Updated 25/06/2024
No longer in force since 27/06/2021

Version from: 01/06/2020
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ANNEX XIII

ANNEX XIII

REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)

1.   Liquid assets

1.1.   General remarks

1. This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.

2. Assets shall be reported in one of six sections in this template:

3. Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.

4. Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.

5. Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013

6. Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.

7. Treatment for jurisdictions with insufficient liquid assets

8. Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).

1.2.   Specific remarks

9. For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.

10. For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.

11. For item 1.5 institutions shall report the relevant undrawn amount in column 040.

12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.

13. For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.

14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.

15. For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.

16. For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.

17. For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

18. For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013

19. For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets

20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013

21. The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.

Liquid assets sub template

1.2.1.   Instructions concerning specific rows



Row

Legal references and instructions

010-390

1.  ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 REGULATION (EU) NO 575/2013

Assets reported in this section have been explicitly identified as potentially being of high or extremely high liquidity and credit quality.REGULATION (EU) NO 575/2013

010

1.1  Cash

Article 416(1)(a) of REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days.

020

1.2  Exposures to central banks

Articles 416(1)(a) REGULATION (EU) NO 575/2013

Total amount of exposures to central banks.

030

1.2.1  Exposures that can be withdrawn in times of stress

Article 416(1)(a) REGULATION (EU) NO 575/2013

040-110

1.3  Other transferable assets representing claims on or guaranteed by

Article 416.1(c) REGULATION (EU) NO 575/2013

040-050

1.3.1  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 liquid assets

Article 416(1)(c)(i) REGULATION (EU) NO 575/2013

040

1.3.1.1  representing claims

Assets specified in 1.3.1 that represent claims on the above counterparties, according to Article 416(1)(c)(i)

050

1.3.1.2  guaranteed by

Assets specified in 1.3.1 guaranteed by the above counterparties, according to Article 416(1)(c)(i)

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) REGULATION (EU) NO 575/2013

060

1.3.2.1  representing claims

Assets specified in 1.3.2 that represent claims on the above counterparties, according to Article 416(1)(c)(ii)

070

1.3.2.2  guaranteed by

Assets specified in 1.3.2 guaranteed by the above counterparties, according to Article 416(1)(c)(ii)

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) REGULATION (EU) NO 575/2013

080

1.3.3.1  representing claims

Assets specified in 1.3.3 that represent claims on the above counterparties, according to Article 416(1)(c)(iii)

090

1.3.3.2  guaranteed by

Assets specified in 1.3.3 guaranteed by the above counterparties, according to Article 416(1)(c)(iii)

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) REGULATION (EU) NO 575/2013

100

1.3.4.1  representing claims

Assets specified in 1.3.4 that represent claims on the above counterparties, according to Article 416(1)(c)(iv)

110

1.3.4.2  guaranteed by

Assets specified in 1.3.4 guaranteed by the above counterparties, according to Article 416(1)(c)(iv)

120-140

1.4  total shares or units in CIUs with underlying assets specified in Article 416 (1)

Article 416(6) of REGULATION (EU) NO 575/2013

120

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

130

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

140

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

150

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

Article 416(1)(e) REGULATION (EU) NO 575/2013

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 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets

Article 416(1)(f) REGULATION (EU) NO 575/2013

if the credit institution belongs to a network in accordance with legal or statutory provisions, the legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution

160

1.6.1  deposits

170

1.6.2  contractually available funding

180

1.7  Assets issued by a credit institution which has been set up by a Member State central or regional government

Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013

190-210

1.8  non-financial corporate bonds

Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013

Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013.

190

1.8.1  credit quality step 1

200

1.8.2  credit quality step 2

210

1.8.3  credit quality step 3

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)REGULATION (EU) NO 575/2013

Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013

220

1.9.1  credit quality step 1

230

1.9.2  credit quality step 2

240

1.9.3  credit quality step 3

250-270

1.10  asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5)

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013

250

1.10.1  credit quality step 1

260

1.10.2  credit quality step 2

270

1.10.3  credit quality step 3

280-300

1.11  Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013

280

1.11.1  credit quality step 1

290

1.11.2  credit quality step 2

300

1.11.3  credit quality step 3

310-330

1.12  bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9

Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013

310

1.12.1  credit quality step 1

320

1.12.2  credit quality step 2

330

1.12.3  credit quality step 3

340-360

1.13  Other transferable assets that are of extremely high liquidity and credit quality

Article 416.1(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013

Only items that are not specified in the rows above shall be reported here.

340

1.13.1  credit quality step 1

350

1.13.2  credit quality step 2

360

1.13.3  credit quality step 3

 

1.14  Other transferable assets that are of high liquidity and credit quality

Article 416.1(d) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013

Only items that are not specified in the rows above shall be reported here.

370

1.14.1  credit quality step 1

380

1.14.2  credit quality step 2

390

1.14.3  credit quality step 3

400-410

2.  ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) and (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) AND (c) REGULATION (EU) NO 575/2013

Items shall only be reported in one of the below sub-categories, also in case both provisions are not met.

400

2.1  Assets not controlled by a liquidity management function

Article 417(c) of REGULATION (EU) NO 575/2013

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 REGULATION (EU) NO 575/2013

420-610

3.  Items subject to supplementary reporting of liquid assets

Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

420

3.1  Cash

Annex III Point 1 REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416 (3) and can thus not be reported under reporting item 1.1.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days.

