of regulatory affairs | Notifies and updates the competent authority and the central bank | General counsel |
| Operations and collateral management | Chief operating officer | Moves collateral, executes central bank operations, manages payment queues | Head of payments |

### 2.2 Decision rights by stage

| Decision | Stage 0 (normal) | Stage 1 (heightened monitoring) | Stage 2 (liquidity stress) | Stage 3 (severe stress) |
|---|---|---|---|---|
| Declare the stage | Not applicable | Group treasurer, informs ALCO same day | LCC | LCC, board informed immediately |
| Use counterbalancing capacity up to EUR [500] million | Treasurer within limits | Treasurer | Treasurer | Treasurer |
| Use counterbalancing capacity above EUR [500] million | ALCO | ALCO | LCC | LCC |
| Change deposit pricing outside the pricing policy | ALCO | ALCO | LCC | LCC |
| Stop new lending in a business line | Not applicable | Not applicable | LCC | LCC |
| External statement | Communications policy | Communications policy | LCC approves text | LCC approves text |
| Invoke the recovery plan | Not applicable | Not applicable | LCC may escalate | Board on LCC proposal |

## 3. Liquidity risk profile and starting position

<!-- Guidance: Summarise where the bank stands on the reference date so that every later table starts from known numbers. Use the same definitions as the regulatory reports and say where internal metrics differ. -->

This section anchors the plan in the bank's actual funding structure.
A CFP that is calibrated on generic outflow rates rather than the
bank's own deposit base will either overstate or understate the risk.
Describe the concentration of the funding base (largest depositors,
uninsured balances, digital channels that allow very fast withdrawals,
wholesale maturities) because these drive how quickly stress can
develop. Since 2023, supervisors on both sides of the Atlantic have
asked banks to consider faster, social-media-driven deposit runs than
earlier calibrations assumed, so state the speed you assume and why.

### 3.1 Key metrics on the reference date

| Metric | Value *(Example, 2026-12-31)* | Appetite or trigger | Source |
|---|---|---|---|
| Total assets | 47,400 | Not applicable | Financial statements |
| Customer deposits | 33,000 | Not applicable | Financial statements |
| Liquidity buffer (HQLA after LCR haircuts) | 6,260 | Not applicable | LCR report |
| Net liquidity outflows over 30 days (LCR) | 4,200 | Not applicable | LCR report |
| Liquidity coverage ratio | 149.0% (6,260 / 4,200) | Appetite 120%, early warning 130%, CFP activation 115%, recovery indicator 105% | LCR report |
| Net stable funding ratio | 120.0% | Appetite 110%, early warning 115%, CFP activation 107%, recovery indicator 102% | NSFR report |
| Survival horizon, combined severe internal scenario | About 80 days | Early warning 70 days, appetite 60 days, CFP activation 50 days, recovery indicator 30 days | Section 6 |
| CET1 ratio (for context) | 15.0% (3,000 / 20,000) | Recovery indicator 11.0% | Capital report |
| Share of deposits above the deposit guarantee limit | 22% | Monitor | Deposit data |
| Top 20 depositors as a share of deposits | 4.1% | At most 6% | Concentration report |
| Short-term wholesale funding maturing within 90 days | 2,400 | At most [3,000] | Maturity ladder |

### 3.2 Funding profile

| Source | Amount *(Example)* | Share of liabilities and equity | Behaviour under stress |
|---|---|---|---|
| Retail deposits, stable (insured, established relationship) | 18,000 | 38.0% | Sticky; outflow assumption low |
| Retail deposits, less stable (uninsured, online savings) | 6,000 | 12.7% | Rate- and news-sensitive |
| SME and corporate deposits (operational and non-operational) | 9,000 | 19.0% | Moderate to high outflow; concentrated in some large SME clients |
| Senior preferred bonds (residual maturity over one year) | 5,000 | 10.5% | Contractual; EUR 1,500 million matures in 2028 |
| Short-term wholesale funding (under one year) | 3,000 | 6.3% | First to run |
| Other liabilities | 2,400 | 5.1% | Not funding |
| Regulatory capital instruments and equity | 4,000 | 8.4% | Permanent |
| **Total** | **47,400** | **100.0%** | |

Check: 18,000 + 6,000 + 9,000 + 5,000 + 3,000 + 2,400 + 4,000 =
47,400, matching the ILAAP funding profile. Customer deposits in
section 3.1 (EUR 33,000 million) are the sum of the three deposit rows.
Central bank funding is zero on the reference date; available capacity
is in section 8. Shares are rounded to one decimal place.

