No longer in force since 27/06/2021

Version from: 01/06/2020
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ANNEX XII

ANNEX XII

REPORTING ON LIQUIDITY



LIQUIDITY TEMPLATES

Template number

Template code

Name of the template/group of templates

LIQUIDITY COVERAGE TEMPLATES

 

 

PART I — LIQUID ASSETS

51

C 51.00

LIQUIDITY COVERAGE — LIQUID ASSETS

 

 

PART II — OUTFLOWS

52

C 52.00

LIQUIDITY COVERAGE — OUTFLOWS

 

 

PART III — INFLOWS

53

C 53.00

LIQUIDITY COVERAGE — INFLOWS

 

 

PART IV — COLLATERAL SWAPS

54

C 54.00

LIQUIDITY COVERAGE — COLLATERAL SWAPS

STABLE FUNDING TEMPLATES

 

 

PART V — STABLE FUNDING

60

C 60.00

STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING

61

C 61.00

STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING



C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

 

Market value

Value according to Article 418 of CRR

Amount

Undrawn amount of line

Row

ID

Item

Legal references

010

020

030

040

010-390

1

ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 OF CRR

Article 416 and 417 of CRR

 

 

 

 

010

1,1

cash

Article 416(1)(a) of CRR

 

 

 

 

020

1,2

exposures to central bank

Article 416(1)(a) of CRR

 

 

 

 

030

1.2.1

of which: exposures that can be withdrawn in times of stress

Article 416(1)(a) of CRR

 

 

 

 

040-110

1,3

Other transferable assets representing claims on or guaranteed by

Article 416(1)(c) of CRR

 

 

 

 

040-050

1.3.1

transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets

Article 416(1)(c)(i) of CRR

 

 

 

 

040

1.3.1.1

representing claims

Article 416(1)(c)(i) of CRR

 

 

 

 

050

1.3.1.2

guaranteed by

Article 416(1)(c)(i) of CRR

 

 

 

 

060-070

1.3.2

transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities-in the domestic currency of the central bank and public sector entity

Article 416(1)(c)(ii) of CRR

 

 

 

 

060

1.3.2.1

representing claims on

Article 416(1)(c)(ii) of CRR

 

 

 

 

070

1.3.2.2

guaranteed by

Article 416(1)(c)(ii) of CRR

 

 

 

 

080-090

1.3.3

transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks;

Article 416(1)(c)(iii) of CRR

 

 

 

 

080

1.3.3.1

representing claims on

Article 416(1)(c)(iii) of CRR

 

 

 

 

090

1.3.3.2

guaranteed by

Article 416(1)(c)(iii) of CRR

 

 

 

 

100-110

1.3.4

transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism

Article 416(1)(c)(iv) of CRR

 

 

 

 

100

1.3.4.1

representing claims on

Article 416(1)(c)(iv) of CRR

 

 

 

 

110

1.3.4.2

guaranteed by

Article 416(1)(c)(iv) of CRR

 

 

 

 

120-140

1,4

total shares or units in CIUs with underlying assets specified in Article 416

Article 416(6) and 418(2) CRR

 

 

 

 

120

1.4.1

underlying assets in point (a) of article 416(1)

Article 418(2)(a) of CRR

 

 

 

 

130

1.4.2

underlying assets in point (b) and (c) of article 416(1)

Article 418(2)(b) of CRR

 

 

 

 

140

1.4.3

underlying assets in point (d) of article 416(1)

Article 418(2)(c) of CRR

 

 

 

 

150

1,5

standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance

Article 416(1) (e) CRR

 

 

 

 

160-170

1,6

deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assets

Article 416(1) (f) CRR

 

 

 

 

160

1.6.1

deposits

Article 416(1) (f) CRR

 

 

 

 

170

1.6.2

contractually available liquid funding

Article 416(1) (f) CRR

 

 

 

 

Row

ID

Item

Legal references

Extremely high liquidity and credit quality assets

High liquidity and credit quality assets

Market value

Value according to Article 418 of CRR

Market value

Value according to Article 418 of CRR

180

1,7

assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met

Article 416(2)(a)(iii) of CRR

 

 

 

 

190-210

1,8

non financial corporate bonds

Article 416(1)(b) or (d) of CRR

 

 

 

 

190

1.8.1

credit quality step 1

Article 122 CRR

 

 

 

 

200

1.8.2

credit quality step 2

Article 122 CRR

 

 

 

 

210

1.8.3

credit quality step 3

Article 122 CRR

 

 

 

 

220-240

1,9

bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)

Article 416(2)(a)(i) of CRR

 

 

 

 

220

1.9.1

credit quality step 1

Article 129(4) or 129(5) of CRR

 

 

 

 

230

1.9.2

credit quality step 2

Article 129(4) or 129(5) of CRR

 

 

 

 

240

1.9.3

credit quality step 3

Article 129(4) or 129(5) of CRR

 

 

 

 

250-270

1.10

non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

250

1.10.1

credit quality step 1

Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

260

1.10.2

credit quality step 2

Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

270

1.10.3

credit quality step 3

Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

280-300

1,11

residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

280

1.11.1

credit quality step 1

Chapter 5 Title 2 of part V and Article 125 of CRR

 

 

 

 

290

1.11.2

credit quality step 2

Chapter 5,Title 2 of part V and Article 125 of CRR

 

 

 

 

300

1.11.3

credit quality step 3

Chapter 5,Title 2, and Article 125 of CRR

 

 

 

 

310-330

1.12

bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9

Article 416(2)(a)(ii) of CRR

 

 

 

 

310

1.12.1

credit quality step 1

Article 129(4) or 129(5) of CRR

 

 

 

 

320

1.12.2

credit quality step 2

Article 129(4) or 129(5) of CRR

 

 

 

 

330

1.12.3

credit quality step 3

Article 129(4) or 129(5) of CRR

 

 

 

 

340-360

1,13

other transferable assets that are of extremely high liquidity and credit quality

Article 416(1)(b) of CRR

 

 

 

 

340

1.13.1

credit quality step 1

Chapter 2,Title 2, Part III of CRR

 

 

 

 

350

1.13.2

credit quality step 2

Chapter 2,Title 2, Part III of CRR

 

 

 

 

360

1.13.3

credit quality step 3

Chapter 2,Title 2, Part III of CRR

 

 

 

 

370-390

1,14

other transferable assets that are of high liquidity and credit quality

Article 416(1)(d) of CRR

 

 

 

 

370

1.14.1

credit quality step 1

Chapter 2,Title 2, Part III of CRR

 

