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Commission Implementing Regulation (EU) 2016/322Show full title
Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Text with EEA relevance)
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ANNEX IU.K.
“ANNEX XXII REPORTING ON LIQUIDITY
| LIQUIDITY TEMPLATES | ||
|---|---|---|
| Template number | Template code | Name of the template/group of templates |
| LIQUIDITY COVERAGE TEMPLATES | ||
| PART I — LIQUID ASSETS | ||
| 72 | C 72.00 | LIQUIDITY COVERAGE — LIQUID ASSETS |
| PART II — OUTFLOWS | ||
| 73 | C 73.00 | LIQUIDITY COVERAGE — OUTFLOWS |
| PART III — INFLOWS | ||
| 74 | C 74.00 | LIQUIDITY COVERAGE — INFLOWS |
| PART IV — COLLATERAL SWAPS | ||
| 75 | C 75.00 | LIQUIDITY COVERAGE — COLLATERAL SWAPS |
| PART V — CALCULATIONS | ||
| 76 | C 76.00 | LIQUIDITY COVERAGE — CALCULATIONS |
C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
Currency
| Row | ID | Item | Amount/Market value | Standard weight | Applicable weight | Value according to Article 9 |
|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | |||
| 010 | 1 | TOTAL UNADJUSTED LIQUID ASSETS | ||||
| 020 | 1.1 | Total unadjusted level 1 assets | ||||
| 030 | 1.1.1 | Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds | ||||
| 040 | 1.1.1.1 | Coins and banknotes | 1,00 | |||
| 050 | 1.1.1.2 | Withdrawable central bank reserves | 1,00 | |||
| 060 | 1.1.1.3 | Central bank assets | 1,00 | |||
| 070 | 1.1.1.4 | Central government assets | 1,00 | |||
| 080 | 1.1.1.5 | Regional government/local authorities assets | 1,00 | |||
| 090 | 1.1.1.6 | Public Sector Entity assets | 1,00 | |||
| 100 | 1.1.1.7 | Recognisable domestic and foreign currency central government and central bank assets | 1,00 | |||
| 110 | 1.1.1.8 | Credit institution (protected by Member State government, promotional lender) assets | 1,00 | |||
| 120 | 1.1.1.9 | Multilateral development bank and international organisations assets | 1,00 | |||
| 130 | 1.1.1.10 | Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure | 1,00 | |||
| 140 | 1.1.1.11 | Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds | 0,95 | |||
| 150 | 1.1.1.12 | Alternative Liquidity Approaches: Central bank credit facility | 1,00 | |||
| 160 | 1.1.1.13 | Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution | ||||
| 170 | 1.1.1.14 | Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1 | 0,80 | |||
| 180 | 1.1.2 | Total unadjusted LEVEL 1 extremely high quality covered bonds | ||||
| 190 | 1.1.2.1 | Extremely high quality covered bonds | 0,93 | |||
| 200 | 1.1.2.2 | Qualifying CIU shares/units: underlying is extremely high quality covered bonds | 0,88 | |||
| 210 | 1.1.2.3 | Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution | ||||
| 220 | 1.2 | Total unadjusted level 2 assets | ||||
| 230 | 1.2.1 | Total unadjusted LEVEL 2A assets | ||||
| 240 | 1.2.1.1 | Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %) | 0,85 | |||
| 250 | 1.2.1.2 | Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %) | 0,85 | |||
| 260 | 1.2.1.3 | High quality covered bonds (CQS2) | 0,85 | |||
| 270 | 1.2.1.4 | High quality covered bonds (Third Country, CQS1) | 0,85 | |||
| 280 | 1.2.1.5 | Corporate debt securities (CQS1) | 0,85 | |||
| 290 | 1.2.1.6 | Qualifying CIU shares/units: underlying is Level 2A assets | 0,80 | |||
| 300 | 1.2.1.7 | Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution | ||||
| 310 | 1.2.2 | Total unadjusted LEVEL 2B assets | ||||
| 320 | 1.2.2.1 | Asset-backed securities (residential, CQS1) | 0,75 | |||
| 330 | 1.2.2.2 | Asset-backed securities (auto, CQS1) | 0,75 | |||
| 340 | 1.2.2.3 | High quality covered bonds (RW35 %) | 0,70 | |||
| 350 | 1.2.2.4 | Asset-backed securities (commercial or individuals, Member State, CQS1) | 0,65 | |||
| 360 | 1.2.2.5 | Corporate debt securities (CQS2/3) | 0,50 | |||
| 370 | 1.2.2.6 | Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) | 0,50 | |||
| 380 | 1.2.2.7 | Shares (major stock index) | 0,50 | |||
| 390 | 1.2.2.8 | Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) | 0,50 | |||
| 400 | 1.2.2.9 | Restricted-use central bank committed liquidity facilities | 1,00 | |||
| 410 | 1.2.2.10 | Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) | 0,70 | |||
| 420 | 1.2.2.11 | Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) | 0,65 | |||
| 430 | 1.2.2.12 | Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) | 0,60 | |||
| 440 | 1.2.2.13 | Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) | 0,45 | |||
| 450 | 1.2.2.14 | Deposits by network member with central institution (no obligated investment) | 0,75 | |||
| 460 | 1.2.2.15 | Liquidity funding available to network member from central institution (non-specified collateralisation) | 0,75 | |||
| 470 | 1.2.2.16 | Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution | ||||
| MEMORANDUM ITEMS | ||||||
| 480 | 2 | Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons | ||||
| 490 | 3 | Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB) | ||||
| 500 | 4 | Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets) | ||||
| 510 | 5 | Deposits by network member with central institution (obligated investment in Level 2A assets) | ||||
| 520 | 6 | Deposits by network member with central institution (obligated investment in Level 2B assets) | ||||