## 4. Early-warning indicators and triggers

<!-- Guidance: Choose indicators that move before the regulatory ratios move. Mix internal, market and macro signals, give each an amber and red threshold, a data source and a frequency. A pitfall is a long list nobody reads: keep 15 to 25 indicators and review their calibration once a year against history and peers. -->

Early-warning indicators (EWIs) are the first line of the plan. They
should be forward-looking, observable at least daily for the fast ones,
and calibrated so that an amber reading gives the bank time to act
before the LCR or the internal survival horizon is hit. Group them into
internal funding indicators, market indicators and macro or systemic
indicators. For each, set an amber threshold (escalate and analyse) and
a red threshold (propose a stage change). Breaches are judged together:
one red indicator on a noisy series may be explained, while several
amber readings in the same family are a pattern.

Calibrate thresholds from the bank's own history (for example the
worst five-day deposit change in the last ten years), from peer
episodes and from the stress scenarios in section 6. Document the
calibration in the annex and repeat it annually. The same indicators,
or a subset with tighter thresholds, feed the recovery indicators in
Recovery Plan (`finance/recovery-plan`), so align the definitions.

### 4.1 Indicator catalogue

| ID | Indicator | Frequency | Amber | Red | Owner |
|---|---|---|---|---|---|
| EWI-001 *(Example)* | Net retail deposit outflow over 5 business days, as % of retail deposits | Daily | 2.0% | 4.0% | Treasury |
| EWI-002 *(Example)* | Net outflow of uninsured deposits over 1 business day | Daily | EUR 150m | EUR 300m | Treasury |
| EWI-003 *(Example)* | LCR (internal daily estimate) | Daily | Below 130% (early warning; appetite 120%) | Below 115% (CFP activation) | Liquidity risk |
| EWI-004 *(Example)* | Survival horizon under the combined severe scenario | Weekly | Below 70 days (early warning) | Below 60 days (appetite breach; Stage 2 is automatic below 50 days) | Liquidity risk |
| EWI-005 *(Example)* | Rollover rate of maturing wholesale unsecured funding over 10 days | Daily | Below 80% | Below 60% | Treasury |
| EWI-006 *(Example)* | Increase in early withdrawals of term deposits, week on week | Weekly | +50% | +100% | Retail |
| EWI-007 *(Example)* | Unencumbered HQLA, absolute | Daily | Below EUR 6,000m | Below EUR 5,000m | Treasury |
| EWI-008 *(Example)* | Five-year senior CDS or secondary bond spread versus peer index | Daily | +75 bp | +150 bp | Market risk |
| EWI-009 *(Example)* | Share price fall over 5 trading days, relative to banking index | Daily | -15% | -25% | Investor relations |
| EWI-010 *(Example)* | Credit rating action | Event | Negative outlook | Downgrade by one notch or more | Treasury |
| EWI-011 *(Example)* | Margin and collateral calls received on derivatives and repo | Daily | EUR 100m in a day | EUR 200m in a day | Collateral management |
| EWI-012 *(Example)* | Peak intraday liquidity usage as % of available intraday liquidity | Daily | 50% (ILAAP early warning, LIQ-006) | 60% (ILAAP limit, LIQ-006) | Payments |
| EWI-013 *(Example)* | Negative media or social media volume about the bank | Daily | Two times the 30-day average | Five times the 30-day average | Communications |
| EWI-014 *(Example)* | USD funding gap over 30 days (New York branch and USD assets) | Daily | Below zero after USD buffer | Below minus USD 200m | Treasury |
| EWI-015 *(Example)* | Systemic stress: euro area interbank spread (unsecured versus secured overnight) | Daily | +25 bp over 20-day average | +50 bp | Market risk |
| EWI-016 *(Example)* | Encumbrance ratio (encumbered assets over total assets) | Monthly | 22% | 26% | Treasury |

### 4.2 Breach handling

When an indicator turns amber, the owner confirms the data within two
hours, records the reading in the EWI log and informs the group
treasurer. The treasurer decides whether the reading reflects a data
problem, a known one-off (such as a large customer moving funds on a
pre-announced date) or a genuine signal. Two or more amber readings in
the same family, or one red reading, trigger a proposal to declare
Stage 1 or Stage 2 as set out in section 5. Each decision not to
escalate is written in the log with its rationale, so that later review
can test whether the bank ignored a warning.