430

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

Annex III, Point 2 REGULATION (EU) NO 575/2013

Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3.

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, Point 3 REGULATION (EU) NO 575/2013

Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

440

3.3.1  representing claims on sovereigns

Annex III, Point 3 REGULATION (EU) NO 575/2013

450

3.3.2  claims guaranteed by sovereigns

Annex III, Point 3 REGULATION (EU) NO 575/2013

460

3.3.3  representing claims on or guaranteed by central banks

Annex III, Point 3 REGULATION (EU) NO 575/2013

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, Point 3 REGULATION (EU) NO 575/2013

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 bank

Annex III, Point 3 REGULATION (EU) NO 575/2013

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 liquidty 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, Point 4 REGULATION (EU) NO 575/2013

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, Point 5 REGULATION (EU) NO 575/2013

Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

500

3.5.1  representing claims on sovereigns

Annex III, Point 5 REGULATION (EU) NO 575/2013

510

3.5.2  claims guaranteed by sovereigns

Annex III, Point 5 REGULATION (EU) NO 575/2013

520

3.5.3  representing claims on or guaranteed by central banks

Annex III, Point 5 REGULATION (EU) NO 575/2013

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, Point 5 REGULATION (EU) NO 575/2013

540

3.5.5  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 bank

Annex III, Point 5 REGULATION (EU) NO 575/2013

550

3.6  transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013

Annex III, Point 6 REGULATION (EU) NO 575/2013

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, Point 7 REGULATION (EU) NO 575/2013

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, Point 8 REGULATION (EU) NO 575/2013

580

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

Annex III, Point 9 REGULATION (EU) NO 575/2013

Only to the extent not reported under reporting item 1.5.

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 collateralised by liquid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.

Annex III, Point 10 REGULATION (EU) NO 575/2013

This item to be included only to the extent not reported under reporting item 1.6.

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, Point 11 REGULATION (EU) NO 575/2013

610

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

Annex III, Point 12 REGULATION (EU) NO 575/2013

620-850

4  ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013

620-640

4.1  Financial corporate bonds

Article 416 (2) of REGULATION (EU) NO 575/2013

Bonds issued by an investment firm, insurance undertaking, financial holding company, a mixed financial holding company or any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU.

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

620

4.1.1  credit quality step 1

630

4.1.2  credit quality step 2

640

4.1.3  credit quality step 3

650-670

4.2  own issuances

Article 416 (3)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

650

4.2.1  credit quality step 1

660

4.2.2  credit quality step 2

670

4.2.3  credit quality step 3

680-700

4.3  unsecured credit institution issuances

REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

680

4.3.1  credit quality step 1

690

4.3.2  credit quality step 2

700

4.3.3  credit quality step 3

710-730

4.4  asset backed securities not already reported in 1.10 to 1.11.3

Article 416(4)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

710

4.4.1  credit quality step 1

720

4.4.2  credit quality step 2

730

4.4.3  credit quality step 3

740-760

4.5  residential mortgage backed securities not already reported in 1.10 to 1.11.3

Article 509(3)(a) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

740

4.5.1  credit quality step 1

750

4.5.2  credit quality step 2

760

4.5.3  credit quality step 3

770

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

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

780

4.7  gold not reported above under 3.1.2

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

790

4.8  guaranteed bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

800

4.9  covered bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

810

4.10  corporate bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

820

4.11  funds based on the assets reported in 4.6 - 4.10

Article 509(3)(c) of REGULATION (EU) NO 575/2013

830-850

4.12  other categories of central bank eligible securities or loans

Article 509(3)(b) of REGULATION (EU) NO 575/2013

830

4.12.1  local government bonds

Article 509(3)(b) of REGULATION (EU) NO 575/2013

840

4.12.2  commercial paper

Article 509(3)(b) of REGULATION (EU) NO 575/2013

850

4.12.3  credit claims

Article 416(4)(c) of REGULATION (EU) NO 575/2013

860-870

5  Treatment for jurisdictions with insufficient HQLA

Article 419(2) of REGULATION (EU) NO 575/2013

860

5.1  Use of derogation A (foreign currency)

Article 419(2)(a) of REGULATION (EU) NO 575/2013

Total amount of assets held pursuant to derogation A

870

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

Article 419(2)(b) of REGULATION (EU) NO 575/2013

Total amount of undrawn credit line held pursuant to derogation B

880-900

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

Article 509(2)(i) of REGULATION (EU) NO 575/2013 of REGULATION (EU) NO 575/2013

880

6.1  credit quality step 1

890

6.1  credit quality step 2

900

6.1  credit quality step 3

REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)

1.   Outflows

1.1.   General remarks

1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.

2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).

3. In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.

1.2.   Outflows sub template

1.2.1.   Instructions concerning specific rows



Row

Legal references and instructions

020-137

1.  OUTFLOWS

Articles 421 to 424 of REGULATION (EU) NO 575/2013.

Liabilities reported in this section have been explicitly identified as a potential source of liquidity outflows, over the next 30 days, for reporting purposes.