 

 

 

380

1.14.2

credit quality step 2

Chapter 2,Title 2, Part III of CRR

 

 

 

 

390

1.14.3

credit quality step 3

Chapter 2,Title 2, Part III of CRR

 

 

 

 

400-410

2

ASSETS WHICH MEET THE REQUIREMENTS OF ART. 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ART. 417 (b)AND (c) CRR

 

Market value

Value according to Article 418 of CRR

Amount

Undrawn amount of line

400

2,1

assets not controlled by a liquidity management function

Article 417 (c) of CRR

 

 

 

 

410

2,2

assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets

Article 417 (b) of CRR

 

 

 

 

420-610

3

ITEMS SUBJECT TO SUPPLEMENTARY REPORTING OF LIQUID ASSETS

 

 

 

 

 

420

3,1

Cash

Annex III, article 1 CRR

 

 

 

 

430

3,2

Central bank exposures, to the extent that these exposures can be drawn down in times of stress

Annex III, article 2 CRR

 

 

 

 

440-480

3,3

transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities

Annex III, article 3 CRR

 

 

 

 

440

3.3.1

representing claims on sovereigns

Annex III, article 3 CRR

 

 

 

 

450

3.3.2

claims guaranteed by sovereigns

Annex III, article 3 CRR

 

 

 

 

460

3.3.3

representing claims on or claims guaranteed by central banks

Annex III, article 3 CRR

 

 

 

 

470

3.3.4

representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities

Annex III, article 3 CRR

 

 

 

 

480

3.3.5

representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks

Annex III, article 3 CRR

 

 

 

 

490

3,4

Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country

Annex III, article 4 CRR

 

 

 

 

500-550

3,5

transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entities

Annex III, article 5 CRR

 

 

 

 

500

3.5.1

representing claims on sovereigns

Annex III, article 5 CRR

 

 

 

 

510

3.5.2

claims guaranteed by sovereigns

Annex III, article 5 CRR

 

 

 

 

520

3.5.3

representing claims on or claims guaranteed by central banks

Annex III, article 5 CRR

 

 

 

 

530

3.5.4

representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities

Annex III, article 5 CRR

 

 

 

 

540

3.5.5

representing claims on or claims guaranteed by multilateral development banks

Annex III, article 5 CRR

 

 

 

 

550

3,6

transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRR

Annex III, article 6 CRR

 

 

 

 

560

3,7

transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities

Annex III, article 7 CRR

 

 

 

 

570

3,8

transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125

Annex III, article 8 CRR

 

 

 

 

580

3,9

standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance

Annex III, article 9 CRR

 

 

 

 

590

3.10

Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.

Annex III, article 10 CRR

 

 

 

 

600

3,11

exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates

Annex III, article 11 CRR

 

 

 

 

610

3,12

gold listed on a recognised exchange, held on an allocated basis

Annex III, article 12 CRR

 

 

 

 

Row

ID

Item

Legal references

Market value

Value according to Article 418 of CRR

Amount

Undrawn amount of line

620-850

4

ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR BUT STILL MEET THE REQUIREMENTS OF ART. 417 (b) AND (c ) CRR

 

 

 

 

 

620-640

4,1

financial corporate bonds

Article 416 (2) of CRR

 

 

 

 

620

4.1.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

630

4.1.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

640

4.1.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

650-670

4,2

own issuances

Article 416.3(b) -of CRR

 

 

 

 

650

4.2.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

660

4.2.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

670

4.2.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

680-700

4,3

unsecured credit institution issuances

Article 416 of CRR

 

 

 

 

680

4.3.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

690

4.3.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

700

4.3.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

710-730

4,4

non residential mortgage backed instruments not already reported in 1.10

Article 416 (4)(b) CRR

 

 

 

 

710

4.4.1

credit quality step 1

Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

720

4.4.2

credit quality step 2

Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

730

4.4.3

credit quality step 3

Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

740-760

4,5

residential mortgage backed instruments not already reported in 1.11

Article 509(3)(a) CRR

 

 

 

 

740

4.5.1

credit quality step 1

Chapter 5,Title 2 of Part III and Article 125 of CRR

 

 

 

 

750

4.5.2

credit quality step 2

Chapter 5,Title 2 of Part III and Article 125 of CRR

 

 

 

 

760

4.5.3

credit quality step 3

Chapter 5,Title 2 of Part III and Article 125 of CRR

 

 

 

 

770

4,6

equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions

Article 509(3)(c) and 416(4)(a) of CRR

 

 

 

 

780

4,7

gold

Article 509(3)(c) and 416(4)(a) of CRR

 

 

 

 

790

4,8

guaranteed bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

800

4,9

covered bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

810

4.10

corporate bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

820

4.11

funds based on the assets reported in 4.5 -4.10

Article 509(3)(c) of CRR

 

 

 

 

830-850

4.12

other categories of central bank eligible securities or loans

Article 509(3)(b) of CRR

 

 

 

 

830

4.12.1

local government bonds

Article 509(3)(b) of CRR

 

 

 

 

840

4.12.2

commercial paper

Article 509(3)(b) of CRR

 

 

 

 

850

4.12.3

credit claims

Article 416(4)(c) of CRR

 

 

 

 

860-870

5

TREATMENT FOR JURISDICTIONS WITH INSUFFICIENT HQLA

Article 419(2)(a) of CRR

 

 

 

 

860

5,1

Use of derogation A (foreign currency)

Article 419(2)(a) of CRR

 

 

 

 

870

5,2

Use of derogation B (credit line from the relevant central bank)

Article 419(2)(b) of CRR

 

 

 

 

880-900

6

REPORTING OF SHAR'IAH COMPLIANT ASSETS AS ALTERNATIVE ASSETS UNDER 509(2)(i). Shar'iah -compliant financial products as alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks

Article 509(2)(i) of CRR

 

 

 

 

880

6.1

credit quality step 1

 

 

 

 

 

890

6.2

credit quality step 2

 

 

 

 

 

900

6.3

credit quality step 3

 

 

 

 

 



C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS

 

Amount

Outflow

 

Row

ID

Item

Legal references

010

020

030

040

050

060

070

080

090

100

110

120

020-1370

1

OUTFLOWS

 

 

 

 

 

 

 

 

 

 

 

 

 

020-100

1,1

retail deposits

Article 421 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

020-040

1.1.1

covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Article 421(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

020

1.1.1.1

part of an established relationship making withdrawal highly unlikely

Article 421(1)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

030

1.1.1.2

held in transactional accounts, including accounts to which salaries are regularly credited

