Commission Implementing Regulation (EU) 2020/429Show full title
Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
ANNEX VIIIU.K.
“ANNEX XXIV REPORTING ON LIQUIDITY
LIQUIDITY TEMPLATES |
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Template number | Template code | Name of the template /group of templates |
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LIQUIDITY COVERAGE TEMPLATES |
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| | 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 75.01 | LIQUIDITY COVERAGE – COLLATERAL SWAPS |
| | PART V – CALCULATIONS |
76 | C 76.00 | LIQUIDITY COVERAGE – CALCULATIONS |
| | PART VI – PERIMETER OF CONSOLIDATION |
77 | C 77.00 | LIQUIDITY COVERAGE – PERIMETER |
C 72.00 – LIQUIDITY COVERAGE – LIQUID ASSETS
Currency
Row | ID | Item | Amount/Market value | Standard weight | Applicable weight | Value in accordance with Article 9 |
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010 | 020 | 030 | 040 |
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010 | 1 | TOTAL UNADJUSTED LIQUID ASSETS | | | | |
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020 | 1.1 | Total unadjusted level 1 assets | | | | |
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030 | 1.1.1 | Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds | | | | |
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040 | 1.1.1.1 | Coins and banknotes | | 1,0 | | |
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050 | 1.1.1.2 | Withdrawable central bank reserves | | 1,0 | | |
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060 | 1.1.1.3 | Central bank assets | | 1,0 | | |
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070 | 1.1.1.4 | Central government assets | | 1,0 | | |
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080 | 1.1.1.5 | Regional government / local authorities assets | | 1,0 | | |
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090 | 1.1.1.6 | Public Sector Entity assets | | 1,0 | | |
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100 | 1.1.1.7 | Recognisable domestic and foreign currency central government and central bank assets | | 1,0 | | |
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110 | 1.1.1.8 | Credit institution (protected by Member State government, promotional lender) assets | | 1,0 | | |
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120 | 1.1.1.9 | Multilateral development bank and international organisations assets | | 1,0 | | |
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130 | 1.1.1.10 | Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure | | 1,0 | | |
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140 | 1.1.1.11 | Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds | | 0,95 | | |
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150 | 1.1.1.12 | Alternative Liquidity Approaches: Central bank credit facility | | 1,0 | | |
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160 | 1.1.1.13 | Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution | | | | |
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170 | 1.1.1.14 | Alternative Liquidity Approaches: Level 2A assets recognised as Level 1 | | 0,8 | | |
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180 | 1.1.2 | Total unadjusted LEVEL 1 extremely high quality covered bonds | | | | |
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190 | 1.1.2.1 | Extremely high quality covered bonds | | 0,93 | | |
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200 | 1.1.2.2 | Qualifying CIU shares/units: underlying is extremely high quality covered bonds | | 0,88 | | |
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210 | 1.1.2.3 | Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution | | | | |
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220 | 1.2 | Total unadjusted level 2 assets | | | | |
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230 | 1.2.1 | Total unadjusted LEVEL 2A assets | | | | |
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240 | 1.2.1.1 | Regional government / local authorities or Public Sector Entity assets (Member State, RW20 %) | | 0,85 | | |
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250 | 1.2.1.2 | Central bank or central / regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %) | | 0,85 | | |
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260 | 1.2.1.3 | High quality covered bonds (CQS2) | | 0,85 | | |
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270 | 1.2.1.4 | High quality covered bonds (Third Country, CQS1) | | 0,85 | | |
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280 | 1.2.1.5 | Corporate debt securities (CQS1) | | 0,85 | | |
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290 | 1.2.1.6 | Qualifying CIU shares/units: underlying is Level 2A assets | | 0,8 | | |
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300 | 1.2.1.7 | Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution | | | | |
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310 | 1.2.2 | Total unadjusted LEVEL 2B assets | | | | |
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320 | 1.2.2.1 | Asset-backed securities (residential, CQS1) | | 0,75 | | |
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330 | 1.2.2.2 | Asset-backed securities (auto, CQS1) | | 0,75 | | |
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340 | 1.2.2.3 | High quality covered bonds (RW35 %) | | 0,7 | | |
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350 | 1.2.2.4 | Asset-backed securities (commercial or individuals, Member State, CQS1) | | 0,65 | | |
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360 | 1.2.2.5 | Corporate debt securities (CQS2/3) | | 0,5 | | |
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370 | 1.2.2.6 | Corporate debt securities – non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) | | 0,5 | | |
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380 | 1.2.2.7 | Shares (major stock index) | | 0,5 | | |
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390 | 1.2.2.8 | Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) | | 0,5 | | |
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400 | 1.2.2.9 | Restricted-use central bank committed liquidity facilities | | 1,0 | | |
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410 | 1.2.2.10 | Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) | | 0,7 | | |
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420 | 1.2.2.11 | Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) | | 0,65 | | |
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430 | 1.2.2.12 | Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) | | 0,6 | | |
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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 | | |
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450 | 1.2.2.14 | Deposits by network member with central institution (no obligated investment) | | 0,75 | | |
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460 | 1.2.2.15 | Liquidity funding available to network member from central institution (non-specified collateralisation) | | 0,75 | | |
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470 | 1.2.2.16 | Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution | | | | |
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MEMORANDUM ITEMS |
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485 | 2 | Deposits by network member with central institution (obligated investment) | | | | |
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580 | 3 | Level 1/2A/2B assets excluded due to currency reasons | | | | |
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590 | 4 | Level 1/2A/2B assets excluded for operational reasons except for currency reasons | | | | |
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C 73.00 – LIQUIDITY COVERAGE – OUTFLOWS
Currency
| Amount | Market value of collateral extended | Value of collateral extended in accordance with Article 9 | Standard Weight | Applicable Weight | Outflow |
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Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
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010 | 1 | OUTFLOWS | | | | | | |
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020 | 1.1 | Outflows from unsecured transactions/deposits | | | | | | |
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030 | 1.1.1 | Retail deposits | | | | | | |
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035 | 1.1.1.1 | deposits exempted from the calculation of outflows | | | | 0,0 | | |
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040 | 1.1.1.2 | deposits where the payout has been agreed within the following 30 days | | | | 1,0 | | |
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050 | 1.1.1.3 | deposits subject to higher outflows | | | | | | |
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060 | 1.1.1.3.1 | category 1 | | | | 0,1-0,15 | | |
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070 | 1.1.1.3.2 | category 2 | | | | 0,15-0,2 | | |
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080 | 1.1.1.4 | stable deposits | | | | 0,05 | | |
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090 | 1.1.1.5 | derogated stable deposits | | | | 0,03 | | |
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100 | 1.1.1.6 | deposits in third countries where a higher outflow is applied | | | | | | |
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110 | 1.1.1.7 | other retail deposits | | | | 0,1 | | |
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120 | 1.1.2 | Operational deposits | | | | | | |
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130 | 1.1.2.1 | maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | | | | | | |
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140 | 1.1.2.1.1 | covered by DGS | | | | 0,05 | | |
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150 | 1.1.2.1.2 | not covered by DGS | | | | 0,25 | | |
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160 | 1.1.2.2 | maintained in the context of IPS or a cooperative network | | | | | | |
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170 | 1.1.2.2.1 | not treated as liquid assets for the depositing institution | | | | 0,25 | | |
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180 | 1.1.2.2.2 | treated as liquid assets for the depositing credit institution | | | | 1,0 | | |
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190 | 1.1.2.3 | maintained in the context of an established operational relationship (other) with non-financial customers | | | | 0,25 | | |
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200 | 1.1.2.4 | maintained to obtain cash clearing and central credit institution services within a network | | | | 0,25 | | |
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203 | 1.1.3 | Excess operational deposits | | | | | | |
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204 | 1.1.3.1 | deposits by financial customers | | | | 1,0 | | |
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205 | 1.1.3.2 | deposits by other customers | | | | | | |
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206 | 1.1.3.2.1 | covered by DGS | | | | 0,2 | | |
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207 | 1.1.3.2.2 | not covered by DGS | | | | 0,4 | | |
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210 | 1.1.4 | Non-operational deposits | | | | | | |
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220 | 1.1.4.1 | correspondent banking and provisions of prime brokerage deposits | | | | 1,0 | | |
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230 | 1.1.4.2 | deposits by financial customers | | | | 1,0 | | |
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240 | 1.1.4.3 | deposits by other customers | | | | | | |
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250 | 1.1.4.3.1 | covered by DGS | | | | 0,2 | | |
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260 | 1.1.4.3.2 | not covered by DGS | | | | 0,4 | | |
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270 | 1.1.5 | Additional outflows | | | | | | |
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280 | 1.1.5.1 | collateral other than Level 1 assets collateral posted for derivatives | | | | 0,2 | | |
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290 | 1.1.5.2 | Level 1 EHQ Covered Bonds assets collateral posted for derivatives | | | | 0,1 | | |
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300 | 1.1.5.3 | material outflows due to deterioration of own credit quality | | | | 1,0 | | |
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310 | 1.1.5.4 | impact of an adverse market scenario on derivatives transactions | | | | 1,0 | | |
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340 | 1.1.5.5 | outflows from derivatives | | | | 1,0 | | |
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350 | 1.1.5.6 | short positions | | | | | | |
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360 | 1.1.5.6.1 | covered by collateralized SFT | | | | 0,0 | | |
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370 | 1.1.5.6.2 | other | | | | 1,0 | | |
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380 | 1.1.5.7 | callable excess collateral | | | | 1,0 | | |
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390 | 1.1.5.8 | due collateral | | | | 1,0 | | |
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400 | 1.1.5.9 | liquid asset collateral exchangable for non-liquid asset collateral | | | | 1,0 | | |
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410 | 1.1.5.10 | loss of funding on structured financing activites | | | | | | |
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420 | 1.1.5.10.1 | structured financing instruments | | | | 1,0 | | |
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430 | 1.1.5.10.2 | financing facilites | | | | 1,0 | | |
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450 | 1.1.5.11 | internal netting of client's positions | | | | 0,5 | | |
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460 | 1.1.6 | Committed facilities | | | | | | |
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470 | 1.1.6.1 | credit facilities | | | | | | |
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480 | 1.1.6.1.1 | to retail customers | | | | 0,05 | | |
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490 | 1.1.6.1.2 | to non-financial customers other than retail customers | | | | 0,1 | | |