| Log ID | Date | Indicator | Reading | Assessment | Decision and owner |
|---|---|---|---|---|---|
| EWL-2026-014 *(Example)* | 2026-06-12 | EWI-002 | EUR 180m | Two corporate clients moved tax payments; confirmed with relationship managers | No escalation; recheck next day, [@treasurer] |

## 5. Stress stages and escalation

<!-- Guidance: Define three or four stages with entry and exit criteria, the meeting rhythm and the default actions at each stage. Keep the stage names identical in the CFP, the ILAAP and the recovery plan so that a Stage 3 here clearly maps to a recovery indicator breach there. -->

The stages turn indicator readings into an organisational response.
Entry criteria should be objective enough to be applied at 07:00 by
the treasurer on duty, with judgement used to move faster rather than
to delay. Exit criteria matter too: leaving a stage too early is a
common error after a first wave of outflows calms down.

| Stage | Entry criteria *(Example)* | Rhythm | Default actions | Exit criteria |
|---|---|---|---|---|
| Stage 0, normal | No red indicator, at most one amber | Daily monitoring, weekly ALCO pack | Business as usual within the liquidity risk policy | Not applicable |
| Stage 1, heightened monitoring | Two amber in one family, or LCR estimate below 130%, or survival horizon below 70 days, or one red indicator explained as not yet systemic for the bank | Daily treasury call, ALCO at least weekly | Pre-position collateral with the central bank, refresh counterbalancing capacity daily, prepare communication lines, slow non-essential asset growth | All indicators green or amber-explained for 10 business days |
| Stage 2, liquidity stress (CFP activation) | Two or more red indicators, or LCR estimate below 115%, or NSFR below 107%, or survival horizon below 50 days (a breach of the 60-day appetite alone is a red EWI-004 reading and a Stage 1 escalation to ALCO) | LCC daily, board informed within 24 hours, supervisor informed the same day | Execute playbook actions A1 to A6 (section 9), activate communication plan, daily reporting to the supervisor if requested | LCR back above 130% and no red indicator for 20 business days, decided by the LCC |
| Stage 3, severe stress | LCR below 105% (recovery indicator) or projected below 100% within 10 days, or NSFR below 102%, or survival horizon below 30 days, or loss of access to wholesale markets | LCC continuous, board on call | Execute all remaining actions, central bank operations at scale, consider invoking the recovery plan | Recovery plan governance decides |

```mermaid
flowchart LR
    S0["Stage 0 normal"] -->|"2 amber in a family or LCR below 130%"| S1["Stage 1 heightened monitoring"]
    S1 -->|"2 red, LCR below 115% or horizon below 50 days"| S2["Stage 2 CFP activation"]
    S2 -->|"LCR below 105% or horizon below 30 days"| S3["Stage 3 severe stress"]
    S3 -->|"Recovery indicator breached"| RP["Recovery plan governance"]
    S1 -->|"10 days green"| S0
    S2 -->|"20 days, LCC decision"| S1
```

## 6. Stress scenarios and survival horizon

<!-- Guidance: Use the same scenarios as the ILAAP and show the cumulative net outflow against the counterbalancing capacity over time. The survival horizon is the first day the cumulative gap turns negative. A pitfall is assuming central bank funding is unlimited and instant: show the horizon with and without central bank credit beyond HQLA. -->

### 6.1 Scenario set

The bank runs the three internal scenarios of the ILAAP (idiosyncratic
and market-wide over 120 days, combined over 90 days), in
addition to the regulatory LCR. The idiosyncratic scenario assumes a
loss of confidence in the bank alone (for example after a large fraud
loss and a two-notch downgrade). The market-wide scenario assumes a
general funding market disruption with falling collateral values. The
combined severe scenario overlays both and is the binding scenario for
the internal survival horizon limit.

| Scenario | Narrative *(Example)* | Key assumptions |
|---|---|---|
| SCN-L01 idiosyncratic | Operational loss of EUR 450m disclosed, two-notch downgrade, intense media coverage | Elevated retail and corporate outflows, wholesale rollover 0%, collateral calls on downgrade |
| SCN-L02 market-wide | Sovereign and bank spread widening across the euro area, money markets close for unsecured term funding | Lower HQLA market values, higher repo haircuts, moderate deposit outflows |
| SCN-L03 combined severe | Both at once, front-loaded in the first two weeks | The outflow rates in section 6.2 |