Article 421(1)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

040

1.1.2

covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2

Article 421(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

050

1.1.3

uninsured retail deposits

Article 421(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

060-080

1.1.4

deposits subject to different outflows than specified in Article 421(1) or 421(2)

Article 421(3) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

060

1.1.4.1

Category 1

 

 

 

 

 

 

 

 

 

 

 

 

 

070

1.1.4.2

Category 2

 

 

 

 

 

 

 

 

 

 

 

 

 

080

1.1.4.3

Category 3

 

 

 

 

 

 

 

 

 

 

 

 

 

090

1.1.5

deposits in third countries where a higher outflow is applied

Article 421(4) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

100

1.1.6

deposits exempted from the calculation of outflows where the conditions of Art. 421(5)(a) and (b) have been met

Article 421(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

110-1130

1,2

outflows on other liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

110

1.2.1

liabilities resulting from the institution's own operating expenses

Article 422(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

Row

ID

Item

Legal references

Market value

Where the counterparty is not a central bank

Where the counterparty is a central bank

Where the counterparty is the central government, a public sector entity of the Member state in which the credit istitution has been authorised or has establised a branch, or a multilateral development bank (Art.422.2(d))

extremely high liquidity and credit quality assets

high liquidity and credit quality

other liquidity and credit quality

extremely high liquidity and credit quality assets

high liquidity and credit quality

other liquidity and credit quality

Assets which do not qualify as liquid assets in accordance with Article 416

Amount due

Value according to Art. 418 CRR

Amount due

Value according to Art. 418 CRR

Amount due

Amount due

Value according to Art. 418 CRR

Amount due

Value according to Art. 418 CRR

Amount due

Amount due

120-950

1.2.2

Liabilities resulting from secured lending and capital market driven transactions as defined in Article 192:

Article 422(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

120-190

1.2.2.1

Other transferable assets representing claims on or guaranteed by

Article 416(1)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

120-130

1.2.2.1.1

transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

120

1.2.2.1.1.1

representing claims

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

130

1.2.2.1.1.2

guaranteed by

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

140-150

1.2.2.1.2

transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity

Article 416(1)(c)(ii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

140

1.2.2.1.2.1

representing claims on

Article 416(1)(c)(ii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

150

1.2.2.1.2.2

guaranteed by

Article 416(1)(c)(ii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

160-170

1.2.2.1.3

transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks;

Article 416(1)(c)(iii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

160

1.2.2.1.3.1

representing claims on

Article 416(1)(c)(iii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

170

1.2.2.1.3.2

guaranteed by

Article 416(1)(c)(iii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

180-190

1.2.2.1.4

transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

180

1.2.2.1.4.1

representing claims on

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

190

1.2.2.1.4.2

guaranteed by

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

200-220

1.2.2.2

total shares or units in CIUs with underlying assets specified in Article 416

Article 416(6) and 418(2) CRR

 

 

 

 

 

 

 

 

 

 

 

 

200

1.2.2.2.1

underlying assets in point (a) of article 416(1)

Article 418(2)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

210

1.2.2.2.2

underlying assets in point (b) and (c) of article 416(1)

Article 418(2)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

220

1.2.2.2.3

underlying assets in point (d) of article 416(1)

Article 418(2)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

230

1.2.2.3

assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met

Article 416(2)(a)(iii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

240-260

1.2.2.4

non financial corporate bonds

Article 416(1)(b) or (d) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

240

1.2.2.4.1

credit quality step 1

Article 122 CRR

 

 

 

 

 

 

 

 

 

 

 

 

250

1.2.2.4.2

credit quality step 2

Article 122 CRR

 

 

 

 

 

 

 

 

 

 

 

 

260

1.2.2.4.3

credit quality step 3

Article 122 CRR

 

 

 

 

 

 

 

 

 

 

 

 

270-290

1.2.2.5

bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

270

1.2.2.5.1

credit quality step 1

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

280

1.2.2.5.2

credit quality step 2

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

290

1.2.2.5.3

credit quality step 3

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

300-320

1.2.2.6

non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

300

1.2.2.6.1

credit quality step 1

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

310

1.2.2.6.2

credit quality step 2

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

320

1.2.2.6.3

credit quality step 3

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

330-350

1.2.2.7

residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

330

1.2.2.7.1

credit quality step 1

Chapter 5 Title 2 of part V and Article 125 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

340

1.2.2.7.2

credit quality step 2

Chapter 5, Title 2 of part V and Article 125 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

350

1.2.2.7.3

credit quality step 3

Chapter 5, Title 2, and Article 125 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

360-380

1.2.2.8

bonds issued by a credit institution as defined in Art. 52(4) of Directive 2009/65/EC other than those referred to in 1.9 of LCR-Assets' template

Article 416(2)(a)(ii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

360

1.2.2.8.1

credit quality step 1

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

370

1.2.2.8.2

credit quality step 2

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

380

1.2.2.8.3

credit quality step 3

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

390-410

1.2.2.9

other transferable assets that are of extremely high liquidity and credit quality

Article 416(1)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

390

1.2.2.9.1

credit quality step 1

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

 

 

 

 

 

 

400

1.2.2.9.2

credit quality step 2

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

 

 

 

 

 

 

410

1.2.2.9.3

credit quality step 3

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

 

 

 

 

 

 

420-440

1.2.2.10

other transferable assets that are of high liquidity and credit quality

Article 416(1)(d) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

420

1.2.2.10.1

credit quality step 1

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

 

 

 

 

 

 

430

1.2.2.10.2

credit quality step 2

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

 

 

 

 

 

 

440

1.2.2.10.3

credit quality step 3

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

 

 

 

 

 

 

450-460

1.2.2.11

Assets which meet the requirements of article 416 point (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

450

1.2.2.11.1

assets not controlled by a liquidity management function

Article 417 (c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

460

1.2.2.11.2

assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets

Article 417 (b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

480-680

1.2.2.12

Items subject to supplementary reporting of liquid assets

 

 

 

 

 

 

 

 

 

 

 

 

 

480

1.2.2.12.1

Cash

Annex III, article 1 CRR

 

 

 

 

 

 

 

 

 

 

 

 

490

1.2.2.12.2

Central bank exposures, to the extent that these exposures can be drawn down in times of stress

Annex III, article 2 CRR

 

 

 

 

 

 

 

 

 

 

 

 

500-540

1.2.2.12.3

transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities

Annex III, article 3 CRR

 

 

 

 

 

 

 

 

 

 

 

 