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500 | 1.1.6.1.3 | to credit institutions | | | | | | |
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510 | 1.1.6.1.3.1 | for funding promotional loans of retail customers | | | | 0,05 | | |
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520 | 1.1.6.1.3.2 | for funding promotional loans of non-financial customers | | | | 0,1 | | |
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530 | 1.1.6.1.3.3 | other | | | | 0,4 | | |
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540 | 1.1.6.1.4 | to regulated financial institutions other than credit institutions | | | | 0,4 | | |
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550 | 1.1.6.1.5 | within a group or an IPS if subject to preferential treatment | | | | | | |
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560 | 1.1.6.1.6 | within IPS or cooperative network if treated as liquid asset by the depositing institution | | | | 0,75 | | |
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570 | 1.1.6.1.7 | to other financial customers | | | | 1,0 | | |
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580 | 1.1.6.2 | liquidity facilities | | | | | | |
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590 | 1.1.6.2.1 | to retail customers | | | | 0,05 | | |
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600 | 1.1.6.2.2 | to non-financial customers other than retail customers | | | | 0,3 | | |
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610 | 1.1.6.2.3 | to personal investment companies | | | | 0,4 | | |
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620 | 1.1.6.2.4 | to SSPEs | | | | | | |
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630 | 1.1.6.2.4.1 | to purchase assets other than securities from non-financial customers | | | | 0,1 | | |
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640 | 1.1.6.2.4.2 | other | | | | 1,0 | | |
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650 | 1.1.6.2.5 | to credit institutions | | | | | | |
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660 | 1.1.6.2.5.1 | for funding promotional loans of retail customers | | | | 0,05 | | |
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670 | 1.1.6.2.5.2 | for funding promotional loans of non-financial customers | | | | 0,3 | | |
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680 | 1.1.6.2.5.3 | other | | | | 0,4 | | |
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690 | 1.1.6.2.6 | within a group or an IPS if subject to preferential treatment | | | | | | |
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700 | 1.1.6.2.7 | within IPS or cooperative network if treated as liquid asset by the depositing institution | | | | 0,75 | | |
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710 | 1.1.6.2.8 | to other financial customers | | | | 1,0 | | |
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720 | 1.1.7 | Other products and services | | | | | | |
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731 | 1.1.7.1 | Uncommitted funding facilities | | | | | | |
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740 | 1.1.7.2 | undrawn loans and advances to wholesale counterparties | | | | | | |
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750 | 1.1.7.3 | mortgages that have been agreed but not yet drawn down | | | | | | |
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760 | 1.1.7.4 | credit cards | | | | | | |
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770 | 1.1.7.5 | overdrafts | | | | | | |
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780 | 1.1.7.6 | planned outflows related to renewal or extension of new retail or wholesale loans | | | | | | |
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850 | 1.1.7.7 | derivatives payables | | | | | | |
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860 | 1.1.7.8 | trade finance off-balance sheet related products | | | | | | |
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870 | 1.1.7.9 | others | | | | | | |
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885 | 1.1.8 | Other liabilities and due commitments | | | | | | |
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890 | 1.1.8.1 | liabilities resulting from operating expenses | | | | 0,0 | | |
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900 | 1.1.8.2 | in the form of debt securities if not treated as retail deposits | | | | 1,0 | | |
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912 | 1.1.8.4 | the excess of funding to non-financial customers | | | | | | |
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913 | 1.1.8.4.1 | the excess of funding to retail customers | | | | 1,0 | | |
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914 | 1.1.8.4.2 | the excess of funding to non financial corporates | | | | 1,0 | | |
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915 | 1.1.8.4.3 | the excess of funding to sovereigns, MLDBs and PSEs | | | | 1,0 | | |
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916 | 1.1.8.4.4 | the excess of funding to other legal entities | | | | 1,0 | | |
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917 | 1.1.8.5 | assets borrowed on an unsecured basis | | | | 1,0 | | |
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918 | 1.1.8.6 | others | | | | 1,0 | | |
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920 | 1.2 | Outflows from secured lending and capital market-driven transactions | | | | | | |
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930 | 1.2.1 | Counterparty is central bank | | | | | | |
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940 | 1.2.1.1 | level 1 excl. EHQ Covered Bonds collateral | | | | 0,0 | | |
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945 | 1.2.1.1.1 | of which collateral extended meets operational requirements | | | | | | |
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950 | 1.2.1.2 | level 1 EHQ Covered Bonds collateral | | | | 0,0 | | |
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955 | 1.2.1.2.1 | of which collateral extended meets operational requirements | | | | | | |
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960 | 1.2.1.3 | level 2A collateral | | | | 0,0 | | |
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965 | 1.2.1.3.1 | of which collateral extended meets operational requirements | | | | | | |
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970 | 1.2.1.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | | | | 0,0 | | |
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975 | 1.2.1.4.1 | of which collateral extended meets operational requirements | | | | | | |
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980 | 1.2.1.5 | level 2B covered bonds | | | | 0,0 | | |
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985 | 1.2.1.5.1 | of which collateral extended meets operational requirements | | | | | | |
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990 | 1.2.1.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | | | | 0,0 | | |
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995 | 1.2.1.6.1 | of which collateral extended meets operational requirements | | | | | | |