### 6.2 Combined severe scenario (SCN-L03), cumulative to day 90

| Cash-flow line | Balance *(Example)* | Outflow or inflow rate | Amount at day 90 |
|---|---|---|---|
| Retail deposits, stable | 18,000 | 5% | 900 |
| Retail deposits, less stable | 6,000 | 20% | 1,200 |
| SME and corporate deposits (operational and non-operational) | 9,000 | 40% | 3,600 |
| Short-term wholesale funding maturing within 90 days | 2,400 | 100% | 2,400 |
| Drawdowns of committed credit and liquidity facilities | 4,200 | 15% | 630 |
| Collateral calls after a two-notch downgrade | Not applicable | Contract terms | 420 |
| **Total outflows** | | | **9,150** |
| Maturing interbank placements | 100 | 50% (half rolled to protect relationships) | -50 |
| **Net cumulative outflow at day 90** | | | **9,100** |

Check: 900 + 1,200 + 3,600 + 2,400 + 630 + 420 = 9,150; 9,150 minus 50 =
9,100. The undrawn committed facilities of EUR 4,200 million are the
same off-balance-sheet amount as in the ILAAP NSFR and reverse stress
calculations. Of the EUR 3,000 million short-term wholesale funding, EUR 2,400
million matures within the 90 days and is assumed not to roll. Loan
repayments are assumed to be fully re-lent to protect the franchise, so
they add no net inflow. The SME and corporate run-off reflects the
concentration of rate-sensitive SME deposits noted in the ILAAP. A real
plan models each deposit segment and each maturity separately and
documents the source of every rate.

### 6.3 Survival horizon

| Time bucket | Cumulative net outflow *(Example)* | Counterbalancing capacity, HQLA only | Gap, HQLA only | Counterbalancing capacity, HQLA plus pre-positioned central bank collateral | Gap, full capacity |
|---|---|---|---|---|---|
| Day 7 | 2,100 | 6,260 | 4,160 | 8,500 | 6,400 |
| Day 30 | 4,900 | 6,260 | 1,360 | 8,500 | 3,600 |
| Day 60 | 7,200 | 6,260 | -940 | 8,500 | 1,300 |
| Day 90 | 9,100 | 6,260 | -2,840 | 8,500 | -600 |

The survival horizon is measured on the full counterbalancing capacity
of EUR 8,500 million (Tiers A and B in section 7), as in the ILAAP
Report (`finance/ilaap-report`). Between day 60 and day 90 cumulative
outflows grow by 1,900; the remaining surplus of 1,300 is used after 30
x 1,300 / 1,900 = 20.5 days, so the survival horizon is about 80 days
(60 + 20.5). That meets the risk appetite of 60 days with a margin of
about 20 days but is shorter than the 90-day scenario, which is why
section 9 lists actions that add capacity early in Stage 1. On HQLA
alone the gap turns negative between day 30 and day 60: outflows grow
by 2,300 in that period and the remaining 1,360 is used after 30 x
1,360 / 2,300 = 17.7 days, about day 48. This figure is reported for
information so that the management body sees how much the plan relies
on pre-positioned central bank collateral.

## 7. Funding sources and counterbalancing capacity

<!-- Guidance: List every source of liquidity the bank could actually use under stress, with the market value, the haircut you expect under stress (not the regulatory haircut alone), the net cash raised, the time needed and the preconditions. Rank by speed and by signalling effect. A pitfall is counting assets that are encumbered, sit in the wrong entity or the wrong currency, or have never been tested operationally. -->

Counterbalancing capacity (CBC) is the cash the bank can generate from
its assets and funding options within a given time. Distinguish three
tiers. Tier A is the liquidity buffer itself (HQLA held in the
treasury's control, unencumbered, and in the right legal entity and
currency). Tier B is central bank credit on eligible non-HQLA
collateral that has been pre-positioned. Tier C is market actions that
take weeks and depend on market conditions, such as new covered bond
issuance or a securitisation. Only Tier A counts toward the LCR, but
the CFP uses all three with realistic timing.