020-100

1.1  Retail deposits

Article 421 of REGULATION (EU) NO 575/2013

Total liability of retail deposits as defined in Article 411(2), including sight deposits and fixed term deposits, of REGULATION (EU) NO 575/2013 shall be reported in column 020. The resulting outflow after having applied the relevant outflow rate shall be reported in column 030.

The following subcategories shall be reported:

020-040

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

Article 421(1) of REGULATION (EU) NO 575/2013

020

1.1.1.1  part of an established relationship making withdrawal highly unlikely

Article 421(1)(a) of REGULATION (EU) NO 575/2013

Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is part of an established relationship making withdrawal highly unlikely.

Retail deposits which are both part of an established relationship making withdrawal highly unlikely and held in transactional accounts, including accounts to which salaries are regularly credited, shall instead be reported in item 1.1.1.2.

030

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

Article 421(1)(b) of REGULATION (EU) NO 575/2013

Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is held in transactional accounts, including accounts to which salaries are regularly credited, making withdrawal highly unlikely.

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 REGULATION (EU) NO 575/2013

Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, those other deposits which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2.

050

1.1.3  uninsured retail deposits

Article 421(2) of REGULATION (EU) NO 575/2013

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

060-080

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

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits subject to higher outflows than those specified in Article 421(1) or 421(2) of REGULATION (EU) NO 575/2013REGULATION (EU) NO 575/2013 shall be reported in the following subcategories:

060

1.1.4.1  deposits subject to higher outflow rate - Category 1 – medium risk of outflow

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits identified by institutions to be allocated to category 1.

070

1.1.4.2  deposits subject to higher outflow rate - Category 2 – high risk of outflow

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits identified by institutions to be allocated to category 2.

080

1.1.4.3  deposits subject to higher outflow rate – Category 3 - very high risk of outflow

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits identified by institutions to be allocated to category 3.

090

1.1.5  deposits in third countries where a higher outflow is applied

Article 421(4) of REGULATION (EU) NO 575/2013

Retail deposits taken in third countries subject to outflows in that third country which are higher than those specified in Article 421(1) or (2) of REGULATION (EU) NO 575/2013.

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 REGULATION (EU) NO 575/2013

Retail deposits exempted from the calculation of outflows, as referred to in Article 421 (5) of REGULATION (EU) NO 575/2013.

110-1130

1.2  outflows on other liabilities

Article 422 REGULATION (EU) NO 575/2013

Total outflows on other liabilities due over the next 30 days shall be reported in the following subcategories as follows:

Liabilities reported in this section shall only consist of general obligations other than retail deposits defined in Article 411(2) (which shall instead be reported in item 1.1. above).

Liabilities reported here shall fall due over the next 30 days, have an earliest possible contractual maturity date within the next 30 days or have an undefined maturity date. This includes both (i) liabilities with options that are exercisable at the investor's discretion and (ii) liabilities with options exercisable at the institution's discretion where the institution's ability not to exercise the option is limited for reputational reasons. In particular, where the market expects certain liabilities to be redeemed within the next 30 days, before their legal final maturity date, such liabilities shall be included in the appropriate subcategory.

110

1.2.1  liabilities resulting from the institution's own operating expenses

Article 422(1) of REGULATION (EU) NO 575/2013

Total amount of liabilities due over the next 30 days resulting from the institution's own operating expenses. Examples include office and utilities expenses, accounting expenses, salary and wages etc and any other costs incurred by the operation of the institution's own activities.

120-950

1.2.2  liabilities resulting from secured lending and capital market driven transactions as defined in Article 192

Article 422(2) of REGULATION (EU) NO 575/2013

For the following subcategories, institutions shall identify the amount of outflows relating to secured lending and capital market driven transactions over the next 30 days, the market value of the corresponding assets which collateralise the transactions and the value of these assets according to Article 418 REGULATION (EU) NO 575/2013.

In accordance with Article 192:

1.  ‘secured lending transaction’ means any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily;

2.  ‘capital market-driven transaction’ means any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily.

Therefore, any transaction in which the institution has received a collateralised loan in cash, such as repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days shall be reported in this section.

Institutions shall report the market value of the assets securing the secured lending and capital market driven transactions in column 010. Institutions shall report these transactions in one of seven categories:

Category one: where the counterparty is not a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 020 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 030.

Category two: where the counterparty is not a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 040 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 050.

Category three: where the counterparty is not a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 060.

Category four: where the counterparty is a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 070 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 080.

Category five: where the counterparty is a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 090 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 100.

Category six: where the counterparty is a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 110.

Category seven: Where the counterparty is the central government, a public sector entity of the member state in which the credit institution has been authorised or has established a branch, or a multilateral development bank, the amount due shall be reported in column 120.

Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 ‘Assets’.

I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality.

If the institution has deposited both ‘extremely high’, ‘high’ and ‘other’ liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with ‘other liquidity and credit quality’ shall be assigned first. Only once all those assets are fully assigned, shall assets of ‘high liquidity and credit quality’ be assigned. Only once all those assets are assigned too, shall ‘extremely high liquidity and credit quality’ be assigned.

Collateral swaps where the institution simultaneously borrows collateral and lends collateral (in the form of assets other than cash), shall be reported as follows:

The value of the asset borrowed shall be its market value in column 010 and its value according to Article 418 REGULATION (EU) NO 575/2013 in the appropriate column. Collateral swaps only relate to collateral, and there is no underlying ‘Amount due’ to be reported.