| 530 | 7 | Adjustments made to assets due to net liquidity outflows from early close-out of hedges | ||||
| 540 | 8 | Adjustments made to assets due to net liquidity inflows from early close-out of hedges | ||||
| 550 | 9 | Member State-sponsored guaranteed bank assets subject to grandfathering | ||||
| 560 | 10 | Member State-sponsored impaired asset management agencies subject to transitional provision | ||||
| 570 | 11 | Securitisations backed by residential loans subject to transitional provision | ||||
| 580 | 12 | Level 1/2A/2B assets excluded due to currency reasons | ||||
| 590 | 13 | Level 1/2A/2B assets excluded for operational reasons except for currency reasons | ||||
| 600 | 14 | Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) | ||||
| 610 | 15 | Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) | ||||
C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS
Currency
| Amount | Market value of collateral extended | Value of collateral extended according to Article 9 | Standard Weight | Applicable Weight | Outflow | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 010 | 1 | OUTFLOWS | ||||||
| 020 | 1.1 | Outflows from unsecured transactions/deposits | ||||||
| 030 | 1.1.1 | Retail deposits | ||||||
| 040 | 1.1.1.1 | deposits where the payout has been agreed within the following 30 days | 1,00 | |||||
| 050 | 1.1.1.2 | deposits subject to higher outflows | ||||||
| 060 | 1.1.1.2.1 | category 1 | 0,10-0,15 | |||||
| 070 | 1.1.1.2.2 | category 2 | 0,15-0,20 | |||||
| 080 | 1.1.1.3 | stable deposits | 0,05 | |||||
| 090 | 1.1.1.4 | derogated stable deposits | 0,03 | |||||
| 100 | 1.1.1.5 | deposits in third countries where a higher outflow is applied | ||||||
| 110 | 1.1.1.6 | other retail deposits | 0,10 | |||||
| 120 | 1.1.2 | Operational deposits | ||||||
| 130 | 1.1.2.1 | maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | ||||||
| 140 | 1.1.2.1.1 | covered by DGS | 0,05 | |||||
| 150 | 1.1.2.1.2 | not covered by DGS | 0,25 | |||||
| 160 | 1.1.2.2 | maintained in the context of IPS or a cooperative network | ||||||
| 170 | 1.1.2.2.1 | not treated as liquid assets for the depositing institution | 0,25 | |||||
| 180 | 1.1.2.2.2 | treated as liquid assets for the depositing credit institution | 1,00 | |||||
| 190 | 1.1.2.3 | maintained in the context of an established operational relationship (other) with non-financial customers | 0,25 | |||||
| 200 | 1.1.2.4 | maintained to obtain cash clearing and central credit institution services within a network | 0,25 | |||||
| 210 | 1.1.3 | Non-operational deposits | ||||||
| 220 | 1.1.3.1 | correspondent banking and provisions of prime brokerage deposits | 1,00 | |||||
| 230 | 1.1.3.2 | deposits by-financial customers | 1,00 | |||||
| 240 | 1.1.3.3 | deposits by other customers | ||||||
| 250 | 1.1.3.3.1 | covered by DGS | 0,20 | |||||
| 260 | 1.1.3.3.2 | not covered by DGS | 0,40 | |||||
| 270 | 1.1.4 | Additional outflows | ||||||
| 280 | 1.1.4.1 | collateral other than Level 1 assets collateral posted for derivatives | 0,20 | |||||
| 290 | 1.1.4.2 | Level 1 EHQ Covered Bonds assets collateral posted for derivatives | 0,10 | |||||
| 300 | 1.1.4.3 | material outflows due to deterioration of own credit quality | 1,00 | |||||
| 310 | 1.1.4.4 | impact of an adverse market scenario on derivatives, financing transactions and other contracts | ||||||
| 320 | 1.1.4.4.1 | hlba approach | 1,00 | |||||
| 330 | 1.1.4.4.2 | amao approach | 1,00 | |||||
| 340 | 1.1.4.5 | outflows from derivatives | 1,00 | |||||
| 350 | 1.1.4.6 | short positions | ||||||
| 360 | 1.1.4.6.1 | covered by collateralized SFT | 0,00 | |||||
| 370 | 1.1.4.6.2 | other | 1,00 | |||||
| 380 | 1.1.4.7 | callable excess collateral | 1,00 | |||||
| 390 | 1.1.4.8 | due collateral | 1,00 | |||||
| 400 | 1.1.4.9 | liquid asset collateral exchangable for non-liquid asset collateral | 1,00 | |||||
| 410 | 1.1.4.10 | loss of funding on structured financing activites | ||||||
| 420 | 1.1.4.10.1 | structured financing instruments | 1,00 | |||||
| 430 | 1.1.4.10.2 | financing facilites | 1,00 | |||||
| 440 | 1.1.4.11 | assets borrowed on an unsecured basis | 1,00 | |||||
| 450 | 1.1.4.12 | internal netting of client's positions | 0,50 | |||||
| 460 | 1.1.5 | Committed facilities | ||||||
| 470 | 1.1.5.1 | credit facilities | ||||||
| 480 | 1.1.5.1.1 | to retail customers | 0,05 | |||||
| 490 | 1.1.5.1.2 | to non-financial customers other than retail customers | 0,10 | |||||
| 500 | 1.1.5.1.3 | to credit institutions | ||||||
| 510 | 1.1.5.1.3.1 | for funding promotional loans of retail customers | 0,05 | |||||
| 520 | 1.1.5.1.3.2 | for funding promotional loans of non-financial customers | 0,10 | |||||
| 530 | 1.1.5.1.3.3 | other | 0,40 | |||||
| 540 | 1.1.5.1.4 | to regulated financial institutions other than credit institutions | 0,40 | |||||
| 550 | 1.1.5.1.5 | within a group or an IPS if subject to preferential treatment | ||||||
| 560 | 1.1.5.1.6 | within IPS or cooperative network if treated as liquid asset by the depositing institution | 0,75 | |||||
| 570 | 1.1.5.1.7 | to other financial customers | 1,00 | |||||
| 580 | 1.1.5.2 | liquidity facilities | ||||||
| 590 | 1.1.5.2.1 | to retail customers | 0,05 | |||||