| ID | Source | Market or nominal value *(Example)* | Stress haircut | Net liquidity | Time to cash | Preconditions |
|---|---|---|---|---|---|---|
| CBC-01 *(Example)* | Central bank reserves above minimum reserve needs | 2,000 | 0% | 2,000 | Same day | None |
| CBC-02 *(Example)* | Level 1 government bonds, repo or outright sale | 3,600 | 0% (LCR), stress repo haircut tested at 2% | 3,600 | 1 to 2 days | Repo lines or central bank operations available; tested quarterly |
| CBC-03 *(Example)* | Level 2A covered bonds held | 600 | 15% (LCR) | 510 | 2 to 3 days | Repo counterparties or sale |
| CBC-04 *(Example)* | Level 2B high-quality RMBS held | 200 | 25% (LCR) | 150 | 3 to 5 days | Repo counterparties or sale |
| **Tier A subtotal** | | **6,400** | | **6,260** | | Matches the LCR buffer in section 3.1 |
| CBC-05 *(Example)* | Credit claims pre-positioned with the central bank | 3,200 | 30% (assumed blended valuation haircut) | 2,240 | 2 to 5 business days after mobilisation | Collateral eligibility confirmed, legal documentation in place |
| **Tier B subtotal** | | **3,200** | | **2,240** | | |
| CBC-06 *(Example)* | Inaugural covered bond issuance (programme established, cover pool of prime mortgages) | 1,000 | Not applicable | 1,000 | 2 to 4 weeks | Market open, cover pool eligibility, rating agency confirmation |
| CBC-07 *(Example)* | Securitisation of prime mortgages for repo or sale | 1,500 | Not applicable | 1,500 | 8 to 12 weeks | Data tape ready, structuring mandate, investor appetite |
| CBC-08 *(Example)* | Sale of corporate bond portfolio (non-HQLA) | 300 | 20% | 240 | 1 week | Market liquidity; loss absorbed in capital |
| **Tier C subtotal** | | **2,800** | | **2,740** | | Not counted in the survival horizon |
| **Total** | | **12,400** | | **11,240** | | |

Check the arithmetic: Tier A 2,000 + 3,600 + 510 + 150 = 6,260; Tier B
2,240 (3,200 x 70%); Tier C 1,000 + 1,500 + 240 = 2,740; total 6,260 +
2,240 + 2,740 = 11,240. The survival horizon in section 6.3 uses Tiers
A and B (8,500), because Tier C depends on markets that may be closed
in the combined severe scenario.

For every source, record the evidence that it works: the date of the
last repo with each counterparty, the last central bank operation, the
last cover pool eligibility check. Supervisors increasingly test
monetisation in practice, not on paper, and the 2023 US addendum
explicitly asks banks that rely on the discount window to keep
operational readiness, including periodic test transactions.

## 8. Central bank facilities and operational readiness

<!-- Guidance: For each central bank the bank can use, record eligibility, the collateral pre-positioned, the operational steps and the date of the last test. A pitfall is treating central bank access as a theoretical backstop: if you have never drawn, you do not know how long it takes. -->

| Facility | Eligibility *(Example)* | Collateral pre-positioned | Operational steps | Last test |
|---|---|---|---|---|
| Eurosystem open market operations and marginal lending facility (via the national central bank) | Counterparty status confirmed | EUR 3,200m credit claims; EUR 3,600m government bonds available | Collateral mobilisation via the national central bank's collateral system, bid submission in the tender platform | 2026-05-21 test bid, EUR 50m one-week |
| Federal Reserve discount window (New York branch) | Eligible as a US branch of a foreign bank; documentation in place | USD 150m US Treasury securities pledged | Borrowing request through the Reserve Bank's discount window procedures | 2026-04-09 test transaction, USD 5m overnight |
| Emergency liquidity assistance | At the discretion of the national central bank; not counted in the plan | Not applicable | Contact protocol only | Not tested by design |

Readiness checklist for each facility: legal agreements signed and
current; collateral eligibility rechecked monthly; valuation and
haircut data loaded; named staff trained with access rights in the
collateral and tender systems; cut-off times listed in the playbook;
a test transaction performed within the last [12] months; and the
accounting and disclosure consequences of drawing understood by the
CFO. Note that the use of emergency liquidity assistance is a central
bank decision and is excluded from the counterbalancing capacity so
that the plan does not rely on it.