The market value of the asset lent shall be reported in the ‘Market value of the asset securing the transaction’ column in the appropriate subcategory of .3 of template ‘Inflows’. Collateral swaps only relate to collateral, and there is no underlying ‘Amount due’ to be reported.

120-190

1.2.2.1  Other transferable assets representing claims on or guaranteed by

Article 416(1)(c) REGULATION (EU) NO 575/2013

Transactions backed by transferable assets shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality.

Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013.

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 liquid assets

Article 416(1)(c)(i) REGULATION (EU) NO 575/2013

120

1.2.2.1.1.1  representing claims

Assets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i)

130

1.2.2.1.1.2  guaranteed by

Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i)

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) REGULATION (EU) NO 575/2013

140

1.2.2.1.2.1  representing claims

Assets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii)

150

1.2.2.1.2.2  guaranteed by

Assets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii)

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) REGULATION (EU) NO 575/2013

160

1.2.2.1.3.1  representing claims

Assets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii)

170

1.2.2.1.3.2  guaranteed by

Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii)

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) REGULATION (EU) NO 575/2013

180

1.2.2.1.4.1  representing claims

Assets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv)

190

1.2.2.1.4.2  guaranteed by

Assets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv)

200-220

1.2.2.2  total shares or units in CIUs with underlying assets specified in Article 416 (1)

Article 416(6) of REGULATION (EU) NO 575/2013

Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

200

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

210

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

220

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

230

1.2.2.3  Assets issued by a credit institution which has been set up by a Member State central or regional government

Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013

240-260

1.2.2.4  non-financial corporate bonds

Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013

Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013 and in accordance with 1.2.2 above, in the appropriate sub-category.

240

1.2.2.4.1  credit quality step 1

250

1.2.2.4.2  credit quality step 2

260

1.2.2.4.3  credit quality step 3

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)REGULATION (EU) NO 575/2013

Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

270

1.2.2.5.1  credit quality step 1

280

1.2.2.5.2  credit quality step 2

290

1.2.2.5.3  credit quality step 3

300-320

1.2.2.6  asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5)

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

300

1.2.2.6.1  credit quality step 1

310

1.2.2.6.2  credit quality step 2

320

1.2.2.6.3  credit quality step 3

330-350

1.2.2.7  Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3 of the liquid assets template

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

330

1.2.2.7.1  credit quality step 1

340

1.2.2.7.2  credit quality step 2

350

1.2.2.7.3  credit quality step 3

360-380

1.2.2.8  bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9

Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

360

1.2.2.8.1  credit quality step 1

370

1.2.2.8.2  credit quality step 2

380

1.2.2.8.3  credit quality step 3

390-410

1.2.2.9  Other transferable assets that are of extremely high liquidity and credit quality

Article 416.1(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

Only items that are not specified in the rows above shall be reported here.

390

1.2.2.9.1  credit quality step 1

400

1.2.2.9.2  credit quality step 2

410

1.2.2.9.3  credit quality step 3

420-440

1.2.2.10  Other transferable assets that are of high liquidity and credit quality

Article 416.1(d) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2, Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category.

Only items that are not specified in the rows above shall be reported here.

420

1.2.2.10.1  credit quality step 1

430

1.2.2.10.2  credit quality step 2

440

1.2.2.10.3  credit quality step 3

450-460

1.2.2.11  ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) AND (c) REGULATION (EU) NO 575/2013

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

450

1.2.2.11.1  Assets not controlled by a liquidity management function

Article 417(c) of REGULATION (EU) NO 575/2013

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 REGULATION (EU) NO 575/2013

480-680

1.2.2.12  Items subject to supplementary reporting of liquid assets

Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

Only items that are not specified elsewhere in the template shall be reported here.

480

1.2.2.12.1  Cash

Annex III, Point 1 of REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.1.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template ‘Inflows’ if it qualifies as monies due over the next 30 days.

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, Point 2 of REGULATION (EU) NO 575/2013

Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3.

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, Point 3 of REGULATION (EU) NO 575/2013

Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

500

1.2.2.12.3.1  representing claims on sovereigns

Annex III, Point 3 of REGULATION (EU) NO 575/2013

510

1.2.2.12.3.2  claims guaranteed by sovereigns

Annex III, Point 3 of REGULATION (EU) NO 575/2013

520

1.2.2.12.3.3  representing claims on or guaranteed by central banks

Annex III, Point 3 REGULATION (EU) NO 575/2013

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, Point 3 of REGULATION (EU) NO 575/2013

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 bank

Annex III, Point 3 of REGULATION (EU) NO 575/2013

550

1.2.2.12.4  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 liquidty 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, Point 4 of REGULATION (EU) NO 575/2013

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, Point 5 of REGULATION (EU) NO 575/2013

Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

570

1.2.2.12.5.1  representing claims on sovereigns

Annex III, Point 5 of REGULATION (EU) NO 575/2013

580

1.2.2.12.5.2  claims guaranteed by sovereigns

Annex III, Point 5 of REGULATION (EU) NO 575/2013

590

1.2.2.12.5.3  representing claims on or guaranteed by central banks

Annex III, Point 5 of REGULATION (EU) NO 575/2013

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, Point 5 of REGULATION (EU) NO 575/2013