| 600 | 1.1.5.2.2 | to non-financial customers other than retail customers | 0,30 | |||||
| 610 | 1.1.5.2.3 | to personal investment companies | 0,40 | |||||
| 620 | 1.1.5.2.4 | to SSPEs | ||||||
| 630 | 1.1.5.2.4.1 | to purchase assets other than securities from non-financial customers | 0,10 | |||||
| 640 | 1.1.5.2.4.2 | other | 1,00 | |||||
| 650 | 1.1.5.2.5 | to credit institutions | ||||||
| 660 | 1.1.5.2.5.1 | for funding promotional loans of retail customers | 0,05 | |||||
| 670 | 1.1.5.2.5.2 | for funding promotional loans of non-financial customers | 0,30 | |||||
| 680 | 1.1.5.2.5.3 | other | 0,40 | |||||
| 690 | 1.1.5.2.6 | within a group or an IPS if subject to preferential treatment | ||||||
| 700 | 1.1.5.2.7 | within IPS or cooperative network if treated as liquid asset by the depositing institution | 0,75 | |||||
| 710 | 1.1.5.2.8 | to other financial customers | 1,00 | |||||
| 720 | 1.1.6 | Other products and services | ||||||
| 730 | 1.1.6.1 | other off-balance sheet and contingent funding obligations | ||||||
| 740 | 1.1.6.2 | undrawn loans and advances to wholesale counterparties | ||||||
| 750 | 1.1.6.3 | mortgages that have been agreed but not yet drawn down | ||||||
| 760 | 1.1.6.4 | credit cards | ||||||
| 770 | 1.1.6.5 | overdrafts | ||||||
| 780 | 1.1.6.6 | planned outflows related to renewal or extension of new retail or wholesale loans | ||||||
| 790 | 1.1.6.6.1 | the excess of funding to non-financial customers | ||||||
| 800 | 1.1.6.6.1.1 | the excess of funding to retail customers | ||||||
| 810 | 1.1.6.6.1.2 | the excess of funding to non financial corporates | ||||||
| 820 | 1.1.6.6.1.3 | the excess of funding to sovereigns, MLDBs and PSEs | ||||||
| 830 | 1.1.6.6.1.4 | the excess of funding to other legal entities | ||||||
| 840 | 1.1.6.6.2 | other | ||||||
| 850 | 1.1.6.7 | planned derivatives payables | ||||||
| 860 | 1.1.6.8 | trade finance off-balance sheet related products | ||||||
| 870 | 1.1.6.9 | others | ||||||
| 880 | 1.1.7 | Other liabilities | ||||||
| 890 | 1.1.7.1 | liabilities resulting from-operating expenses | 0,00 | |||||
| 900 | 1.1.7.2 | in the form of debt securities if not treated as retail deposits | 1,00 | |||||
| 910 | 1.1.7.3 | others | 1,00 | |||||
| 920 | 1.2 | Outflows from secured lending and capital market-driven transactions | ||||||
| 930 | 1.2.1 | Counterparty is central bank | ||||||
| 940 | 1.2.1.1 | level 1 excl. EHQ Covered Bonds collateral | 0,00 | |||||
| 950 | 1.2.1.2 | level 1 EHQ Covered Bonds collateral | 0,00 | |||||
| 960 | 1.2.1.3 | level 2A collateral | 0,00 | |||||
| 970 | 1.2.1.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | 0,00 | |||||
| 980 | 1.2.1.5 | level 2B covered bonds | 0,00 | |||||
| 990 | 1.2.1.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | 0,00 | |||||
| 1000 | 1.2.1.7 | other Level 2B assets collateral | 0,00 | |||||
| 1010 | 1.2.1.8 | non-liquid assets collateral | 0,00 | |||||
| 1020 | 1.2.2 | Counterparty is non-central bank | ||||||
| 1030 | 1.2.2.1 | level 1 excl. EHQ Covered Bonds collateral | 0,00 | |||||
| 1040 | 1.2.2.2 | level 1 EHQ Covered Bonds collateral | 0,07 | |||||
| 1050 | 1.2.2.3 | level 2A collateral | 0,15 | |||||
| 1060 | 1.2.2.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | 0,25 | |||||
| 1070 | 1.2.2.5 | level 2B covered bonds | 0,30 | |||||
| 1080 | 1.2.2.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | 0,35 | |||||
| 1090 | 1.2.2.7 | other Level 2B assets collateral | 0,50 | |||||
| 1100 | 1.2.2.8 | non-liquid assets collateral | ||||||
| 1110 | 1.2.2.8.1 | counterparty is central govt, PSE<=RW20 %, MDB | 0,25 | |||||
| 1120 | 1.2.2.8.2 | other counterparty | 1,00 | |||||
| 1130 | 1.3 | Total outflows from collateral swaps | ||||||
| MEMORANDUM ITEMS | ||||||||
| 1140 | 2 | Retail bonds with a residual maturity of less than 30 days | ||||||
| 1150 | 3 | Retail deposits exempted from the calculation of outflows | ||||||
| 1160 | 4 | Not assessed retail deposits | ||||||
| 1170 | 5 | Liquidity outflows to be netted by interdependent inflows | ||||||
| 6 | Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | |||||||
| 1180 | 6.1 | provided by credit institutions | ||||||
| 1190 | 6.2 | provided by financial customers other than credit institutions | ||||||
| 1200 | 6.3 | provided by sovereigns, central banks, MDBs and PSEs | ||||||
| 1210 | 6.4 | provided by other customers | ||||||
| 7 | Non-operational deposits maintained by financial customers and other customers | |||||||
| 1220 | 7.1 | provided by credit institutions | ||||||
| 1230 | 7.2 | provided by financial customers other than credit institutions | ||||||
| 1240 | 7.3 | provided by sovereigns, central banks, MDBs and PSEs | ||||||
| 1250 | 7.4 | provided by other customers | ||||||
| 1260 | 8 | Funding commitments to non-financial customers | ||||||
| 1270 | 9 | Level 1 excl. EHQ covered bonds collateral posted for derivatives | ||||||
| 1280 | 10 | SFTS monitoring | ||||||
| 11 | Intra group or IPS outflows | |||||||
| 1290 | 11.1 | of which: to financial customers | ||||||
| 1300 | 11.2 | of which: to non-financial customers | ||||||
| 1310 | 11.3 | of which: secured | ||||||
| 1320 | 11.4 | of which: credit facilities without preferential treatment | ||||||