## 9. Action playbook

<!-- Guidance: Rank actions by speed, size and side effects, and say which stage normally unlocks each. Pre-agree the owner and the approval so that execution takes hours, not days. A pitfall is listing actions that signal distress (such as a sudden price war for deposits) without weighing the reputational effect. -->

| ID | Action | Liquidity effect *(Example)* | Lead time | Stage | Owner | Side effects and conditions |
|---|---|---|---|---|---|---|
| A1 *(Example)* | Pre-position additional collateral with the central bank | Moves capacity from Tier C toward Tier B | 1 to 4 weeks | Stage 1 | Collateral management | Requires loan-level data quality |
| A2 *(Example)* | Repo of Level 1 government bonds | Up to EUR 3,600m | 1 to 2 days | Stage 1 | Treasury | Low signalling; uses existing lines |
| A3 *(Example)* | Participate in Eurosystem operations at larger size | Up to EUR 2,240m on non-HQLA collateral | 1 week | Stage 2 | Treasury | Visible in central bank statistics only in aggregate |
| A4 *(Example)* | Slow or pause new lending in selected segments | EUR 150m a month of avoided outflow | 1 to 2 weeks | Stage 2 | Head of retail and SME | Franchise impact; communicate to sales staff |
| A5 *(Example)* | Targeted deposit pricing for term deposits within LCC limits | EUR 300m to 600m inflow over 30 days | Days | Stage 2 | ALCO | Margin cost; avoid headline price signalling |
| A6 *(Example)* | Draw committed facilities received from other banks, if any | [Amount] | Days | Stage 2 | Treasury | Fernhollow Bank has none in the example |
| A7 *(Example)* | Issue covered bonds from cover pool headroom | EUR 1,000m | 2 to 4 weeks | Stage 2 or 3 | Treasury | Market access; rating agency |
| A8 *(Example)* | Sell corporate bond portfolio | EUR 240m | 1 week | Stage 3 | Treasury | Realised loss reduces CET1 |
| A9 *(Example)* | Securitise prime mortgages | EUR 1,500m | 8 to 12 weeks | Stage 3 | Treasury and structuring | Start preparation in Stage 1 |
| A10 *(Example)* | Restrict intragroup upstreaming or downstreaming as allowed by law | Preserves entity liquidity | Immediate | Stage 2 | Treasury and legal | Check local ring-fencing rules |

Execution rules: every action carries an execution record (date,
amount, counterparty, approval reference); the treasurer updates the
counterbalancing capacity table after each action; actions that reduce
capital (asset sales at a loss) are coordinated with the CFO and the
capital plan in the ICAAP Report (`finance/icaap-report`); and actions
listed in the recovery plan as recovery options are not double counted
between the two plans.

## 10. Communication plan

<!-- Guidance: Prepare holding statements and question-and-answer drafts in advance for each audience, with approvers. In a deposit run, the first public signal often comes from social media: say who monitors it and who may respond. -->

Communication can stabilise or accelerate a run. Prepare messages in
advance for each audience and approve them in principle at each annual
review, so that only facts need to be filled in. Keep messages factual
and consistent across channels, and make sure front-line staff receive
the same message as the press at the same time.

| Audience | Channel | Prepared material | Approver | Timing in Stage 2 |
|---|---|---|---|---|
| Retail depositors | Website, app banner, branch staff briefing | Holding statement, deposit guarantee explanation, FAQ | LCC | Within 4 hours of declaration if outflows are public |
| Corporate and SME clients | Relationship managers | Talking points, escalation path for large withdrawals | Head of corporate banking with LCC | Same day |
| Wholesale counterparties and investors | Investor relations calls, market disclosure if required | Factual update on liquidity position | CFO and LCC; disclosure counsel | As required by market disclosure law |
| Rating agencies | Treasurer and CFO | Liquidity pack (sections 3 and 7) | CFO | Within 24 hours |
| Competent authority and central bank | Supervisory liaison | Notification template, daily liquidity report | CRO | Same day as declaration |
| Staff | Intranet, managers' briefing | Internal note, media enquiry rule | CEO office | Same day |

## 11. Intraday, currency and intragroup liquidity

<!-- Guidance: Show how the bank manages intraday payment obligations, significant currencies and liquidity in each legal entity under stress. A pitfall is a consolidated surplus that cannot legally or operationally reach the entity that needs it. -->

### 11.1 Intraday liquidity

Monitor the largest intraday net cumulative outflow, the timing of
critical payments, the intraday credit available from the central bank
against collateral, and the share of payments made after their usual
time. Under stress, counterparties may delay their payments to the
bank while expecting the bank's payments on time, so the plan sets a
payment prioritisation order (time-critical obligations such as
settlement system and central bank payments first) and names who may
throttle discretionary outgoing payments.