610

1.2.2.12.5.5  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 bank

Annex III, Point 5 of REGULATION (EU) NO 575/2013

620

1.2.2.12.6  transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013

Annex III, Point 6 of REGULATION (EU) NO 575/2013

630

1.2.2.12.7  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, Point 7 of REGULATION (EU) NO 575/2013

640

1.2.2.12.8  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 Point 125

Annex III, Point 8 of REGULATION (EU) NO 575/2013

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 collateralized by liquid assets and excluding emergency liquidity assistance

Annex III, Point 9 of REGULATION (EU) NO 575/2013

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

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, Point 10 of REGULATION (EU) NO 575/2013

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, Point 11 of REGULATION (EU) NO 575/2013

680

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

Annex III, Point 12 of REGULATION (EU) NO 575/2013

690-920

1.2.2.13  ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013.

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

690-710

1.2.2.13.1  financial corporate bonds

Article 416 (2) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

690

1.2.2.13.1.1  credit quality step 1

700

1.2.2.13.1.2  credit quality step 2

710

1.2.2.3.1.3  credit quality step 3

720-740

1.2.2.13.2  own issuances

Article 416 (3)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

720

1.2.2.13.2.1  credit quality step 1

730

1.2.2.13.2.2  credit quality step 2

740

1.2.2.13.2.3  credit quality step 3

750-770

1.2.2.13.3  unsecured credit institution issuances

Article 416 of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

750

1.2.2.13.3.1  credit quality step 1

760

1.2.2.13.3.2  credit quality step 2

770

1.2.2.4.13.3  credit quality step 3

780-800

1.2.2.13.4  asset backed securities not already reported in 1.10 to 1.11.3

Article 416(4)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

780

1.2.2.13.4.1  credit quality step 1

790

1.2.2.13.4.2  credit quality step 2

800

1.2.2.12.4.3  credit quality step 3

810-830

1.2.2.13.5  residential mortgage backed securities not already reported in 1.10 to 1.11.3

Article 509(3) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

810

1.2.2.13.5.1  credit quality step 1

820

1.2.2.13.5.2  credit quality step 2

830

1.2.2.13.5.3  credit quality step 3

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) of REGULATION (EU) NO 575/2013

850

1.2.2.13.7  gold

Article 509(3)(c) of REGULATION (EU) NO 575/2013

860

1.2.2.13.8  guaranteed bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

870

1.2.2.13.9  covered bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

880

1.2.2.13.10  corporate bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

890

1.2.2.13.11  funds based on the assets reported in 4.5 - 4.10

Article 509(3)(c) of REGULATION (EU) NO 575/2013

900-920

1.2.2.13.12  other categories of central bank eligible securities or loans

Article 509(3)(b) of REGULATION (EU) NO 575/2013

900

1.2.2.13.12.1  local government bonds

Article 509(3)(b) of REGULATION (EU) NO 575/2013

910

1.2.2.13.12.2  commercial paper

Article 509(3)(b) of REGULATION (EU) NO 575/2013

920

1.2.2.13.12.3  credit claims

Article 416(4)(c) of REGULATION (EU) NO 575/2013

930-950

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

Articles 419(2)(a) of REGULATION (EU) NO 575/2013 and 509(2)(i)

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

930

1.2.2.14.1  credit quality step 1

940

1.2.2.14.2  credit quality step 2

950

1.2.2.14.3  credit quality step 3

960-1030

1.2.3  Deposits that have to be maintained by the depositor

Article 422(3) of REGULATION (EU) NO 575/2013

Total amount of deposits, including sight deposits and fixed term deposits, that have to be maintained by the depositor shall be reported in the following subcategories in columns 010 ‘Amount deposited by clients that are financial customers’ and column 030 ‘Amount deposited by clients that are not financial customers’ dependent on the counterparty type, as follows:

960-990

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

Article 422(3)(a) of REGULATION (EU) NO 575/2013

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage), shall be reported in the following subcategories as follows:

[Note: A clearing relationship, in this context, refers to a service arrangement that enables customers to transfer funds (or securities) indirectly through direct participants in domestic settlement systems to final recipients. Such services are limited to the following activities: transmission, reconciliation and confirmation of payment orders; daylight overdraft, overnight financing and maintenance of post-settlement balances; and determination of intra-day and final settlement positions. Clearing and related services must be provided under a legally binding agreement to institutional customers (Basel III liquidity rules text paragraph 75).

A custody relationship, in this context, refers to the provision of safekeeping, reporting, processing of assets and/or the facilitation of the operational and administrative elements of related activities on behalf of customers in the process of their transacting and retaining financial assets. Custody related services must be provided under a legally binding custodial services or other similar agreement to institutional customers. Such services are limited to the settlement of securities transactions, the transfer of contractual payments, the processing of collateral, the execution of foreign currency transactions, the holding of related cash balances and the provision of ancillary cash management services. Also included is the receipt of dividends and other income, client subscriptions and redemptions, scheduled distributions of client funds and the payment of fees, taxes and other expenses. Custodial services can furthermore extend to asset and corporate trust servicing, treasury, escrow, funds transfer, stock transfer and agency services, including payment and settlement services (excluding correspondent banking), trade financing, and depository receipts (Basel III liquidity rules text paragraph 76).