| 1330 | 11.5 | of which: liquidity facilites without preferential treatment | ||||||
| 1340 | 11.6 | of which: operational deposits | ||||||
| 1350 | 11.7 | of which: non-operational deposits | ||||||
| 1360 | 11.8 | of which: liabilities in the form of debt securities if not treated as retail deposits | ||||||
| 1370 | 12 | FX outflows | ||||||
| 1380 | 13 | Third countries outflows — transfer restrictions or non-convertible currencies | ||||||
| 1390 | 14 | Additional balances required to be installed in central bank reserves | ||||||
C 74.00 — LIQUIDITY COVERAGE — INFLOWS
Currency
| Amount | Market value of collateral received | ||||||
|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 010 | 1 | TOTAL INFLOWS | |||||
| 020 | 1.1 | Inflows from unsecured transactions/deposits | |||||
| 030 | 1.1.1 | monies due from non-financial customers (except for central banks) | |||||
| 040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | |||||
| 050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | |||||
| 060 | 1.1.1.2.1 | monies due from retail customers | |||||
| 070 | 1.1.1.2.2 | monies due from non-financial corporates | |||||
| 080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | |||||
| 090 | 1.1.1.2.4 | monies due from other legal entities | |||||
| Standard Weight | Applicable Weight | ||||||
|---|---|---|---|---|---|---|---|
| Exempted from the cap on inflows | |||||||
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||||
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 010 | 1 | TOTAL INFLOWS | |||||
| 020 | 1.1 | Inflows from unsecured transactions/deposits | |||||
| 030 | 1.1.1 | monies due from non-financial customers (except for central banks) | |||||
| 040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | 1,00 | ||||
| 050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | |||||
| 060 | 1.1.1.2.1 | monies due from retail customers | 0,50 | ||||
| 070 | 1.1.1.2.2 | monies due from non-financial corporates | 0,50 | ||||
| 080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | 0,50 | ||||
| 090 | 1.1.1.2.4 | monies due from other legal entities | 0,50 | ||||
| Value of collateral received according to Article 9 | Inflow | |||||||
|---|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 010 | 1 | TOTAL INFLOWS | ||||||
| 020 | 1.1 | Inflows from unsecured transactions/deposits | ||||||
| 030 | 1.1.1 | monies due from non-financial customers (except for central banks) | ||||||
| 040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | ||||||
| 050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | ||||||
| 060 | 1.1.1.2.1 | monies due from retail customers | ||||||
| 070 | 1.1.1.2.2 | monies due from non-financial corporates | ||||||
| 080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | ||||||
| 090 | 1.1.1.2.4 | monies due from other legal entities | ||||||
| Amount | Market value of collateral received | ||||||
|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 100 | 1.1.2 | monies due from central banks and financial customers | |||||
| 110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | |||||
| 120 | 1.1.2.1.1 | monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate | |||||
| 130 | 1.1.2.1.2 | monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate | |||||
| 140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | |||||
| 150 | 1.1.2.2.1 | monies due from central banks | |||||
| 160 | 1.1.2.2.2 | monies due from financial customers | |||||
| 170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 | |||||
| Standard Weight | Applicable Weight | ||||||
|---|---|---|---|---|---|---|---|
| Exempted from the cap on inflows | |||||||
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||||
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 100 | 1.1.2 | monies due from central banks and financial customers | |||||
| 110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | |||||
| 120 | 1.1.2.1.1 | monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate | |||||
| 130 | 1.1.2.1.2 | monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate | 0,05 | ||||
| 140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | |||||
| 150 | 1.1.2.2.1 | monies due from central banks | 1,00 | ||||
| 160 | 1.1.2.2.2 | monies due from financial customers | 1,00 | ||||
| 170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 | 1,00 | ||||
| Value of collateral received according to Article 9 | Inflow | |||||||
|---|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 100 | 1.1.2 | monies due from central banks and financial customers | ||||||
| 110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | ||||||
| 120 | 1.1.2.1.1 | monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate | ||||||
| 130 | 1.1.2.1.2 | monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate | ||||||
| 140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | ||||||
| 150 | 1.1.2.2.1 | monies due from central banks | ||||||
| 160 | 1.1.2.2.2 | monies due from financial customers | ||||||
| 170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 | ||||||
| Amount | Market value of collateral received | ||||||
|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 180 | 1.1.4 | monies due from trade financing transactions | |||||
| 190 | 1.1.5 | monies due from securities maturing within 30 days | |||||