### 11.2 Significant currencies

| Currency | Stress gap over 30 days *(Example)* | Buffer in that currency | FX swap market reliance | Action if gap opens |
|---|---|---|---|---|
| EUR | -4,600 | 6,010 | None | Section 9 |
| USD | -300 | 250 (EUR equivalent of the USD buffer) | EUR/USD swaps for the remainder | Pre-agree swap lines, use Federal Reserve discount window at the New York branch |

### 11.3 Intragroup liquidity

Document each intragroup facility, its legal capacity, any regulatory
or tax restriction on transfer (large exposure limits, local liquidity
requirements for branches and subsidiaries, ring-fencing), and the
operational steps to move funds. In the example the leasing
subsidiary is funded by the parent through a committed intragroup line
of EUR 1,200 million, and the New York branch is subject to US
requirements that may limit how quickly liquidity can be returned to
the head office.

## 12. Testing and maintenance

<!-- Guidance: Test the plan at least once a year with a realistic simulation that involves decision makers, and test each funding source operationally. Record findings with owners and dates. A pitfall is a desk-top read-through that never touches a system, a counterparty or a central bank. -->

### 12.1 Testing programme

| Test ID | Type | Scope *(Example)* | Frequency | Last performed | Result |
|---|---|---|---|---|---|
| TST-01 *(Example)* | Simulation exercise | LCC decision-making in a 48-hour idiosyncratic run scenario with injected media events | Annual | 2026-06-18 | Passed with 4 findings |
| TST-02 *(Example)* | Operational test, central bank | Test bid in Eurosystem operations | Annual minimum | 2026-05-21 | Passed |
| TST-03 *(Example)* | Operational test, discount window | Test transaction at the New York branch | Annual minimum | 2026-04-09 | Passed |
| TST-04 *(Example)* | Repo market access | Small repo with each core counterparty | Quarterly | 2026-09-15 | Passed, one counterparty line reduced |
| TST-05 *(Example)* | Data and reporting | Produce the daily stress dashboard within 2 hours of request | Semi-annual | 2026-07-02 | Failed first attempt, passed on retest |
| TST-06 *(Example)* | Contact path | Reach every LCC member and deputy out of hours | Semi-annual | 2026-08-30 | Passed |

### 12.2 Findings log

| Finding ID | Test | Finding | Action | Owner | Due | Status |
|---|---|---|---|---|---|---|
| CFP-F-2026-01 *(Example)* | TST-01 | Media holding statement took 5 hours to approve | Pre-approve a shorter template for Stage 2 | Head of communications | 2026-09-30 | Closed |
| CFP-F-2026-02 *(Example)* | TST-01 | Deposit outflow data by channel only available next day | Build intraday outflow report for online savings | Treasury data lead | 2026-12-31 | Open |
| CFP-F-2026-03 *(Example)* | TST-05 | Stress dashboard depended on one analyst | Document and cross-train | Head of liquidity risk | 2026-11-30 | Open |
| CFP-F-2026-04 *(Example)* | TST-01 | Unclear authority to pause SME lending | Added to decision rights table 2.2 | Group treasurer | 2026-07-31 | Closed |

### 12.3 Maintenance triggers

Update the plan within [30] days when: the annual ILAAP is approved;
a test produces a material finding; the funding mix changes by more
than [10] percentage points in any line; a new legal entity, branch or
significant currency is added; a central bank changes collateral rules
that affect more than [10]% of Tier B; or regulation changes (for
example the application of revised SREP guidelines EBA/GL/2026/06 from
2027-01-01).

### 12.4 Requirement coverage map

| Requirement | Plan section | Evidence |
|---|---|---|
| CRD Art. 86(11): liquidity contingency plan with strategies, implementation measures and testing | 4 to 12 | Approved plan, test reports |
| 12 CFR 252.34(f)(2)(i) quantitative assessment | 6 and 7 | Scenario and CBC tables |
| 12 CFR 252.34(f)(2)(ii) event management process | 2, 5, 9 and 10 | Decision rights, stages, playbook, communication |
| 12 CFR 252.34(f)(2)(iii) monitoring with early-warning indicators | 4 | EWI catalogue and log |
| 12 CFR 252.34(f)(2)(iv) testing | 12 | Test programme and findings log |
| Interagency 2023 addendum: discount window readiness | 8 | Test transaction record |

