ANNEX XIIU.K.REPORTING ON LIQUIDITY

C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

ANNEX XII Table 2: rows 1 - 123

Market value Value according to Article 418 of CRR Amount Undrawn amount of line
Row ID Item Legal references010020030040
010-390 1 ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 OF CRRArticle 416 and 417 of CRR
010 1,1 cashArticle 416(1)(a) of CRR
020 1,2 exposures to central bankArticle 416(1)(a) of CRR
0301.2.1of which: exposures that can be withdrawn in times of stressArticle 416(1)(a) of CRR
040-110 1,3 Other transferable assets representing claims on or guaranteed byArticle 416(1)(c) of CRR
040-0501.3.1transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assetsArticle 416(1)(c)(i) of CRR
0401.3.1.1representing claimsArticle 416(1)(c)(i) of CRR
0501.3.1.2guaranteed byArticle 416(1)(c)(i) of CRR
060-0701.3.2transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities-in the domestic currency of the central bank and public sector entityArticle 416(1)(c)(ii) of CRR
0601.3.2.1representing claims onArticle 416(1)(c)(ii) of CRR
0701.3.2.2guaranteed byArticle 416(1)(c)(ii) of CRR
080-0901.3.3transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks;Article 416(1)(c)(iii) of CRR
0801.3.3.1representing claims onArticle 416(1)(c)(iii) of CRR
0901.3.3.2guaranteed byArticle 416(1)(c)(iii) of CRR
100-1101.3.4transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability MechanismArticle 416(1)(c)(iv) of CRR
1001.3.4.1representing claims onArticle 416(1)(c)(iv) of CRR
1101.3.4.2guaranteed byArticle 416(1)(c)(iv) of CRR
120-140 1,4 total shares or units in CIUs with underlying assets specified in Article 416Article 416(6) and 418(2) CRR
1201.4.1underlying assets in point (a) of article 416(1)Article 418(2)(a) of CRR
1301.4.2underlying assets in point (b) and (c) of article 416(1)Article 418(2)(b) of CRR
1401.4.3underlying assets in point (d) of article 416(1)Article 418(2)(c) of CRR
150 1,5 standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistanceArticle 416(1) (e) CRR
160-170 1,6 deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assetsArticle 416(1) (f) CRR
1601.6.1depositsArticle 416(1) (f) CRR
1701.6.2contractually available liquid fundingArticle 416(1) (f) CRR
Row ID Item Legal references Extremely high liquidity and credit quality assets High liquidity and credit quality assets
Market value Value according to Article 418 of CRR Market value Value according to Article 418 of CRR
180 1,7 assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is metArticle 416(2)(a)(iii) of CRR
190-210 1,8 non financial corporate bondsArticle 416(1)(b) or (d) of CRR
1901.8.1credit quality step 1Article 122 CRR
2001.8.2credit quality step 2Article 122 CRR
2101.8.3credit quality step 3Article 122 CRR
220-240 1,9 bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)Article 416(2)(a)(i) of CRR
2201.9.1credit quality step 1Article 129(4) or 129(5) of CRR
2301.9.2credit quality step 2Article 129(4) or 129(5) of CRR
2401.9.3credit quality step 3Article 129(4) or 129(5) of CRR
250-270 1.10 non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRRArticle 416(2)(a)(i) of CRR
2501.10.1credit quality step 1Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR
2601.10.2credit quality step 2Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR
2701.10.3credit quality step 3Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR
280-300 1,11 residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRRArticle 416(2)(a)(i) of CRR
2801.11.1credit quality step 1Chapter 5 Title 2 of part V and Article 125 of CRR
2901.11.2credit quality step 2Chapter 5,Title 2 of part V and Article 125 of CRR
3001.11.3credit quality step 3Chapter 5,Title 2, and Article 125 of CRR
310-330 1.12 bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9Article 416(2)(a)(ii) of CRR
3101.12.1credit quality step 1Article 129(4) or 129(5) of CRR
3201.12.2credit quality step 2Article 129(4) or 129(5) of CRR
3301.12.3credit quality step 3Article 129(4) or 129(5) of CRR
340-360 1,13 other transferable assets that are of extremely high liquidity and credit qualityArticle 416(1)(b) of CRR
3401.13.1credit quality step 1Chapter 2,Title 2, Part III of CRR
3501.13.2credit quality step 2Chapter 2,Title 2, Part III of CRR
3601.13.3credit quality step 3Chapter 2,Title 2, Part III of CRR
370-390 1,14 other transferable assets that are of high liquidity and credit qualityArticle 416(1)(d) of CRR
3701.14.1credit quality step 1Chapter 2,Title 2, Part III of CRR
3801.14.2credit quality step 2Chapter 2,Title 2, Part III of CRR
3901.14.3credit quality step 3Chapter 2,Title 2, Part III of CRR
400-410 2 ASSETS WHICH MEET THE REQUIREMENTS OF ART. 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ART. 417 (b)AND (c) CRR Market value Value according to Article 418 of CRR Amount Undrawn amount of line
400 2,1 assets not controlled by a liquidity management functionArticle 417 (c) of CRR