| 200 | 1.1.6 | assets with an undefined contractual end date | |||||
| 210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | |||||
| 220 | 1.1.8 | inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets | |||||
| 230 | 1.1.9 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | |||||
| 240 | 1.1.10 | inflows from derivatives | |||||
| 250 | 1.1.11 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | |||||
| 260 | 1.1.12 | other inflows | |||||
| Standard Weight | Applicable Weight | ||||||
|---|---|---|---|---|---|---|---|
| Exempted from the cap on inflows | |||||||
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||||
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 180 | 1.1.4 | monies due from trade financing transactions | 1,00 | ||||
| 190 | 1.1.5 | monies due from securities maturing within 30 days | 1,00 | ||||
| 200 | 1.1.6 | assets with an undefined contractual end date | 0,20 | ||||
| 210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | 1,00 | ||||
| 220 | 1.1.8 | inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets | 1,00 | ||||
| 230 | 1.1.9 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | 1,00 | ||||
| 240 | 1.1.10 | inflows from derivatives | 1,00 | ||||
| 250 | 1.1.11 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | |||||
| 260 | 1.1.12 | other inflows | 1,00 | ||||
| Value of collateral received according to Article 9 | Inflow | |||||||
|---|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 180 | 1.1.4 | monies due from trade financing transactions | ||||||
| 190 | 1.1.5 | monies due from securities maturing within 30 days | ||||||
| 200 | 1.1.6 | assets with an undefined contractual end date | ||||||
| 210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | ||||||
| 220 | 1.1.8 | inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets | ||||||
| 230 | 1.1.9 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | ||||||
| 240 | 1.1.10 | inflows from derivatives | ||||||
| 250 | 1.1.11 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | ||||||
| 260 | 1.1.12 | other inflows | ||||||
| Amount | Market value of collateral received | ||||||
|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 270 | 1.2 | Inflows from secured lending and capital market-driven transactions | |||||
| 280 | 1.2.1 | collateral that qualifies as a liquid asset | |||||
| 290 | 1.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | |||||
| 300 | 1.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | |||||
| 310 | 1.2.1.3 | Level 2A collateral | |||||
| 320 | 1.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | |||||
| 330 | 1.2.1.5 | Level 2B high quality covered bonds collateral | |||||
| 340 | 1.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | |||||
| 350 | 1.2.1.7 | Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 | |||||
| 360 | 1.2.2 | collateral is used to cover a short position | |||||
| 370 | 1.2.3 | collateral that does not qualify as a liquid asset | |||||
| Standard Weight | Applicable Weight | ||||||
|---|---|---|---|---|---|---|---|
| Exempted from the cap on inflows | |||||||
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||||
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 270 | 1.2 | Inflows from secured lending and capital market-driven transactions | |||||
| 280 | 1.2.1 | collateral that qualifies as a liquid asset | |||||
| 290 | 1.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | 1,00 | ||||
| 300 | 1.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | 0,93 | ||||
| 310 | 1.2.1.3 | Level 2A collateral | 0,85 | ||||
| 320 | 1.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | 0,75 | ||||
| 330 | 1.2.1.5 | Level 2B high quality covered bonds collateral | 0,70 | ||||
| 340 | 1.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | 0,65 | ||||
| 350 | 1.2.1.7 | Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 | 0,50 | ||||
| 360 | 1.2.2 | collateral is used to cover a short position | |||||
| 370 | 1.2.3 | collateral that does not qualify as a liquid asset | |||||
| Value of collateral received according to Article 9 | Inflow | |||||||
|---|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 270 | 1.2 | Inflows from secured lending and capital market-driven transactions | ||||||
| 280 | 1.2.1 | collateral that qualifies as a liquid asset | ||||||
| 290 | 1.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | ||||||
| 300 | 1.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | ||||||
| 310 | 1.2.1.3 | Level 2A collateral | ||||||
| 320 | 1.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | ||||||
| 330 | 1.2.1.5 | Level 2B high quality covered bonds collateral | ||||||
| 340 | 1.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | ||||||
| 350 | 1.2.1.7 | Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 | ||||||
| 360 | 1.2.2 | collateral is used to cover a short position | ||||||
| 370 | 1.2.3 | collateral that does not qualify as a liquid asset | ||||||
| Amount | Market value of collateral received | ||||||
|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 380 | 1.2.3.1 | margin loans: collateral is non-liquid | |||||
| 390 | 1.2.3.2 | collateral is non-liquid equity | |||||
| 400 | 1.2.3.3 | all other non-liquid collateral | |||||