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1000 | 1.2.1.7 | other Level 2B assets collateral | | | | 0,0 | | |
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1005 | 1.2.1.7.1 | of which collateral extended meets operational requirements | | | | | | |
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1010 | 1.2.1.8 | non-liquid assets collateral | | | | 0,0 | | |
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1020 | 1.2.2 | Counterparty is non-central bank | | | | | | |
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1030 | 1.2.2.1 | level 1 excl. EHQ Covered Bonds collateral | | | | 0,0 | | |
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1035 | 1.2.2.1.1 | of which collateral extended meets operational requirements | | | | | | |
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1040 | 1.2.2.2 | level 1 EHQ Covered Bonds collateral | | | | 0,07 | | |
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1045 | 1.2.2.2.1 | of which collateral extended meets operational requirements | | | | | | |
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1050 | 1.2.2.3 | level 2A collateral | | | | 0,15 | | |
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1055 | 1.2.2.3.1 | of which collateral extended meets operational requirements | | | | | | |
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1060 | 1.2.2.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | | | | 0,25 | | |
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1065 | 1.2.2.4.1 | of which collateral extended meets operational requirements | | | | | | |
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1070 | 1.2.2.5 | level 2B covered bonds | | | | 0,3 | | |
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1075 | 1.2.2.5.1 | of which collateral extended meets operational requirements | | | | | | |
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1080 | 1.2.2.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | | | | 0,35 | | |
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1085 | 1.2.2.6.1 | of which collateral extended meets operational requirements | | | | | | |
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1090 | 1.2.2.7 | other Level 2B assets collateral | | | | 0,5 | | |
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1095 | 1.2.2.7.1 | of which collateral extended meets operational requirements | | | | | | |
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1100 | 1.2.2.8 | non-liquid assets collateral | | | | 1,0 | | |
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1130 | 1.3 | Total outflows from collateral swaps | | | | | | |
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MEMORANDUM ITEMS |
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1170 | 2 | Liquidity outflows to be netted by interdependent inflows | | | | | | |
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| 3 | Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | | | | | | |
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1180 | 3.1 | provided by credit institutions | | | | | | |
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1190 | 3.2 | provided by financial customers other than credit institutions | | | | | | |
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1200 | 3.3 | provided by sovereigns, central banks, MDBs and PSEs | | | | | | |
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1210 | 3.4 | provided by other customers | | | | | | |
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| 4 | Intra group or IPS outflows | | | | | | |
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1290 | 4.1 | of which: to financial customers | | | | | | |
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1300 | 4.2 | of which: to non-financial customers | | | | | | |
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1310 | 4.3 | of which: secured | | | | | | |
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1320 | 4.4 | of which: credit facilities without preferential treatment | | | | | | |
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1330 | 4.5 | of which: liquidity facilites without preferential treatment | | | | | | |
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1340 | 4.6 | of which: operational deposits | | | | | | |
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1345 | 4.7 | of which: excess operational deposits | | | | | | |
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1350 | 4.8 | of which: non-operational deposits | | | | | | |
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1360 | 4.9 | of which: liabilities in the form of debt securities if not treated as retail deposits | | | | | | |
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1370 | 5 | FX outflows | | | | | | |
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| 6 | Secured funding waived from Article 17 (2) and (3) | | | | | | |
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1400 | 6.1 | of which: secured by L1 excl. EHQCB | | | | | | |
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1410 | 6.2 | of which: secured by L1 EHQCB | | | | | | |
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1420 | 6.3 | of which: secured by L2A | | | | | | |
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1430 | 6.4 | of which: secured by L2B | | | | | | |
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1440 | 6.5 | of which: secured by non-liquid assets | | | | | | |
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C 74.00 – LIQUIDITY COVERAGE – INFLOWS
Currency
| Amount | Market value of collateral received | Standard Weight | Applicable Weight | Value of collateral received in accordance with Article 9 | Inflow |
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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 | 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 | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
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Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 |
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010 | 1 | TOTAL INFLOWS | | | | | | | | | | | | | | | | |
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020 | 1.1 | Inflows from unsecured transactions/deposits | | | | | | | | | | | | | | | | |
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030 | 1.1.1 | monies due from non-financial customers (except for central banks) | | | | | | | | | | | | | | | | |
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040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | | | | | | | 1,0 | | | | | | | | | |
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050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | | | | | | | | | | | | | | | | |
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060 | 1.1.1.2.1 | monies due from retail customers | | | | | | | 0,5 | | | | | | | | | |
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070 | 1.1.1.2.2 | monies due from non-financial corporates | | | | | | | 0,5 | | | | | | | | | |
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080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | | | | | | | 0,5 | | | | | | | | | |