500

1.2.2.12.3.1

representing claims on sovereigns

Annex III, article 3 CRR

 

 

 

 

 

 

 

 

 

 

 

 

510

1.2.2.12.3.2

claims guaranteed by sovereigns

Annex III, article 3 CRR

 

 

 

 

 

 

 

 

 

 

 

 

520

1.2.2.12.3.3

representing claims on or claims guaranteed by central banks

Annex III, article 3 CRR

 

 

 

 

 

 

 

 

 

 

 

 

530

1.2.2.12.3.4

representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities

Annex III, article 3 CRR

 

 

 

 

 

 

 

 

 

 

 

 

540

1.2.2.12.3.5

representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks

Annex III, article 3 CRR

 

 

 

 

 

 

 

 

 

 

 

 

550

1.2.2.12.4

Transferable securities other than those referred to in 3.3 of the LCR-Assets' template representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country

Annex III, article 4 CRR

 

 

 

 

 

 

 

 

 

 

 

 

570-610

1.2.2.12.5

transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entities

Annex III, article 5 CRR

 

 

 

 

 

 

 

 

 

 

 

 

570

1.2.2.12.5.1

representing claims on sovereigns

Annex III, article 5 CRR

 

 

 

 

 

 

 

 

 

 

 

 

580

1.2.2.12.5.2

claims guaranteed by sovereigns

Annex III, article 5 CRR

 

 

 

 

 

 

 

 

 

 

 

 

590

1.2.2.12.5.3

representing claims on or claims guaranteed by central banks

Annex III, article 5 CRR

 

 

 

 

 

 

 

 

 

 

 

 

600

1.2.2.12.5.4

representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities

Annex III, article 5 CRR

 

 

 

 

 

 

 

 

 

 

 

 

610

1.2.2.12.5.5

representing claims on or claims guaranteed by multilateral development banks

Annex III, article 5 CRR

 

 

 

 

 

 

 

 

 

 

 

 

620

1.2.2.12.6

transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Point 6 of Annex III CRR

Annex III, article 6 CRR

 

 

 

 

 

 

 

 

 

 

 

 

630

1.2.2.12.7

transferable securities other than those referred to in 3.3 to 3.6 of the LCR-Assets' template that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities

Annex III, article 7 CRR

 

 

 

 

 

 

 

 

 

 

 

 

640

1.2.2.12.8

transferable securities other than those referred to in 3.3 to 3.7 of the LCR-Assets' template that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Art. 125 CRR

Annex III, article 8 CRR

 

 

 

 

 

 

 

 

 

 

 

 

650

1.2.2.12.9

standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance

Annex III, article 9 CRR

 

 

 

 

 

 

 

 

 

 

 

 

660

1.2.2.12.10

Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.

Annex III, article 10 CRR

 

 

 

 

 

 

 

 

 

 

 

 

670

1.2.2.12.11

exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates

Annex III, article 11 CRR

 

 

 

 

 

 

 

 

 

 

 

 

680

1.2.2.12.12

gold listed on a recognised exchange, held on an allocated basis

Annex III, article 12 CRR

 

 

 

 

 

 

 

 

 

 

 

 

690-920

1.2.2.13

ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1)-(3) OF CRR but still meet the requirements of Article 417 (b) and (c) CRR.

 

 

 

 

 

 

 

 

 

 

 

 

 

690-710

1.2.2.13.1

financial corporate bonds

Article 416 (2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

690

1.2.2.13.1.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

700

1.2.2.13.1.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

710

1.2.2.13.1.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

720-740

1.2.2.13.2

own issuances

Article 416.3(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

720

1.2.2.13.2.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

730

1.2.2.13.2.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

740

1.2.2.13.2.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

750-770

1.2.2.13.3

unsecured credit institution issuances

Article 416 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

750

1.2.2.13.3.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

760

1.2.2.13.3.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

770

1.2.2.13.3.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

780-800

1.2.2.13.4

asset backed securities not already reported in 1.10 to 1.11.3

Article 416 (4)(b) CRR

 

 

 

 

 

 

 

 

 

 

 

 

780

1.2.2.13.4.1

credit quality step 1

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

790

1.2.2.13.4.2

credit quality step 2

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

800

1.2.2.13.4.3

credit quality step 3

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

810-830

1.2.2.13.5

residential mortgage backed securities not already reported in 1.10 to 1.11.3

Article 509(3)(a) CRR

 

 

 

 

 

 

 

 

 

 

 

 

810

1.2.2.13.5.1

credit quality step 1

Chapter 5, Title 2 of Part III and Article 125 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

820

1.2.2.13.5.2

credit quality step 2

Chapter 5, Title 2 of Part III and Article 125 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

830

1.2.2.13.5.3

credit quality step 3

Chapter 5, Title 2 of Part III and Article 125 of CRR

 

 

 

 

 

 

 

 

 

 

 

 

840

1.2.2.13.6

equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions

Article 509(3)(c) and 416(4)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

850

1.2.2.13.7

gold

Article 509(3)(c) and 416(4)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

860

1.2.2.13.8

guaranteed bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

870

1.2.2.13.9

covered bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

880

1.2.2.13.10

corporate bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

890

1.2.2.13.11

funds based on the assets reported in 4.5 -4.9

Article 509(3)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

900-920

1.2.2.13.12

other categories of central bank eligible securities or loans

Article 509(3)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

900

1.2.2.13.12.1

local government bonds

Article 509(3)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

910

1.2.2.13.12.2

commercial paper

Article 509(3)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

920

1.2.2.13.12.3

credit claims

Article 416(4)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

930-950

1.2.2.14

Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i)

 

 

 

 

 

 

 

 

 

 

 

 

 

930-950

1.2.2.14.1

Shar'iah -compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks

Article 509(2)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

930

1.2.2.14.1.1

credit quality step 1

 

 

 

 

 

 

 

 

 

 

 

 

 

940

1.2.2.14.1.2

credit quality step 2

 

 

 

 

 

 

 

 

 

 

 

 

 

950

1.2.2.14.1.3

credit quality step 3

 

 

 

 

 

 

 

 

 

 

 

 

 

Row

ID

Item

Legal References

Amount deposited by clients that are financial customers

Outflow

Amount deposited by clients that are not financial customers

Outflow

Amount

 

 

 

 

 

 

 

960-1030

1.2.3

deposits that have to be maintained by the depositor:

Article 422 (3) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

960-990

1.2.3.1.

in order to obtain clearing, custody or cash management services or other comparable services (excluding correspondent banking or prime brokerage services)