| 410 | 1.3 | Total inflows from collateral swaps | |||||
| 420 | 1.4 | (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | |||||
| 430 | 1.5 | (Excess inflows from a related specialised credit institution) | |||||
| MEMORANDUM ITEMS | |||||||
| 440 | 2 | Interdependent inflows | |||||
| 450 | 3 | FX inflows | |||||
| 460 | 4 | Inflows within a group or an institutional protection scheme | |||||
| 470 | 4.1 | Monies due from non-financial customers (except for central banks) | |||||
| Standard Weight | Applicable Weight | ||||||
|---|---|---|---|---|---|---|---|
| Exempted from the cap on inflows | |||||||
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||||
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 380 | 1.2.3.1 | margin loans: collateral is non-liquid | 0,50 | ||||
| 390 | 1.2.3.2 | collateral is non-liquid equity | 1,00 | ||||
| 400 | 1.2.3.3 | all other non-liquid collateral | 1,00 | ||||
| 410 | 1.3 | Total inflows from collateral swaps | |||||
| 420 | 1.4 | (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | |||||
| 430 | 1.5 | (Excess inflows from a related specialised credit institution) | |||||
| MEMORANDUM ITEMS | |||||||
| 440 | 2 | Interdependent inflows | |||||
| 450 | 3 | FX inflows | |||||
| 460 | 4 | Inflows within a group or an institutional protection scheme | |||||
| 470 | 4.1 | Monies due from non-financial customers (except for central banks) | |||||
| Value of collateral received according to Article 9 | Inflow | |||||||
|---|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 380 | 1.2.3.1 | margin loans: collateral is non-liquid | ||||||
| 390 | 1.2.3.2 | collateral is non-liquid equity | ||||||
| 400 | 1.2.3.3 | all other non-liquid collateral | ||||||
| 410 | 1.3 | Total inflows from collateral swaps | ||||||
| 420 | 1.4 | (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | ||||||
| 430 | 1.5 | (Excess inflows from a related specialised credit institution) | ||||||
| MEMORANDUM ITEMS | ||||||||
| 440 | 2 | Interdependent inflows | ||||||
| 450 | 3 | FX inflows | ||||||
| 460 | 4 | Inflows within a group or an institutional protection scheme | ||||||
| 470 | 4.1 | Monies due from non-financial customers (except for central banks) | ||||||
| Amount | Market value of collateral received | ||||||
|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 480 | 4.2 | Monies due from financial customers | |||||
| 490 | 4.3 | Secured transactions | |||||
| 500 | 4.4 | Monies due from maturing securities within 30 days | |||||
| 510 | 4.5 | Any other inflows within a group or an institutional protection scheme | |||||
| 520 | 4.6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate | |||||
| Standard Weight | Applicable Weight | ||||||
|---|---|---|---|---|---|---|---|
| Exempted from the cap on inflows | |||||||
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||||
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 480 | 4.2 | Monies due from financial customers | |||||
| 490 | 4.3 | Secured transactions | |||||
| 500 | 4.4 | Monies due from maturing securities within 30 days | |||||
| 510 | 4.5 | Any other inflows within a group or an institutional protection scheme | |||||
| 520 | 4.6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate | |||||
| Value of collateral received according to Article 9 | Inflow | |||||||
|---|---|---|---|---|---|---|---|---|
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 480 | 4.2 | Monies due from financial customers | ||||||
| 490 | 4.3 | Secured transactions | ||||||
| 500 | 4.4 | Monies due from maturing securities within 30 days | ||||||
| 510 | 4.5 | Any other inflows within a group or an institutional protection scheme | ||||||
| 520 | 4.6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate | ||||||
C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
Currency
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 010 | 1 | TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES | ||||||
| 020 | 1.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | ||||||
| 030 | 1.1.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 040 | 1.1.2 | Level 1: extremely high quality covered bonds | ||||||
| 050 | 1.1.3 | Level 2A assets | ||||||
| 060 | 1.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 070 | 1.1.5 | Level 2B: high quality covered bonds | ||||||
| 080 | 1.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 090 | 1.1.7 | Other Level 2B | ||||||
| 100 | 1.1.8 | Non-liquid assets | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 010 | 1 | TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES | ||||||
| 020 | 1.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | ||||||
| 030 | 1.1.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 040 | 1.1.2 | Level 1: extremely high quality covered bonds | ||||||
| 050 | 1.1.3 | Level 2A assets | ||||||
| 060 | 1.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 070 | 1.1.5 | Level 2B: high quality covered bonds | ||||||
| 080 | 1.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 090 | 1.1.7 | Other Level 2B | ||||||
| 100 | 1.1.8 | Non-liquid assets | ||||||
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 110 | 1.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | ||||||