410 2,2 assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase marketsArticle 417 (b) of CRR
420-610 3 ITEMS SUBJECT TO SUPPLEMENTARY REPORTING OF LIQUID ASSETS
420 3,1 CashAnnex III, article 1 CRR
430 3,2 Central bank exposures, to the extent that these exposures can be drawn down in times of stressAnnex III, article 2 CRR
440-480 3,3 transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, article 3 CRR
4403.3.1representing claims on sovereignsAnnex III, article 3 CRR
4503.3.2claims guaranteed by sovereignsAnnex III, article 3 CRR
4603.3.3representing claims on or claims guaranteed by central banksAnnex III, article 3 CRR
4703.3.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, article 3 CRR
4803.3.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banksAnnex III, article 3 CRR
490 3,4 Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third countryAnnex III, article 4 CRR
500-550 3,5 transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, article 5 CRR
5003.5.1representing claims on sovereignsAnnex III, article 5 CRR
5103.5.2claims guaranteed by sovereignsAnnex III, article 5 CRR
5203.5.3representing claims on or claims guaranteed by central banksAnnex III, article 5 CRR
5303.5.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, article 5 CRR
5403.5.5representing claims on or claims guaranteed by multilateral development banksAnnex III, article 5 CRR
550 3,6 transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRRAnnex III, article 6 CRR
560 3,7 transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entitiesAnnex III, article 7 CRR
570 3,8 transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125Annex III, article 8 CRR
580 3,9 standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistanceAnnex III, article 9 CRR
590 3.10 Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.Annex III, article 10 CRR
600 3,11 exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliatesAnnex III, article 11 CRR
610 3,12 gold listed on a recognised exchange, held on an allocated basisAnnex III, article 12 CRR
Row ID Item Legal references Market value Value according to Article 418 of CRR Amount Undrawn amount of line
620-850 4 ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR BUT STILL MEET THE REQUIREMENTS OF ART. 417 (b) AND (c ) CRR
620-640 4,1 financial corporate bondsArticle 416 (2) of CRR
6204.1.1credit quality step 1Article 120(1) of CRR
6304.1.2credit quality step 2Article 120(1) of CRR
6404.1.3credit quality step 3Article 120(1) of CRR
650-670 4,2 own issuancesArticle 416.3(b) -of CRR
6504.2.1credit quality step 1Article 120(1) of CRR
6604.2.2credit quality step 2Article 120(1) of CRR
6704.2.3credit quality step 3Article 120(1) of CRR
680-700 4,3 unsecured credit institution issuancesArticle 416 of CRR
6804.3.1credit quality step 1Article 120(1) of CRR
6904.3.2credit quality step 2Article 120(1) of CRR
7004.3.3credit quality step 3Article 120(1) of CRR
710-730 4,4 non residential mortgage backed instruments not already reported in 1.10Article 416 (4)(b) CRR
7104.4.1credit quality step 1Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR
7204.4.2credit quality step 2Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR
7304.4.3credit quality step 3Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR
740-760 4,5 residential mortgage backed instruments not already reported in 1.11Article 509(3)(a) CRR
7404.5.1credit quality step 1Chapter 5,Title 2 of Part III and Article 125 of CRR
7504.5.2credit quality step 2Chapter 5,Title 2 of Part III and Article 125 of CRR
7604.5.3credit quality step 3Chapter 5,Title 2 of Part III and Article 125 of CRR
770 4,6 equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutionsArticle 509(3)(c) and 416(4)(a) of CRR
780 4,7 goldArticle 509(3)(c) and 416(4)(a) of CRR
790 4,8 guaranteed bonds not already reported aboveArticle 509(3)(c) of CRR
800 4,9 covered bonds not already reported aboveArticle 509(3)(c) of CRR
810 4.10 corporate bonds not already reported aboveArticle 509(3)(c) of CRR
820 4.11 funds based on the assets reported in 4.5 -4.10Article 509(3)(c) of CRR
830-850 4.12 other categories of central bank eligible securities or loansArticle 509(3)(b) of CRR
8304.12.1local government bondsArticle 509(3)(b) of CRR
8404.12.2commercial paperArticle 509(3)(b) of CRR
8504.12.3credit claimsArticle 416(4)(c) of CRR
860-870 5 TREATMENT FOR JURISDICTIONS WITH INSUFFICIENT HQLAArticle 419(2)(a) of CRR
860 5,1 Use of derogation A (foreign currency)Article 419(2)(a) of CRR
870 5,2 Use of derogation B (credit line from the relevant central bank)Article 419(2)(b) of CRR
880-900 6 REPORTING OF SHAR'IAH COMPLIANT ASSETS AS ALTERNATIVE ASSETS UNDER 509(2)(i). Shar'iah -compliant financial products as alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banksArticle 509(2)(i) of CRR
8806.1credit quality step 1
8906.2credit quality step 2
9006.3credit quality step 3