Article 422 (3)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

960-970

1.2.3.1.1

which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

 

 

 

 

 

 

 

 

 

 

 

 

 

960

1.2.3.1.1.1

of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality

 

 

 

 

 

 

 

 

 

 

 

 

 

970

1.2.3.1.1.2

of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality

 

 

 

 

 

 

 

 

 

 

 

 

 

980-990

1.2.3.1.2

which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

 

 

 

 

 

 

 

 

 

 

 

 

 

980

1.2.3.1.2.1

of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality

 

 

 

 

 

 

 

 

 

 

 

 

 

990

1.2.3.1.2.2

of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality

 

 

 

 

 

 

 

 

 

 

 

 

 

1000

1.2.3.2

in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2

Article 422 (3)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1010

1.2.3.2.1

of which are correspondent banking or prime brokerage services

Article 422 (3)(c) and (4) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1020

1.2.3.3

in the context of common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme

Article 422 (3)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1030

1.2.3.4

to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions;

Article 422.3(d) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1040

1.2.4

Deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f)

Article 422(3) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1050

1.2.5

liqudity lines for assets specified in Article 416(1)(f)

Article 416(1)(f)

 

 

 

 

 

 

 

 

 

 

 

 

Row

ID

Item

Legal References

Amount

Outflow

 

 

 

 

 

 

 

 

 

 

1060-1070

1.2.6

liabilities not reported in 1.2.2 to 1.2.5 resulting from deposits by clients that are not financial customers

Article 422(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1060

1.2.6.1

which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Article 422(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1070

1.2.6.2

which are not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Article 422(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1080

1.2.7

net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416

Article 422(6) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1090-1100

1.2.8

liabilities for which the competent authority has determined a lower outflow in accordance with Article 422(8)

Article 422(8) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1090

1.2.8.1

where all the conditions of Article 422(8) (a), (b), (c) and (d) are met

Article 422(8) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1100

1.2.8.2

where point (d) of Article 422(8)(d) has been waived by the competent authorities and all the conditions of Article 422 (8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 19 (1)(b) in relation to institutions that are not subject to the waiver of Article 8 liabilities for which the competent authority has determined a lower outflow in accordance with article 422(9)

Article 422(9) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1110-1120

1.2.9

outflows not captured above

Article 420(1)(e) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1110

1.2.9.1

liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, including, but not limited to committed funding facilities, un-drawn loans and advances to wholesale counterparties, mortgages that have been agreed but not yet drawn down, credit cards, overdrafts, planned outflows related to renewal or extension of new retail or wholesale loans, planned derivative payables

Article 420(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1120

1.2.9.2

trade finance off balance sheet related products, as defined in Article 429 and Annex I

Article 420(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1130

1.2.10

all other liabilities

Article 422(7) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

Row

ID

Item

Legal References

Amount

Outflow

Market value

Value according to Article 418 of the CRR

 

 

 

 

 

 

 

 

1140-1210

1,3

additional Outflows

 

 

 

 

 

 

 

 

 

 

 

 

 

1140

1.3.1

for collateral other than assets referred to in Article 416.1(a) to (c) which is posted by the institution for contracts listed in Annex II and credit derivatives

Article 423(1) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1150

1.3.2

corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution

Article 423(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1160

1.3.3

corresponding to additional collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transaction, financing transactions and other contracts if material

Article 423 (3) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1170

1.3.4

corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets

Article 423 (4) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1180

1.3.5

corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty

Article 423(5)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1190

1.3.6

corresponding to collateral that is due to be returned to a counterparty

Article 423(5)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1200

1.3.7

corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the institution.

Article 423(5)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1210

1.3.8

deposits received as collateral

Article 423(6) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

Row

ID

Item

Legal References

Amount

Outflow

 

 

 

 

 

 

 

 

 

 

1220-1370

1,4

outflows from credit and liquidity facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1220

1.4.1

maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for retail clients

Article 424 (2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1230-1240

1.4.2

maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for clients other than retail and financial customers

Article 424(3) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1230

1.4.2.1

undrawn committed credit facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1240

1.4.2.2

undrawn committed liquidity facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1250

1.4.3

maximum amount that can be drawn of undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers that exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased

Article 424(4) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1260-1270

1.4.4

maximum amount that can be drawn of other undrawn committed credit faciltiies and undrawn committed liquidity facilities not reported in 1.4.1, 1.4.2 or 1.4.3

Article 424(5) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1260

1.4.4.1

granted to SSPEs other than those in 1.4.3

Article 424(5) (a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1270

1.4.4.2

arrangements under which the institution is required to buy or swap assets from an SSPE

Article 424 (5)(b) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1280-1290

1.4.4.3

extended to credit institutions

Article 424(5)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1280

1.4.4.3.1

undrawn committed credit facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1290

1.4.4.3.2

undrawn committed liquidity facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1300-1310

1.4.4.4

extended to financial institutions and investment firms

Article 424(5) (d) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1300

1.4.4.4.1

undrawn committed credit facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1310

1.4.4.4.2

undrawn committed liquidity facilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1320

1.4.4.5

extended to other clients

 

 

 

 

 

 

 

 

 

 

 

 

 

1330

1.4.4.6

extended to intra-group entity in accordance with article 424(5)

Article 424(5) (d) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1340

1.4.5

maximum amount that can be drawn of undrawn credit and liquidity facilities granted for the purpose of funding promotional loans

Article 424(6) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

1350

1.4.6

maximum amount that can be drawn from all other contingent liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

1360

1.4.6.1

Of which: extended to intra-group entity in accordance with Article 424(5)

Article 424(5) CRR

 

 

 

 

 

 

 

 

 

 

 

 

1370

1.4.7

Outflows according to Article 105 CRD

Article 105 CRD

 

 

 

 

 

 

 

 

 

 

 

 



C 53.00 — LIQUIDITY COVERAGE — INFLOWS

 

Amount

Inflow

 

Row

ID

Item

Legal references

010

020

030

040

050

060

010-1030

 

INFLOWS

Article 425 of CRR

 

 

 

 

 

 

010-980

1

INFLOWS (CAPPED)

Article 425 (1) of CRR

 

 

 

 

 

 

010-060

1.1.

Monies due from customers that are not financial customers

Article 425 of CRR

 

 

 

 

 

 

010

1.1.1.