| 120 | 1.2.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 130 | 1.2.2 | Level 1: extremely high quality covered bonds | ||||||
| 140 | 1.2.3 | Level 2A assets | ||||||
| 150 | 1.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 160 | 1.2.5 | Level 2B: high quality covered bonds | ||||||
| 170 | 1.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 180 | 1.2.7 | Other Level 2B | ||||||
| 190 | 1.2.8 | Non-liquid assets | ||||||
| 200 | 1.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | ||||||
| 210 | 1.3.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 220 | 1.3.2 | Level 1: extremely high quality covered bonds | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 110 | 1.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | ||||||
| 120 | 1.2.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 130 | 1.2.2 | Level 1: extremely high quality covered bonds | ||||||
| 140 | 1.2.3 | Level 2A assets | ||||||
| 150 | 1.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 160 | 1.2.5 | Level 2B: high quality covered bonds | ||||||
| 170 | 1.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 180 | 1.2.7 | Other Level 2B | ||||||
| 190 | 1.2.8 | Non-liquid assets | ||||||
| 200 | 1.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | ||||||
| 210 | 1.3.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 220 | 1.3.2 | Level 1: extremely high quality covered bonds | ||||||
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 230 | 1.3.3 | Level 2A assets | ||||||
| 240 | 1.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 250 | 1.3.5 | Level 2B: high quality covered bonds | ||||||
| 260 | 1.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 270 | 1.3.7 | Other Level 2B | ||||||
| 280 | 1.3.8 | Non-liquid assets | ||||||
| 290 | 1.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | ||||||
| 300 | 1.4.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 310 | 1.4.2 | Level 1: extremely high quality covered bonds | ||||||
| 320 | 1.4.3 | Level 2A assets | ||||||
| 330 | 1.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 340 | 1.4.5 | Level 2B: high quality covered bonds | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 230 | 1.3.3 | Level 2A assets | ||||||
| 240 | 1.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 250 | 1.3.5 | Level 2B: high quality covered bonds | ||||||
| 260 | 1.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 270 | 1.3.7 | Other Level 2B | ||||||
| 280 | 1.3.8 | Non-liquid assets | ||||||
| 290 | 1.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | ||||||
| 300 | 1.4.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 310 | 1.4.2 | Level 1: extremely high quality covered bonds | ||||||
| 320 | 1.4.3 | Level 2A assets | ||||||
| 330 | 1.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 340 | 1.4.5 | Level 2B: high quality covered bonds | ||||||
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 350 | 1.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 360 | 1.4.7 | Other Level 2B | ||||||
| 370 | 1.4.8 | Non-liquid assets | ||||||
| 380 | 1.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | ||||||
| 390 | 1.5.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 400 | 1.5.2 | Level 1: extremely high quality covered bonds | ||||||
| 410 | 1.5.3 | Level 2A assets | ||||||
| 420 | 1.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 430 | 1.5.5 | Level 2B: high quality covered bonds | ||||||
| 440 | 1.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 450 | 1.5.7 | Other Level 2B | ||||||
| 460 | 1.5.8 | Non-liquid assets | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 350 | 1.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 360 | 1.4.7 | Other Level 2B | ||||||
| 370 | 1.4.8 | Non-liquid assets | ||||||
| 380 | 1.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | ||||||
| 390 | 1.5.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 400 | 1.5.2 | Level 1: extremely high quality covered bonds | ||||||
| 410 | 1.5.3 | Level 2A assets | ||||||
| 420 | 1.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 430 | 1.5.5 | Level 2B: high quality covered bonds | ||||||
| 440 | 1.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 450 | 1.5.7 | Other Level 2B | ||||||
| 460 | 1.5.8 | Non-liquid assets | ||||||
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 470 | 1.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | ||||||
| 480 | 1.6.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 490 | 1.6.2 | Level 1: extremely high quality covered bonds | ||||||
| 500 | 1.6.3 | Level 2A assets | ||||||
| 510 | 1.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 520 | 1.6.5 | Level 2B: high quality covered bonds | ||||||
| 530 | 1.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 540 | 1.6.7 | Other Level 2B | ||||||
| 550 | 1.6.8 | Non-liquid assets | ||||||
| 560 | 1.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | ||||||
| 570 | 1.7.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 470 | 1.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | ||||||
| 480 | 1.6.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 490 | 1.6.2 | Level 1: extremely high quality covered bonds | ||||||
| 500 | 1.6.3 | Level 2A assets | ||||||
| 510 | 1.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 520 | 1.6.5 | Level 2B: high quality covered bonds | ||||||