A cash management relationship, in this context, refers to the provision of cash management and related services to customers. Cash management and related]

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

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows:

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

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and where 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

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country yet there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows:

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

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) 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, shall be reported in the following subcategories as follows:

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

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) 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 and 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

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) 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 and there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows:

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)

Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2.

1010

1.2.3.2.1  of which are correspondent banking or prime brokerage services

Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 which are deposits relating to correspondent banking or prime brokerage services.

1020

1.2.3.4  in the context of common task sharing within an institutional protection scheme 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 REGULATION (EU) NO 575/2013

Total amount of deposits that have to be maintained by the depositor in the context of common task sharing within an institutional protection scheme meeting or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme.

1030

1.2.3.5  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 REGULATION (EU) NO 575/2013

Total amount of deposits that have to be maintained by the depositor 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;

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 REGULATION (EU) NO 575/2013422(3), last paragraph

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

1050

1.2.5  liquidity lines for assets specified in Article 416(1)(f)

Article 416(1)(f)

Total amount of liquidity lines for assets specified in Article 416(1)(f)

1060-1070

1.2.6  liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients

Article 422(5) of REGULATION (EU) NO 575/2013

Total amount of liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients.

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

1070

1.2.6  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

1060

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 REGULATION (EU) NO 575/2013

The net amount of payable expected over the 30 day horizon from the contracts listed in Annex II.

Amounts shall:

— be net across all counterparties

— be net of collateral to be received that qualifies as liquid assets under Article 416

— not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon

Note net amount receivable shall be reported in 1.3 ‘Inflows’ item 1.1.6 (net amount receivable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)).

1090-1100

1.2.8  liabilities for which the competent authority has determined a lower outflow

Article 422(8) of REGULATION (EU) NO 575/2013

Total amount of liabilities for which the competent authority has determined a lower outflow on a case-by-case basis, shall be reported in the following subcategories as follows:

1090

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

Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), (c) and (d) are met.

1100

1.2.8.2  where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8

Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8.

1110-1120

1.2.9  liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013

Articles 420(1)(e) and 420(2) of REGULATION (EU) NO 575/2013

Total amount of all liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013.

1110

1.2.9  liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013

1120

1.2.9  liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013

1130

1.2.10  all other liabilities

Article 422(7) of REGULATION (EU) NO 575/2013

Total amount of all other liabilities.

1140-1210

1.3  Additional Outflows

Total amount of all additional outflows, shall be reported in the following subcategories as follows:

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

Article 423(1) of REGULATION (EU) NO 575/2013

Total amount of all additional outflows 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, shall be reported in the following subcategories as follows:

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 REGULATION (EU) NO 575/2013

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

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 REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to additional collateral needs that would result from the impact of an adverse market scenario.

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 REGULATION (EU) NO 575/2013

Total amount of outflows 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.

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 REGULATION (EU) NO 575/2013

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

1190

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

Article 423(5)(b) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to collateral that is due to be returned to a counterparty

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 credit institution.

Article 423(5)(c) of REGULATION (EU) NO 575/2013

Total amount of outflows 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 credit institution.

1210

1.3.8  deposits received as collateral

Article 423(6) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to deposits received as collateral

1220-1370

1.4  Outflows from credit and liquidity facilities

Total maximum amount that could be drawn from undrawn credit and liquidity facilities, shall be reported in the following subcategories as follows:

[Note: This maximum amount that can be drawn may be assessed net of the value according to Article 418 of collateral to be provided if the institution can reuse the collateral and if the collateral in the form of liquid assets in accordance with Article 416. The collateral to be provided may not be assets issued by the counterparty of the facility or one of its affiliated entities. If the necessary information is available to the institution, the maximum amount that can be drawn for credit and liquidity facilities provided to SSPEs shall be determined as the maximum amount that could be drawn given an SSPEs own obligations coming due over the next 30 days.]

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) REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for retail clients if they qualify for the retail exposure class under the Standardised or IRB approaches for credit risk.

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 REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for clients other than retail and financial customers, where they meet the following conditions:

(a)  they do not qualify for the retail exposure class under the Standardised or IRB approaches for credit risk;

(b)  they have been provided to clients that are not financial customers;

(c)  they have not been provided for the purpose of replacing funding of the client in situations where he is unable to obtain its funding requirements in the financial markets.

1230

1.4.2.1 –  undrawn committed credit facilities

Total amount of 1.4.2 that constitute undrawn committed credit facilities

1240

1.4.2.2 –  undrawn committed liquidity facilities

Total amount of 1.4.2 that constitute 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 REGULATION (EU) NO 575/2013

Total maximum amount that could result from 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.

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 REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn credit and liquidity facilities to customers other than that reported in 1.4.1, 1.4.2 or 1.4.3. This includes:

(a)  liquidity facilities that the institution has granted to SSPEs;

(b)  arrangements under which the institution is required to buy or swap assets from an SSPE.