Monies due from retail customers

Article 425 of CRR

 

 

 

 

 

 

020

1.1.2

monies due from non-financial corporate customers payment

Article 425 of CRR

 

 

 

 

 

 

030

1.1.2.1

Of which: that the institution owing those monies treats according to Article 422 (2) (e)

Article 425 (2) (e)

 

 

 

 

 

 

040

1.1.3

monies due from central banks

Article 425 (2)(a) of CRR

 

 

 

 

 

 

050

1.1.1.3.1

Of which: that the institution owing those monies treats according to Article 422 (3) and (4)

Article 425 (2)(e) of CRR

 

 

 

 

 

 

060

1.1.4

monies due from other entities

Article 425 (2)(a) of CRR

 

 

 

 

 

 

070-080

1.2

Monies due from financial customers

Article 425 (2) of CRR

 

 

 

 

 

 

070

1.2.1

that the institution owing those monies treats according to Article 422(3) and (4)

Article 425 (2)(e) of CRR

 

 

 

 

 

 

080

1.2.2

that the competent authority has granted the permission to apply a lower outflow percentage according to Article 422.8

Article 422(8) of CRR

 

 

 

 

 

 

090

1.3

monies due from trade financing transactions according to Article 425(2) point (b)

Article 425 (2)(b) of CRR

 

 

 

 

 

 

100

1.4

assets with an undefined contractual end date that are callable within 30 days

Article 425 (2)(c) of CRR

 

 

 

 

 

 

110

1.5

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

Article 425 (2)(f) of CRR

 

 

 

 

 

 

Row

ID

Item

Legal references

extremely high liquidity

and credit quality assets

high liquidity

and credit quality

other liquidity

and credit quality

Amount due

Market value of the asset securing the transaction

Amount due

Market value of the asset securing the transaction

Amount due

Market value of the asset securing the transaction

120-930

1.6

Monies due from secured lending and capital market driven transactions as defined in Article 192:

Article 425.2.(d) of CRR

 

 

 

 

 

 

120-190

1.6.1.

Other transferable assets representing claims on or guaranteed by

Article 416(1)(c) of CRR

 

 

 

 

 

 

120-130

1.6.1.1

transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

120

1.6.1.1.1

representing claims

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

130

1.6.1.1.2

guaranteed by

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

140-150

1.6.1.2

transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities -in the domestic currency of the central bank and public sector entity

Article 416(1)(c)(ii) of CRR

 

 

 

 

 

 

140

1.6.1.2.1

representing claims on

Article 416(1)(c)(ii) of CRR

 

 

 

 

 

 

150

1.6.1.2.2

guaranteed by

Article 416(1)(c)(ii) of CRR

 

 

 

 

 

 

160-170

1.6.1.3

transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks;

Article 416(1)(c)(iii) of CRR

 

 

 

 

 

 

160

1.6.1.3.1

representing claims on

Article 416(1)(c)(iii) of CRR

 

 

 

 

 

 

170

1.6.1.3.2

guaranteed by

Article 416(1)(c)(iii) of CRR

 

 

 

 

 

 

180-190

1.6.1.4

transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

180

1.6.1.4.1

representing claims on

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

190

1.6.1.4.2

guaranteed by

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

200-220

1.6.2

total shares or units in CIUs with underlying assets specified in Article 416

Article 416(6) and 418(2) CRR

 

 

 

 

 

 

200

1.6.2.1

underlying assets in point (a) of article 416(1)

Article 418(2)(a) of CRR

 

 

 

 

 

 

210

1.6.2.2

underlying assets in point (b) and (c) of article 416(1)

Article 418(2)(b) of CRR

 

 

 

 

 

 

220

1.6.2.3

underlying assets in point (d) of article 416(1)

Article 418(2)(c) of CRR

 

 

 

 

 

 

230

1.6.3

assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met

Article 416(2)(a)(iii) of CRR

 

 

 

 

 

 

240-260

1.6.4

non financial corporate bonds

Article 416(1)(b) or (d) of CRR

 

 

 

 

 

 

240

1.6.4.1

credit quality step 1

Article 122 CRR

 

 

 

 

 

 

250

1.6.4.2

credit quality step 2

Article 122 CRR

 

 

 

 

 

 

260

1.6.4.3

credit quality step 3

Article 122 CRR

 

 

 

 

 

 

270-290

1.6.5

bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

270

1.6.5.1

credit quality step 1

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

280

1.6.5.2

credit quality step 2

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

290

1.6.5.3

credit quality step 3

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

300-320

1.6.6

non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

300

1.6.6.1

credit quality step 1

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

310

1.6.6.2

credit quality step 2

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

320

1.6.6.3

credit quality step 3

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

330-350

1.6.7

residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

330

1.6.7.1

credit quality step 1

Chapter 5 Title 2 of part V and Article 125 of CRR

 

 

 

 

 

 

340

1.6.7.2

credit quality step 2

Chapter 5, Title 2 of part V and Article 125 of CRR

 

 

 

 

 

 

350

1.6.7.3

credit quality step 3

Chapter 5, Title 2, and Article 125 of CRR

 

 

 

 

 

 

360-380

1.6.8

bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9

Article 416(2)(a)(ii) of CRR

 

 

 

 

 

 

360

1.6.8.1

credit quality step 1

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

370

1.6.8.2

credit quality step 2

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

380

1.6.8.3

credit quality step 3

Article 129(4) or 129(5) of CRR

 

 

 

 

 

 

390-410

1.6.9

other transferable assets that are of extremely high liquidity and credit quality

Article 416(1)(b) of CRR

 

 

 

 

 

 

390

1.6.9.1

credit quality step 1

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

400

1.6.9.2

credit quality step 2

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

410

1.6.9.3

credit quality step 3

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

420-440

1.6.10

other transferable assets that are of high liquidity and credit quality

Article 416(1)(d) of CRR

 

 

 

 

 

 

420

1.6.10.1

credit quality step 1

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

430

1.6.10.2

credit quality step 2

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

440

1.6.10.3

credit quality step 3

Chapter 2, Title 2, Part III of CRR

 

 

 

 

 

 

450-460

1.6.11

Assets which meet the requirements of article 416 point (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) CRR

 

 

 

 

 

 

 

450

1.6.11.1

assets not controlled by a liquidity management function

Article 417 (c) of CRR

 

 

 

 

 

 

460

1.6.11.2

assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets

Article 417 (b) of CRR

 

 

 

 

 

 

470-660

1.6.12

Items subject to supplementary reporting of liquid assets

 

 

 

 

 

 

 

470

1.6.12.1

Cash

Annex III, article 1 CRR

 

 

 

 

 

 

480

1.6.12.2

Central bank exposures, to the extent that these exposures can be drawn down in times of stress