| 530 | 1.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 540 | 1.6.7 | Other Level 2B | ||||||
| 550 | 1.6.8 | Non-liquid assets | ||||||
| 560 | 1.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | ||||||
| 570 | 1.7.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 580 | 1.7.2 | Level 1: extremely high quality covered bonds | ||||||
| 590 | 1.7.3 | Level 2A assets | ||||||
| 600 | 1.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 610 | 1.7.5 | Level 2B: high quality covered bonds | ||||||
| 620 | 1.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 630 | 1.7.7 | Other Level 2B | ||||||
| 640 | 1.7.8 | Non-liquid assets | ||||||
| 650 | 1.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | ||||||
| 660 | 1.8.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 670 | 1.8.2 | Level 1: extremely high quality covered bonds | ||||||
| 680 | 1.8.3 | Level 2A assets | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 580 | 1.7.2 | Level 1: extremely high quality covered bonds | ||||||
| 590 | 1.7.3 | Level 2A assets | ||||||
| 600 | 1.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 610 | 1.7.5 | Level 2B: high quality covered bonds | ||||||
| 620 | 1.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 630 | 1.7.7 | Other Level 2B | ||||||
| 640 | 1.7.8 | Non-liquid assets | ||||||
| 650 | 1.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | ||||||
| 660 | 1.8.1 | Level 1 assets (excl. EHQ covered bonds) | ||||||
| 670 | 1.8.2 | Level 1: extremely high quality covered bonds | ||||||
| 680 | 1.8.3 | Level 2A assets | ||||||
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 690 | 1.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 700 | 1.8.5 | Level 2B: high quality covered bonds | ||||||
| 710 | 1.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 720 | 1.8.7 | Other Level 2B | ||||||
| 730 | 1.8.8 | Non-liquid assets | ||||||
| MEMORANDUM ITEMS | ||||||||
| 740 | 2 | Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions | ||||||
| 750 | 3 | Total collateral swaps with intragroup counterparties | ||||||
| 760 | 4 | Total collateral swaps with central bank counterparties | ||||||
| Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only | ||||||
|---|---|---|---|---|---|---|---|---|
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | |||||
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 690 | 1.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | ||||||
| 700 | 1.8.5 | Level 2B: high quality covered bonds | ||||||
| 710 | 1.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | ||||||
| 720 | 1.8.7 | Other Level 2B | ||||||
| 730 | 1.8.8 | Non-liquid assets | ||||||
| MEMORANDUM ITEMS | ||||||||
| 740 | 2 | Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions | ||||||
| 750 | 3 | Total collateral swaps with intragroup counterparties | ||||||
| 760 | 4 | Total collateral swaps with central bank counterparties | ||||||
C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS
Currency
| Value/Percentage | |||
|---|---|---|---|
| Row | ID | Item | 010 |
| CALCULATIONS | |||
| Numerator, denominator, ratio | |||
| 010 | 1 | Liquidity buffer | |
| 020 | 2 | Net liquidity outflow | |
| 030 | 3 | Liquidity coverage ratio (%) | |
| Numerator calculations | |||
| 040 | 4 | L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted | |
| 050 | 5 | L1 excl. EHQCB collateral 30 day outflows | |
| 060 | 6 | L1 excl. EHQCB collateral 30 day inflows | |
| 070 | 7 | Secured cash 30 day ouflows | |
| 080 | 8 | Secured cash 30 day inflows | |
| 090 | 9 | L1 excl. EHQCB “adjusted amount before cap application” | |
| 100 | 10 | L1 EHQCB value according to Article 9: unadjusted | |
| 110 | 11 | L1 EHQCB collateral 30 day outflows | |
| 120 | 12 | L1 EHQCB collateral 30 day inflows | |
| 130 | 13 | L1 EHQCB “adjusted amount before cap application” | |
| 140 | 14 | L1 EHQCB “adjusted amount after cap application” | |
| 150 | 15 | L1 EHQCB “excess liquid assets amount” | |
| 160 | 16 | L2A according to Article 9: unadjusted | |
| 170 | 17 | L2A collateral 30 day outflows | |
| 180 | 18 | L2A collateral 30 day inflows | |
| 190 | 19 | L2A “adjusted amount before cap application” | |
| 200 | 20 | L2A “adjusted amount after cap application” | |
| 210 | 21 | L2A “excess liquid assets amount” | |
| 220 | 22 | L2B according to Article 9: unadjusted | |
| 230 | 23 | L2B collateral 30 day outflows | |
| 240 | 24 | L2B collateral 30 day inflows | |
| 250 | 25 | L2B “adjusted amount before cap application” | |
| 260 | 26 | L2B “adjusted amount after cap application” | |
| 270 | 27 | L2B “excess liquid assets amount” | |
| 280 | 28 | Excess liquid asset amount | |
| 290 | 29 | Liquidity buffer | |
| Denominator calculations | |||
| 300 | 30 | Total Outflows | |
| 310 | 31 | Fully Exempt Inflows | |
| 320 | 32 | Inflows Subject to 90 % Cap | |
| 330 | 33 | Inflows Subject to 75 % Cap | |
| 340 | 34 | Reduction for Fully Exempt Inflows | |
| 350 | 35 | Reduction for Inflows Subject to 90 % Cap | |
| 360 | 36 | Reduction for Inflows Subject to 75 % Cap | |
| 370 | 37 | Net liquidity outflow | |
| Pillar 2 | |||
| 380 | 38 | Pillar 2 requirement as set out in Article 105 CRD” | |
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