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090 | 1.1.1.2.4 | monies due from other legal entities | | | | | | | 0,5 | | | | | | | | | |
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100 | 1.1.2 | monies due from central banks and financial customers | | | | | | | | | | | | | | | | |
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110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | | | | | | | | | | | | | | | | |
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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 | | | | | | | | | | | | | | | | |
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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 | | | | | | | | | |
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140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | | | | | | | | | | | | | | | | |
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150 | 1.1.2.2.1 | monies due from central banks | | | | | | | 1,0 | | | | | | | | | |
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160 | 1.1.2.2.2 | monies due from financial customers | | | | | | | 1,0 | | | | | | | | | |
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170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 | | | | | | | 1,0 | | | | | | | | | |
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180 | 1.1.4 | monies due from trade financing transactions | | | | | | | 1,0 | | | | | | | | | |
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190 | 1.1.5 | monies due from securities maturing within 30 days | | | | | | | 1,0 | | | | | | | | | |
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201 | 1.1.6 | loans with an undefined contractual end date | | | | | | | 0,2 | | | | | | | | | |
---|
210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | | | | | | | 1,0 | | | | | | | | | |
---|
230 | 1.1.8 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | | | | | | | 1,0 | | | | | | | | | |
---|
240 | 1.1.9 | inflows from derivatives | | | | | | | 1,0 | | | | | | | | | |
---|
250 | 1.1.10 | 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 | 1.1.11 | other inflows | | | | | | | 1,0 | | | | | | | | | |
---|
263 | 1.2 | Inflows from secured lending and capital market-driven transactions | | | | | | | | | | | | | | | | |
---|
265 | 1.2.1 | Counterparty is central bank | | | | | | | | | | | | | | | | |
---|
267 | 1.2.1.1 | collateral that qualifies as a liquid asset | | | | | | | | | | | | | | | | |
---|
269 | 1.2.1.1.1 | Level 1 collateral excluding extremely high quality covered bonds | | | | | | | 0,0 | | | | | | | | | |
---|
271 | 1.2.1.1.1.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
273 | 1.2.1.1.2 | Level 1 collateral which is extremely high quality covered bonds | | | | | | | 0,07 | | | | | | | | | |
---|
275 | 1.2.1.1.2.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
277 | 1.2.1.1.3 | Level 2A collateral | | | | | | | 0,15 | | | | | | | | | |
---|
279 | 1.2.1.1.3.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
281 | 1.2.1.1.4 | Level 2B asset backed securities (residential or auto) collateral | | | | | | | 0,25 | | | | | | | | | |
---|
283 | 1.2.1.1.4.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
285 | 1.2.1.1.5 | Level 2B high quality covered bonds collateral | | | | | | | 0,3 | | | | | | | | | |
---|
287 | 1.2.1.1.5.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
289 | 1.2.1.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | | | | | | | 0,35 | | | | | | | | | |
---|
291 | 1.2.1.1.6.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
293 | 1.2.1.1.7 | Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6 | | | | | | | 0,5 | | | | | | | | | |
---|
295 | 1.2.1.1.7.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
297 | 1.2.1.2 | collateral is used to cover a short position | | | | | | | | | | | | | | | | |
---|
299 | 1.2.1.3 | collateral that does not qualify as a liquid asset | | | | | | | | | | | | | | | | |
---|
301 | 1.2.1.3.1 | collateral is non-liquid equity | | | | | | | 1,0 | | | | | | | | | |
---|
303 | 1.2.1.3.2 | all other non-liquid collateral | | | | | | | 1,0 | | | | | | | | | |
---|
305 | 1.2.2 | Counterparty is non-central bank | | | | | | | | | | | | | | | | |
---|
307 | 1.2.2.1 | collateral that qualifies as a liquid asset | | | | | | | | | | | | | | | | |
---|
309 | 1.2.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | | | | | | | 0,0 | | | | | | | | | |
---|
311 | 1.2.2.1.1.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
313 | 1.2.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | | | | | | | 0,07 | | | | | | | | | |
---|
315 | 1.2.2.1.2.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
317 | 1.2.2.1.3 | Level 2A collateral | | | | | | | 0,15 | | | | | | | | | |
---|
319 | 1.2.2.1.3.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
321 | 1.2.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | | | | | | | 0,25 | | | | | | | | | |
---|
323 | 1.2.2.1.4.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
325 | 1.2.2.1.5 | Level 2B high quality covered bonds collateral | | | | | | | 0,3 | | | | | | | | | |
---|
327 | 1.2.2.1.5.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
329 | 1.2.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | | | | | | | 0,35 | | | | | | | | | |
---|
331 | 1.2.2.1.6.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
333 | 1.2.2.1.7 | Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6 | | | | | | | 0,5 | | | | | | | | | |
---|
335 | 1.2.2.1.7.1 | of which collateral received meets operational requirements | | | | | | | | | | | | | | | | |
---|
337 | 1.2.2.2 | collateral is used to cover a short position | | | | | | | | | | | | | | | | |
---|
339 | 1.2.2.3 | collateral that does not qualify as a liquid asset | | | | | | | | | | | | | | | | |
---|
341 | 1.2.2.3.1 | margin loans: collateral is non-liquid | | | | | | | 0,5 | | | | | | | | | |
---|
343 | 1.2.2.3.2 | collateral is non-liquid equity | | | | | | | 1,0 | | | | | | | | | |
---|
345 | 1.2.2.3.3 | all other non-liquid collateral | | | | | | | 1,0 | | | | | | | | | |
---|
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 | | | | | | | | | |
---|
450 | 2 | FX inflows | | | | | | | | | | | | | | | | |
---|
460 | 3 | Inflows within a group or an institutional protection scheme | | | | | | | | | | | | | | | | |
---|
470 | 3.1 | Monies due from non-financial customers (except for central banks) | | | | | | | | | | | | | | | | |
---|
480 | 3.2 | Monies due from financial customers | | | | | | | | | | | | | | | | |
---|
490 | 3.3 | Secured transactions | | | | | | | | | | | | | | | | |
---|
500 | 3.4 | Monies due from maturing securities within 30 days | | | | | | | | | | | | | | | | |
---|
510 | 3.5 | Any other inflows within a group or an institutional protection scheme | | | | | | | | | | | | | | | | |
---|
| 4 | Secured lending waived from Article 17 (2) and (3) | | | | | | | | | | | | | | | | |
---|
530 | 4.1 | of which: secured by L1 excl. EHQCB | | | | | | | | | | | | | | | | |
---|
540 | 4.2 | of which: secured by L1 EHQCB | | | | | | | | | | | | | | | | |
---|
550 | 4.3 | of which: secured by L2A | | | | | | | | | | | | | | | | |
---|
560 | 4.4 | of which: secured by L2B | | | | | | | | | | | | | | | | |
---|
570 | 4.5 | of which: secured by non-liquid assets | | | | | | | | | | | | | | | | |