Annex III, article 2 CRR

 

 

 

 

 

 

490-530

1.6.12.3

transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities

Annex III, article 3 CRR

 

 

 

 

 

 

490

1.6.12.3.1

representing claims on sovereigns

Annex III, article 3 CRR

 

 

 

 

 

 

500

1.6.12.3.2

claims guaranteed by sovereigns

Annex III, article 3 CRR

 

 

 

 

 

 

510

1.6.12.3.3

representing claims on or claims guaranteed by central banks

Annex III, article 3 CRR

 

 

 

 

 

 

520

1.6.12.3.4

representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities

Annex III, article 3 CRR

 

 

 

 

 

 

530

1.6.12.3.5

representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks

Annex III, article 3 CRR

 

 

 

 

 

 

540

1.6.12.4

Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country

Annex III, article 4 CRR

 

 

 

 

 

 

550-590

1.6.12.5

transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entities

Annex III, article 5 CRR

 

 

 

 

 

 

550

1.6.12.5.1

representing claims on sovereigns

Annex III, article 5 CRR

 

 

 

 

 

 

560

1.6.12.5.2

claims guaranteed by sovereigns

Annex III, article 5 CRR

 

 

 

 

 

 

570

1.6.12.5.3

representing claims on or claims guaranteed by central banks

Annex III, article 5 CRR

 

 

 

 

 

 

580

1.6.12.5.4

representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities

Annex III, article 5 CRR

 

 

 

 

 

 

590

1.6.12.5.5

representing claims on or claims guaranteed by multilateral development banks

Annex III, article 5 CRR

 

 

 

 

 

 

600

1.6.12.6

transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRR

Annex III, article 6 CRR

 

 

 

 

 

 

610

1.6.12.7

transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities

Annex III, article 7 CRR

 

 

 

 

 

 

620

1.6.12.8

transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125

Annex III, article 8 CRR

 

 

 

 

 

 

630

1.6.12.9

standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance

Annex III, article 9 CRR

 

 

 

 

 

 

640

1.6.12.10

Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.

Annex III, article 10 CRR

 

 

 

 

 

 

650

1.6.12.11

exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates

Annex III, article 11 CRR

 

 

 

 

 

 

660

1.6.12.12

gold listed on a recognised exchange, held on an allocated basis

Annex III, article 12 CRR

 

 

 

 

 

 

670-920

1.6.13

ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR but still meet the requirements of Article 417 (b) and (c) CRR.

 

 

 

 

 

 

 

670-690

1.6.13.1

financial corporate bonds

Article 416 (2) of CRR

 

 

 

 

 

 

670

1.6.13.1.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

 

 

680

1.6.13.1.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

 

 

690

1.6.13.1.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

 

 

700-720

1.6.13.2

own issuances

Article 416.3(b) of CRR

 

 

 

 

 

 

700

1.6.13.2.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

 

 

710

1.6.13.2.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

 

 

720

1.6.13.2.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

 

 

730-750

1.6.13.3

unsecured credit institution issuances

Article 416 of CRR

 

 

 

 

 

 

730

1.6.13.3.1

credit quality step 1

Article 120(1) of CRR

 

 

 

 

 

 

740

1.6.13.3.2

credit quality step 2

Article 120(1) of CRR

 

 

 

 

 

 

750

1.6.13.3.3

credit quality step 3

Article 120(1) of CRR

 

 

 

 

 

 

760-780

1.6.13.4

non residential mortgage backed instruments not already reported in 1.10 of the LCR-Assets' template

Article 416 (4)(b) CRR

 

 

 

 

 

 

760

1.6.13.4.1

credit quality step 1

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

770

1.6.13.4.2

credit quality step 2

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

780

1.6.13.4.3

credit quality step 3

Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR

 

 

 

 

 

 

790-810

1.6.13.5

residential mortgage backed instruments not already reported in 1.11 of the LCR-Assets' template

Article 509(3)(a) CRR

 

 

 

 

 

 

790

1.6.13.5.1

credit quality step 1

Chapter 5, Title 2 of Part III and Article 125 of CRR

 

 

 

 

 

 

800

1.6.13.5.2

credit quality step 2

Chapter 5, Title 2 of Part III and Article 125 of CRR

 

 

 

 

 

 

810

1.6.13.5.3

credit quality step 3

Chapter 5, Title 2 of Part III and Article 125 of CRR

 

 

 

 

 

 

820

1.6.13.6

equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions

Article 509(3)(c) and 416(4)(a) of CRR

 

 

 

 

 

 

830

1.6.13.7

gold

Article 509(3)(c) and 416(4)(a) of CRR

 

 

 

 

 

 

840

1.6.13.8

guaranteed bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

 

 

850

1.6.13.9

covered bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

 

 

860

1.6.13.10

corporate bonds not already reported above

Article 509(3)(c) of CRR

 

 

 

 

 

 

870

1.6.13.11

funds based on the assets reported in 4.5 - 4.9

Article 509(3)(c) of CRR

 

 

 

 

 

 

880-900

1.6.13.12

other categories of central bank eligible securities or loans

Article 509(3)(c) of CRR

 

 

 

 

 

 

880

1.6.13.12.1

local government bonds

Article 509(3)(c) of CRR

 

 

 

 

 

 

890

1.6.13.12.2

commercial paper

Article 509(3)(c) of CRR

 

 

 

 

 

 

900

1.6.13.12.3

credit claims

Article 416(4)(c) of CRR

 

 

 

 

 

 

910-930

1.6.13.13

Shar'iah -compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks

Article 509(2)(i) of CRR

 

 

 

 

 

 

910

1.6.13.13.1

credit quality step 1

 

 

 

 

 

 

 

920

1.6.13.13.2

credit quality step 2

 

 

 

 

 

 

 

930

1.6.13.13.3

credit quality step 3

 

 

 

 

 

 

 

Row

ID

Item

Legal references

Amount

Inflow

 

 

940-960

1.7

Undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(4) of CRR

Article 425 (4) of CRR

 

 

 

 

 

 

940

1.7.1

where all the conditions of Article 425.4 (a), (b) and (c) are met

 

 

 

 

 

 

 

950

1.7.2

where point (d) of Article 425(4) has been waived by the competent authorities and all the conditions of Article 425(4) (a), (b) and (c) are met for the purposes of applying the intra-group treatment of Article 19(1)(b) in relation to institutions that are not subject to the waiver of Article 7, undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(5)

Article 425 (4) (a) and (b) and (c) of CRR

 

 

 