1260

1.4.4.1  granted to SSPEs other than those in 1.4.3

Article 424(5) point (a) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relates to items granted to SSPEs other than those in 1.4.3

1270

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

Article 424.5 point (b) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relate to arrangements under which the institution is required to buy or swap assets from an SSPE

1280-1290

1.4.4.3  extended to credit institutions

Article 424.5 point (c) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relates to items extended to credit institutions

1280

1.4.4.3.1  undrawn committed credit facilities

Total amount of 1.4.4.3 that relate to undrawn committed credit facilities

1290

1.4.4.3.2  undrawn committed liquidity facilities

Total amount of 1.4.4.3 that relate to undrawn committed liquidity facilities

1300-1310

1.4.4.4  extended to financial institutions and investment firms

Article 424.5 point (d) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relates to items extended to financial institutions and investment firms excluding credit institutions

1300

1.4.4.4.1  undrawn committed credit facilities

Total amount of 1.4.4.4 that relate to undrawn committed credit facilities

1310

1.4.4.4.2  undrawn committed liquidity facilities

Total amount of 1.4.4.4 that relate to undrawn committed liquidity facilities

1320

1.4.4.5  extended to other clients

Total amount of 1.4.4 that relates to items extended to other clients

1330

1.4.4.6  extended to intra-group entities

Total amount of 1.4.4 that relates to items extended to a intra-group REGULATION (EU) NO 575/2013 entities

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 REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn credit and liquidity facilities granted for the sole purpose of directly or indirectly funding promotional loans qualifying for the exposure classes referred to in those paragraphs 2 and 3. Those promotional loans shall be available only to persons who are not financial customers on a non-competitive, not for profit basis in order to promote public policy objectives of that Member State central or regional government. It shall only be possible to draw on such facilities following a request for a promotional loan and up to the amount of such request.

1350

1.4.6  maximum amount that can be drawn from all other contingent liabilities

Total maximum amount that could result from all other contingent liabilities. These contingent funding obligations may be either contractual or non-contractual and are not lending commitments. Non-contractual contingent funding obligations include associations with, or sponsorship of, products sold or services provided that may require the support or extension of funds in the future under stressed conditions. Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the institution that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations.

1360

1.4.6.1  extended to intra-group entities

Amount of 1.4.6 that is extended to an intra-group REGULATION (EU) NO 575/2013 entities

1370

1.4.7  outflows according to Article 105 CRD

Total outflows stemming from the risk factors mentioned in points (a) and (d) of Article 105 REGULATION (EU) NO 575/2013 to the extent that they are expected to occur with 30 days.

REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)

1.   Inflows

1.1.   General remarks

1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.

2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:

(i) 

comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.

(ii) 

be reported in full,.

3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.

4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.

1.2.   Inflows sub template

1.2.1.   Instructions concerning specific rows



Row

Legal references and instructions

010-030

INFLOWS

Article 425 REGULATION (EU) NO 575/2013

Total inflows.

Monies due reported in this section have been explicitly identified as a potential source of liquidity inflows, over the next 30 days, for reporting purposes, in Article 425 of REGULATION (EU) NO 575/2013.

Amounts reported in the ‘amount column’ in each subcategory shall be full amounts i.e. not reduced, by the percentages given in the REGULATION (EU) NO 575/2013.

010-980

1  Inflows

Article 425 of REGULATION (EU) NO 575/2013

Column 010 refers to the total amount of monies due, whereas column 020 refers to the relevant inflow, after application of inflow rate where applicable.

010-060

1.1  monies due from customers that are not financial customers

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days, (including interest payments) from customers that are not financial customers, shall be reported in the following subcategories as follows:

[Note: these include maturing loans that have already been agreed to be rolled-over. Non-maturing loans are assumed not to represent a cash inflow and shall not be reported here].

010

1.1.1  monies due from retail customers

Articles 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days from retail customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

020

1.1.2  monies due from non-financial corporate customers

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days from non-financial corporate customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

030

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

Article 425(2)(e) REGULATION (EU) NO 575/2013

Of the amount reported in 1.1.2, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4).

040

1.1.3  monies due from central banks

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days from central banks, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

050

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

Article 425(2)(e) of REGULATION (EU) NO 575/2013

Of the amount reported in 1.1.3, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4).

060

1.1.4  monies due from other customers that are not financial customers

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Total amount of monies due over the next 30 days from customers that are not financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments), not included in rows 1.1.1 to 1.1.3.

070-080

1.2  monies due from financial customers

Article 425(2) REGULATION (EU) NO 575/2013

Total amount of monies due over the next 30 days from financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

Secured lending and capital market transactions shall be reported in section 1.2.

070

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

Article 425(2)e) of REGULATION (EU) NO 575/2013

Of the amount reported in 1.2, monies due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4).

080

1.2.2  that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8)

Article 422(8) of REGULATION (EU) NO 575/2013

Of the amount reported in 1.2, monies due that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8)

090

1.3  monies due from trade financing transactions according to article 425(2)(b)

Article 425(2)(b) REGULATION (EU) NO 575/2013

Monies from trade financing transactions according to article 425(2)(b)

100

1.4  assets with an undefined contractual end date according to Article 425(2)(c)

Article 425(2)(c) REGULATION (EU) NO 575/2013

Assets with an undefined contractual end date according to Article 425(2)(c)

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) REGULATION (EU) NO 575/2013

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

120-930

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

Article 425(2)(d) of REGULATION (EU) NO 575/2013

For the following subcategories, institutions shall identify the amount of inflows relating to secured lending and capital market driven transactions over the next 30 days and the market value of the corresponding assets which collateralise the transactions.