---|
C 75.01 – 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 | Standard weight | Applicable weight | Outflows | Inflows subject to the 75 % cap on inflows | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows |
---|
Row | ID | Item | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 |
---|
0010 | 1 | TOTAL COLLATERAL SWAPS (counterparty is central bank) | | | | | | | | | | |
---|
0020 | 1.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
0030 | 1.1.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
0040 | 1.1.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0050 | 1.1.2 | Level 1: extremely high quality covered bonds | | | | | 0,07 | | | | | |
---|
0060 | 1.1.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0070 | 1.1.3 | Level 2A assets | | | | | 0,15 | | | | | |
---|
0080 | 1.1.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0090 | 1.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,25 | | | | | |
---|
0100 | 1.1.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0110 | 1.1.5 | Level 2B: high quality covered bonds | | | | | 0,3 | | | | | |
---|
0120 | 1.1.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0130 | 1.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,35 | | | | | |
---|
0140 | 1.1.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0150 | 1.1.7 | Other Level 2B | | | | | 0,5 | | | | | |
---|
0160 | 1.1.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0170 | 1.1.8 | Non-liquid assets | | | | | 1,0 | | | | | |
---|
0180 | 1.1.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0190 | 1.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
0200 | 1.2.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
0210 | 1.2.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0220 | 1.2.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
0230 | 1.2.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0240 | 1.2.3 | Level 2A assets | | | | | 0,08 | | | | | |
---|
0250 | 1.2.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0260 | 1.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,18 | | | | | |
---|
0270 | 1.2.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0280 | 1.2.5 | Level 2B: high quality covered bonds | | | | | 0,23 | | | | | |
---|
0290 | 1.2.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0300 | 1.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,28 | | | | | |
---|
0310 | 1.2.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0320 | 1.2.7 | Other Level 2B | | | | | 0,43 | | | | | |
---|
0330 | 1.2.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0340 | 1.2.8 | Non-liquid assets | | | | | 0,93 | | | | | |
---|
0350 | 1.2.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0360 | 1.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
0370 | 1.3.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
0380 | 1.3.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0390 | 1.3.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
0400 | 1.3.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0410 | 1.3.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
0420 | 1.3.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0430 | 1.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,1 | | | | | |
---|
0440 | 1.3.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0450 | 1.3.5 | Level 2B: high quality covered bonds | | | | | 0,15 | | | | | |
---|
0460 | 1.3.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0470 | 1.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,2 | | | | | |
---|
0480 | 1.3.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0490 | 1.3.7 | Other Level 2B | | | | | 0,35 | | | | | |
---|
0500 | 1.3.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0510 | 1.3.8 | Non-liquid assets | | | | | 0,85 | | | | | |
---|
0520 | 1.3.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0530 | 1.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
0540 | 1.4.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
0550 | 1.4.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0560 | 1.4.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
0570 | 1.4.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0580 | 1.4.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
0590 | 1.4.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0600 | 1.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,0 | | | | | |
---|
0610 | 1.4.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0620 | 1.4.5 | Level 2B: high quality covered bonds | | | | | 0,05 | | | | | |
---|
0630 | 1.4.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0640 | 1.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,1 | | | | | |
---|
0650 | 1.4.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0660 | 1.4.7 | Other Level 2B | | | | | 0,25 | | | | | |
---|
0670 | 1.4.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0680 | 1.4.8 | Non-liquid assets | | | | | 0,75 | | | | | |
---|
0690 | 1.4.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0700 | 1.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
0710 | 1.5.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
0720 | 1.5.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0730 | 1.5.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
0740 | 1.5.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0750 | 1.5.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
0760 | 1.5.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0770 | 1.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,0 | | | | | |
---|
0780 | 1.5.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0790 | 1.5.5 | Level 2B: high quality covered bonds | | | | | 0,0 | | | | | |
---|
0800 | 1.5.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0810 | 1.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,05 | | | | | |
---|
0820 | 1.5.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0830 | 1.5.7 | Other Level 2B | | | | | 0,2 | | | | | |
---|
0840 | 1.5.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0850 | 1.5.8 | Non-liquid assets | | | | | 0,7 | | | | | |
---|
0860 | 1.5.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0870 | 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: | | | | | | | | | | |
---|
0880 | 1.6.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
0890 | 1.6.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0900 | 1.6.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
0910 | 1.6.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0920 | 1.6.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
0930 | 1.6.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0940 | 1.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,0 | | | | | |
---|
0950 | 1.6.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0960 | 1.6.5 | Level 2B: high quality covered bonds | | | | | 0,0 | | | | | |
---|
0970 | 1.6.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
0980 | 1.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,0 | | | | | |
---|
0990 | 1.6.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1000 | 1.6.7 | Other Level 2B | | | | | 0,15 | | | | | |
---|
1010 | 1.6.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1020 | 1.6.8 | Non-liquid assets | | | | | 0,65 | | | | | |