 

 

 

960

1.7.3

net receivables expected from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)

Article 425 (3) of CRR

 

 

 

 

 

 

970

1,8

payments due on liquid assets not reflected in the market value of the asset

Article 425 (7) of CRR

 

 

 

 

 

 

980

1,9

other inflows

 

 

 

 

 

 

 

990

2

TOTAL CASH INFLOWS EXCLUDED DUE TO THE CAP

Article 425 of CRR

 

 

 

 

 

 

1000-1030

3

INFLOWS EXEMPT FROM THE CAP

Article 425 (1) of CRR

 

 

 

 

 

 

1000

3.1

monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or in defined in Article 52(4) of Directive 2009/65/EC

Article 425 (1) of CRR

 

 

 

 

 

 

1010

3.2

inflows from promotional loans that the institution has passed through

Article 425 (1) of CRR

 

 

 

 

 

 

1020

3.3

inflows qualifying fro the treatment set out in article 113(6) or 113(7)

Article 425 (1) of CRR

 

 

 

 

 

 

1030

3.4

inflows from intra-group entity approved by competent authority

Article 425 (1) of CRR

 

 

 

 

 

 



C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS

 

Other assets

Within 30 days

Over 30 days

Notional

Market value

Notional

Market value

Row

ID

Item

Legal references

010

020

030

040

010-060

1

ASSETS

 

 

 

 

 

010

1.1

cash and exposures to central banks

Article 416(1)(a) CRR

 

 

 

 

020

1.2

other transferable assets according to Article 416(1)(b)

Article 416(1)(b) CRR

 

 

 

 

030-060

1.3

other transferable assets representing claims on or guaranteed by

Article 416(1)(c) of CRR

 

 

 

 

030

1.3.1

transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the Institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets

Article 416(1)(c)(i) of CRR

 

 

 

 

040

1.3.2

transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities -in the domestic currency of the central bank and public sector entity

Article 416(1)(c)(ii) of CRR

 

 

 

 

050

1.3.3

transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks

Article 416(1)(c)(iii) of CRR

 

 

 

 

060

1.3.4

transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism

Article 416(1)(c)(iv) of CRR

 

 

 

 



C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING

 

amount extremely high liquidity and credit quality

amount high liquidity and credit quality

amount other assets

within three months

between three and 6 months

between 6 and 9 months

between 9 and 12 months

after 12 months

within three months

between three and 6 months

between 6 and 9 months

between 9 and 12 months

after 12 months

within three months

between three and 6 months

between 6 and 9 months

between 9 and 12 months

after 12 months

Row

ID

Item

Legal references

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

010-1330

1

ITEMS REQUIRING STABLE FUNDING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

010-470

1.1

assets referred to in Article 416

Article 428(1)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

010

1.1.1

cash

Article 416(1)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

020

1.1.2

exposures to central bank

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

1.1.2.1

Of which: exposures that can be withdrawn in times of stress

Article 416(1)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040-050

1.1.3

transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets

Article 416(1)(c)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

1.1.3.1

representing claims

Article 416(1)(c)(i)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

1.1.3.2

guaranteed by

Article 416(1)(c)(i)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060-070

1.1.4

transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity

Article 416(c)(ii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

1.1.4.1

representing claims

Article 416(c)(ii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

1.1.4.2

guaranteed by

Article 416(c)(ii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080-150

1.1.5

transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Commission and multilateral development banks

Article 416(c)(iii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

1.1.5.1.a)

representing claims

Article 416(c)(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

1.1.5.2.a)

guaranteed by

Article 416(c)(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

1.1.5.1.b)

amount unencumbered

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

1.1.5.2.b)

amount encumbered for a period within three months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

1.1.5.3.b)

amount encumbered for a period between three and 6 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

1.1.5.4.b)

amount encumbered for a period between 6 and 9 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

1.1.5.5.b)

amount encumbered for a period between 9 and 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

1.1.5.6.b)

amount encumbered for a period greater than 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

152-153

1.1.6

transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism

Article 416(1)(c)(iv) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

152

1.1.6.1

representing claims

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

153

1.1.6.2

guaranteed by

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160-230

1.1.7

total shares or units in CIUs with underlying assets specified in Article 416

Article 418(2) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

1.1.7.1.a

underlying assets in point (a) of Article 416(1)

Article 418(2)(a) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

1.1.7.2.a

underlying assets in point (b) and (c) of Article 416(1)

Article 418 (2)(b) and (c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

175

1.1.7.3.a

underlying assets in point (d) of Article 416(1)

Article 418(2)(c) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

1.1.7.1.b

amount unencumbered

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

1.1.7.2.b

amount encumbered for a period within three months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

1.1.7.3.b

amount encumbered for a period between three and 6 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

1.1.7.4.b

amount encumbered for a period between 6 and 9 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

1.1.7.5.b

amount encumbered for a period between 9 and 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

1.1.7.6.b

amount encumbered for a period greater than 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

232-233

1.1.8

deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assets

Article 416(1)(f) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

232

1.1.8.1

deposits

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

233

1.1.8.2

contractually available liquid funding

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

234

1.1.9

Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416(2)(a)(iii) is met

Article 416(2)(a)(iii) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240-290

1.1.10

Other transferable assets not specified elsewhere

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240

1.1.10.1

amount unencumbered

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

250

1.1.10.2

amount encumbered for a period within three months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

260

1.1.10.3

amount encumbered for a period between three and 6 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

270

1.1.10.4

amount encumbered for a period between 6 and 9 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

1.1.10.5

amount encumbered for a period between 9 and 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

290

1.1.10.6

amount encumbered for a period greater than 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300-350

1.1.11

non financial corporate bonds

Article 416(1)(b) or (d) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300

1.1.11.1

amount unencumbered

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

310

1.1.11.2

amount encumbered for a period within three months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320

1.1.11.3

amount encumbered for a period between three and 6 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

330

1.1.11.4

amount encumbered for a period between 6 and 9 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

340

1.1.11.5

amount encumbered for a period between 9 and 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

350

1.1.11.6

amount encumbered for a period greater than 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

352-357

1.1.12

non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR

Article 416(2)(a)(i) of CRR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

352

1.1.12.1

amount unencumbered

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

353

1.1.12.2

amount encumbered for a period within three months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

354

1.1.12.3

amount encumbered for a period between three and 6 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

355

1.1.12.4

amount encumbered for a period between 6 and 9 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

356

1.1.12.5

amount encumbered for a period between 9 and 12 months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

357

1.1.12.6

amount encumbe