The 12 CFR 252.34(f) rows are mapped for illustration only: Regulation
YY subpart D binds US bank holding companies with USD 100 billion or
more of assets, and Fernhollow's New York branch is below the Regulation
YY liquidity thresholds for foreign banking organisations, so it follows
SR 10-6 and the 2023 addendum. A bank that is in scope keeps this map as
evidence for its examiners.
| Basel Principles for Sound Liquidity Risk Management, Principle 11 | Whole plan | Name and number only |

## 13. Glossary and references

<!-- Guidance: Define the terms that differ between internal and regulatory usage, and list the exact versions of the rules relied on. -->

### 13.1 Glossary

| Term | Meaning in this plan |
|---|---|
| Contingency funding plan (CFP) | The documented strategy, indicators, actions and roles for handling a liquidity stress |
| Counterbalancing capacity (CBC) | Liquidity the bank can generate from assets and funding actions within a stated time, after stress haircuts |
| Early-warning indicator (EWI) | A monitored metric with thresholds that signal a possible liquidity stress before regulatory ratios are affected |
| HQLA | High-quality liquid assets eligible for the LCR buffer under Delegated Regulation (EU) 2015/61 |
| LCR | Liquidity coverage ratio: liquidity buffer divided by net liquidity outflows over 30 calendar days of stress |
| NSFR | Net stable funding ratio: available stable funding divided by required stable funding |
| Survival horizon | The number of days until cumulative net stressed outflows exceed the counterbalancing capacity |
| Pre-positioning | Delivering collateral to the central bank before it is needed so that credit can be drawn quickly |
| Encumbrance | Assets pledged or otherwise not freely available to raise liquidity |
| Liquidity crisis committee (LCC) | The decision body for Stages 2 and 3 |

### 13.2 References

| Reference | Version or date checked | Use |
|---|---|---|
| Directive 2013/36/EU (CRD), Article 86 | Consolidated text, checked 2026-10-25 by reference | Liquidity risk and contingency plan requirement |
| Regulation (EU) No 575/2013 (CRR), Articles 412 and 413; Delegated Regulation (EU) 2015/61 | Check consolidated text | LCR and NSFR |
| EBA/GL/2016/10, ICAAP and ILAAP information for SREP | Check eba.europa.eu | Supervisory information |
| EBA/GL/2026/06, revised SREP and supervisory stress testing guidelines | Final report 2026-06-26, applies 2027-01-01 | Supervisory assessment of liquidity and recovery capacity |
| ECB Guide to the ILAAP | November 2018 | Consistency of scenarios and buffer |
| Interagency Policy Statement on Funding and Liquidity Risk Management (SR 10-6) | 2010-03-17, revised 2023-08-01 | US expectations |
| Addendum: Importance of Contingency Funding Plans (OCC Bulletin 2023-25) | 2023-07-28 | Discount window readiness and CFP updates |
| 12 CFR 252.34 (Regulation YY, subpart D) | Checked 2026-10-25 | CFP elements for in-scope US bank holding companies; benchmark only here |
| OCC Bulletin 2026-10, rescission of recovery planning guidelines | Final rule 2026-03-31, effective 2026-05-01 | Continuing CFP expectation |
| Basel Committee, Principles for Sound Liquidity Risk Management and Supervision | 2008 | Name and principle number only |
| PRA SS24/15 | Name only | UK entities |
| Related templates: ILAAP Report (`finance/ilaap-report`), Recovery Plan (`finance/recovery-plan`), Stress Testing Programme (`finance/stress-testing-programme`), Risk Appetite Statement (`finance/risk-appetite-statement`), IRRBB Policy and Report (`finance/irrbb-policy-and-report`), Business Continuity Plan (`compliance/business-continuity`) | Not applicable | Cross-references |

## Standard and licence note

Based on Directive 2013/36/EU Article 86, Regulation (EU) No 575/2013,
EBA guidelines cited by number, the US Interagency Policy Statement on
Funding and Liquidity Risk Management with its 2023 addendum, 12 CFR
252.34 and OCC Bulletin 2026-10 (US federal works in the public
domain; EU texts reused with acknowledgement of the source). The Basel
Committee principles and the PRA supervisory statement are cited by
name and number only; no text from them is reproduced. The structure,
indicators, thresholds and all wording are original to this template.
Fernhollow Bank and every figure are fictional and are not a
calibration recommendation. Check the current official version of each
cited text and your national transposition before use. Template
licence: MIT.