---|
1030 | 1.6.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1040 | 1.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
1050 | 1.7.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
1060 | 1.7.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1070 | 1.7.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
1080 | 1.7.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1090 | 1.7.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
1100 | 1.7.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1110 | 1.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,0 | | | | | |
---|
1120 | 1.7.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1130 | 1.7.5 | Level 2B: high quality covered bonds | | | | | 0,0 | | | | | |
---|
1140 | 1.7.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1150 | 1.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,0 | | | | | |
---|
1160 | 1.7.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1170 | 1.7.7 | Other Level 2B | | | | | 0,0 | | | | | |
---|
1180 | 1.7.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1190 | 1.7.8 | Non-liquid assets | | | | | 0,5 | | | | | |
---|
1200 | 1.7.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1210 | 1.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
1220 | 1.8.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
1230 | 1.8.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1240 | 1.8.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
1250 | 1.8.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1260 | 1.8.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
1270 | 1.8.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1280 | 1.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,0 | | | | | |
---|
1290 | 1.8.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1300 | 1.8.5 | Level 2B: high quality covered bonds | | | | | 0,0 | | | | | |
---|
1310 | 1.8.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1320 | 1.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,0 | | | | | |
---|
1330 | 1.8.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1340 | 1.8.7 | Other Level 2B | | | | | 0,0 | | | | | |
---|
1350 | 1.8.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1360 | 1.8.8 | Non-liquid assets | | | | | | | | | | |
---|
1370 | 2 | TOTAL COLLATERAL SWAPS (counterparty is non-central bank) | | | | | | | | | | |
---|
1380 | 2.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
1390 | 2.1.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,0 | | | | | |
---|
1400 | 2.1.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1410 | 2.1.2 | Level 1: extremely high quality covered bonds | | | | | 0,07 | | | | | |
---|
1420 | 2.1.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1430 | 2.1.3 | Level 2A assets | | | | | 0,15 | | | | | |
---|
1440 | 2.1.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1450 | 2.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,25 | | | | | |
---|
1460 | 2.1.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1470 | 2.1.5 | Level 2B: high quality covered bonds | | | | | 0,3 | | | | | |
---|
1480 | 2.1.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1490 | 2.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,35 | | | | | |
---|
1500 | 2.1.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1510 | 2.1.7 | Other Level 2B | | | | | 0,5 | | | | | |
---|
1520 | 2.1.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1530 | 2.1.8 | Non-liquid assets | | | | | 1,0 | | | | | |
---|
1540 | 2.1.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1550 | 2.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
1560 | 2.2.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,07 | | | | | |
---|
1570 | 2.2.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1580 | 2.2.2 | Level 1: extremely high quality covered bonds | | | | | 0,0 | | | | | |
---|
1590 | 2.2.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1600 | 2.2.3 | Level 2A assets | | | | | 0,08 | | | | | |
---|
1610 | 2.2.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1620 | 2.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,18 | | | | | |
---|
1630 | 2.2.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1640 | 2.2.5 | Level 2B: high quality covered bonds | | | | | 0,23 | | | | | |
---|
1650 | 2.2.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1660 | 2.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,28 | | | | | |
---|
1670 | 2.2.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1680 | 2.2.7 | Other Level 2B | | | | | 0,43 | | | | | |
---|
1690 | 2.2.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1700 | 2.2.8 | Non-liquid assets | | | | | 0,93 | | | | | |
---|
1710 | 2.2.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1720 | 2.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
1730 | 2.3.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,15 | | | | | |
---|
1740 | 2.3.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1750 | 2.3.2 | Level 1: extremely high quality covered bonds | | | | | 0,08 | | | | | |
---|
1760 | 2.3.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1770 | 2.3.3 | Level 2A assets | | | | | 0,0 | | | | | |
---|
1780 | 2.3.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1790 | 2.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,1 | | | | | |
---|
1800 | 2.3.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1810 | 2.3.5 | Level 2B: high quality covered bonds | | | | | 0,15 | | | | | |
---|
1820 | 2.3.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1830 | 2.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,2 | | | | | |
---|
1840 | 2.3.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1850 | 2.3.7 | Other Level 2B | | | | | 0,35 | | | | | |
---|
1860 | 2.3.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1870 | 2.3.8 | Non-liquid assets | | | | | 0,85 | | | | | |
---|
1880 | 2.3.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1890 | 2.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
1900 | 2.4.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,25 | | | | | |
---|
1910 | 2.4.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1920 | 2.4.2 | Level 1: extremely high quality covered bonds | | | | | 0,18 | | | | | |
---|
1930 | 2.4.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1940 | 2.4.3 | Level 2A assets | | | | | 0,1 | | | | | |
---|
1950 | 2.4.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1960 | 2.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,0 | | | | | |
---|
1970 | 2.4.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
1980 | 2.4.5 | Level 2B: high quality covered bonds | | | | | 0,05 | | | | | |
---|
1990 | 2.4.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2000 | 2.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,1 | | | | | |
---|
2010 | 2.4.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2020 | 2.4.7 | Other Level 2B | | | | | 0,25 | | | | | |
---|
2030 | 2.4.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2040 | 2.4.8 | Non-liquid assets | | | | | 0,75 | | | | | |
---|
2050 | 2.4.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2060 | 2.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
2070 | 2.5.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,3 | | | | | |
---|
2080 | 2.5.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2090 | 2.5.2 | Level 1: extremely high quality covered bonds | | | | | 0,23 | | | | | |
---|
2100 | 2.5.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2110 | 2.5.3 | Level 2A assets | | | | | 0,15 | | | | | |
---|
2120 | 2.5.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2130 | 2.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,05 | | | | | |
---|
2140 | 2.5.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2150 | 2.5.5 | Level 2B: high quality covered bonds | | | | | 0,0 | | | | | |
---|
2160 | 2.5.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2170 | 2.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,05 | | | | | |
---|
2180 | 2.5.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2190 | 2.5.7 | Other Level 2B | | | | | 0,2 | | | | | |
---|
2200 | 2.5.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2210 | 2.5.8 | Non-liquid assets | | | | | 0,7 | | | | | |
---|
2220 | 2.5.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2230 | 2.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
2240 | 2.6.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,35 | | | | | |
---|
2250 | 2.6.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2260 | 2.6.2 | Level 1: extremely high quality covered bonds | | | | | 0,28 | | | | | |
---|
2270 | 2.6.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2280 | 2.6.3 | Level 2A assets | | | | | 0,2 | | | | | |
---|
2290 | 2.6.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2300 | 2.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,1 | | | | | |
---|
2310 | 2.6.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2320 | 2.6.5 | Level 2B: high quality covered bonds | | | | | 0,05 | | | | | |
---|
2330 | 2.6.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2340 | 2.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,0 | | | | | |
---|
2350 | 2.6.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2360 | 2.6.7 | Other Level 2B | | | | | 0,15 | | | | | |
---|
2370 | 2.6.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2380 | 2.6.8 | Non-liquid assets | | | | | 0,65 | | | | | |
---|
2390 | 2.6.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2400 | 2.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
2410 | 2.7.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 0,5 | | | | | |
---|
2420 | 2.7.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2430 | 2.7.2 | Level 1: extremely high quality covered bonds | | | | | 0,43 | | | | | |
---|
2440 | 2.7.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2450 | 2.7.3 | Level 2A assets | | | | | 0,35 | | | | | |
---|
2460 | 2.7.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2470 | 2.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,25 | | | | | |
---|
2480 | 2.7.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2490 | 2.7.5 | Level 2B: high quality covered bonds | | | | | 0,2 | | | | | |
---|
2500 | 2.7.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2510 | 2.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,15 | | | | | |
---|
2520 | 2.7.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2530 | 2.7.7 | Other Level 2B | | | | | 0,0 | | | | | |
---|
2540 | 2.7.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2550 | 2.7.8 | Non-liquid assets | | | | | 0,5 | | | | | |
---|
2560 | 2.7.8.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2570 | 2.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | | | | | | | | | | |
---|
2580 | 2.8.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | 1,0 | | | | | |
---|
2590 | 2.8.1.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2600 | 2.8.2 | Level 1: extremely high quality covered bonds | | | | | 0,93 | | | | | |
---|
2610 | 2.8.2.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2620 | 2.8.3 | Level 2A assets | | | | | 0,85 | | | | | |
---|
2630 | 2.8.3.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2640 | 2.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | 0,75 | | | | | |
---|
2650 | 2.8.4.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2660 | 2.8.5 | Level 2B: high quality covered bonds | | | | | 0,7 | | | | | |
---|
2670 | 2.8.5.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2680 | 2.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | 0,65 | | | | | |
---|
2690 | 2.8.6.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2700 | 2.8.7 | Other Level 2B | | | | | 0,5 | | | | | |
---|
2710 | 2.8.7.1 | Of which collateral swapped meets operational requirements | | | | | | | | | | |
---|
2720 | 2.8.8 | Non-liquid assets | | | | | | | | | | |
---|
MEMORANDUM ITEMS |
---|
2730 | 23 | Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions | | | | | | | | | | |
---|
2740 | 34 | Total collateral swaps with intragroup counterparties | | | | | | | | | | |
---|
| 5 | Collateral swaps waived from Article 17 (2) and (3) | | | | | | | | | | |
---|
2750 | 5.1 | of which: collateral borrowed is L1 excl. EHQCB | | | | | | | | | | |
---|
2760 | 5.2 | of which: collateral borrowed is L1 EHQCB | | | | | | | | | | |
---|
2770 | 5.3 | of which: collateral borrowed is L2A | | | | | | | | | | |
---|
2780 | 5.4 | of which: collateral borrowed is L2B | | | | | | | | | | |
---|
2790 | 5.5 | of which: collateral lent is L1 excl. EHQCB | | | | | | | | | | |
---|
2800 | 5.6 | of which: collateral lent is L1 EHQCB | | | | | | | | | | |
---|
2810 | 5.7 | of which: collateral lent is L2A | | | | | | | | | | |
---|
2820 | 5.8 | of which: collateral lent is L2B | | | | | | | | | | |
---|
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 in accordance with 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 | |
---|
091 | 9 | L1 excl. EHQCB “adjusted amount” | |
---|
100 | 10 | L1 EHQCB value in accordance with Article 9: unadjusted | |
---|
110 | 11 | L1 EHQCB collateral 30 day outflows | |
---|
120 | 12 | L1 EHQCB collateral 30 day inflows | |
---|
131 | 13 | L1 EHQCB “adjusted amount” | |
---|
160 | 14 | L2A value in accordance with Article 9: unadjusted | |
---|
170 | 15 | L2A collateral 30 day outflows | |
---|
180 | 16 | L2A collateral 30 day inflows | |
---|
191 | 17 | L2A “adjusted amount” | |
---|
220 | 18 | L2B value in accordance with Article 9: unadjusted | |
---|
230 | 19 | L2B collateral 30 day outflows | |
---|
240 | 20 | L2B collateral 30 day inflows | |
---|
251 | 21 | L2B “adjusted amount” | |
---|
280 | 22 | Excess liquid asset amount | |
---|
290 | 23 | Liquidity buffer | |
---|
Denominator calculations |
---|
300 | 24 | Total Outflows | |
---|
310 | 25 | Fully Exempt Inflows | |
---|
320 | 26 | Inflows Subject to 90 % Cap | |
---|
330 | 27 | Inflows Subject to 75 % Cap | |
---|
340 | 28 | Reduction for Fully Exempt Inflows | |
---|
350 | 29 | Reduction for Inflows Subject to 90 % Cap | |
---|
360 | 30 | Reduction for Inflows Subject to 75 % Cap | |
---|
370 | 31 | Net liquidity outflow | |
---|
Pillar 2 |
---|
380 | 32 | Pillar 2 requirement as set out in Article 105 CRD | |
---|
C 77.00 – LIQUIDITY COVERAGE – PERIMETER
Parent or subsidiary | Name | Code | LEI code | Country code | Type of entity |
---|
005 | 010 | 020 | 030 | 040 | 050” |
---|
| | | | | |