In accordance with Article 192:

1.  ‘secured lending transaction’ means any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily;

2.  ‘capital market-driven transaction’ means any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily.

Therefore, any transaction in which the institution has provided a collateralised loan in cash, such as reverse repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days, shall be reported in this section.

Institutions shall report the amount due with 30 days in columns 010, 030 and 050 and the market value of the assets securing the secured lending and capital market driven transactions in columns 020, 040 and 060, depending on the asset quality category the asset has been allocated to (extremely high liquidity and credit quality, high liquidity and credit quality and other liquidity and credit quality).

Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 ‘Assets’.

I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality.

If the institution has received both ‘extremely high’, ‘high’ and ‘other’ liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with ‘other liquidity and credit quality’ shall be assigned first. Only once all those assets are fully assigned, shall assets of ‘high liquidity and credit quality’ be assigned. Only once all those assets are assigned too, shall ‘extremely high liquidity and credit quality’ be assigned.

120-190

1.6.1  Other transferable assets representing claims on or guaranteed by

Article 416.1(c) REGULATION (EU) NO 575/2013

Transactions backed by transferable assets shall be reported here, in the appropriate sub-category.

Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality.

Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013.

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 liquid assets

Article 416(1)(c)(i) REGULATION (EU) NO 575/2013

120

1.6.1.1.1  representing claims

Assets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i)

130

1.6.1.1.2  guaranteed by

Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i)

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) REGULATION (EU) NO 575/2013

140

1.6.1.2.1  representing claims

Assets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii)

150

1.6.1.2.2  guaranteed by

Assets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii)

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) REGULATION (EU) NO 575/2013

160

1.6.1.3.1  representing claims

Assets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii)

170

1.6.1.3.2  guaranteed by

Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii)

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) REGULATION (EU) NO 575/2013

180

1.6.1.4.1  representing claims

Assets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv)

190

1.6.1.4.2  guaranteed by

Assets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv)

200-220

1.6.2  total shares or units in CIUs with underlying assets specified in Article 416 (1)

Article 416(6) of REGULATION (EU) NO 575/2013

Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here, using the appropriate sub-category according to the LCR liquid assets template.

200

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

210

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

220

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

230

1.6.3  Assets issued by a credit institution which has been set up by a Member State central or regional government

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

240-260

1.6.4  non-financial corporate bonds

Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013

Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013, using the appropriate sub-category.

240

1.6.4.1  credit quality step 1

250

1.6.4.2  credit quality step 2

260

1.6.4.3  credit quality step 3

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)REGULATION (EU) NO 575/2013

Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, using the appropriate sub-category

270

1.6.5.1  credit quality step 1

280

1.6.5.2  credit quality step 2

290

1.6.5.3  credit quality step 3

300-320

1.6.6  asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5)

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category

300

1.6.6.1  credit quality step 1

310

1.6.6.2  credit quality step 2

320

1.6.6.3  credit quality step 3

330-350

1.6.7  Residential mortgage backed instruments of the instruments reported in lines 1.6.6

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category

330

1.6.7.1  credit quality step 1

340

1.6.7.2  credit quality step 2

350

1.6.7.3  credit quality step 3

360-380

1.6.8  bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in line 1.9 of the liquid assets template

Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 in the appropriate sub-category

360

1.6.8.1  credit quality step 1

370

1.6.8.2  credit quality step 2

380

1.6.8.3  credit quality step 3

390-410

1.6.9  Other transferable assets that are of extremely high liquidity and credit quality

Article 416.1(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category

Only items that are not specified in the rows above shall be reported here.

390

1.6.9.1  credit quality step 1

400

1.6.9.2  credit quality step 2

410

1.6.9.3  credit quality step 3

420-440

1.6.10  Other transferable assets that are of high liquidity and credit quality

Article 416.1(d) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category.

Only items that are not specified in the rows above shall be reported here.

420

1.6.10.1  credit quality step 1

430

1.6.10.2  credit quality step 2

440

1.6.10.3  credit quality step 3

450-460

1.6.11  ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) OR (c) REGULATION (EU) NO 575/2013

Items shall only be reported in one of the below sub-categories, also in case both provisions are not met.

450

1.6.11.1  Assets not controlled by a liquidity management function

Article 417(c) of REGULATION (EU) NO 575/2013

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 or via a simple repurchase agreements on an approved repurchase markets

Article 417(b) of REGULATION (EU) NO 575/2013

470-660

1.6.12  Items subject to supplementary reporting of liquid assets

Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

These items shall be reported here in the appropriate sub-category.

Only items that are not specified elsewhere in the template shall be reported here.

470

1.6.12.1  Cash

Annex III Point 1 REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.1.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days.

480

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

Annex III, Point 2 REGULATION (EU) NO 575/2013

Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.3.

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, Point 3 REGULATION (EU) NO 575/2013

Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 3 of Annex III. Of which:

490

1.6.12.3.1  representing claims on sovereigns

Annex III, Point 3 REGULATION (EU) NO 575/2013

500

1.6.12.3.2  claims guaranteed by sovereigns

Annex III, Point 3 REGULATION (EU) NO 575/2013

510

1.6.12.3.3  representing claims on or guaranteed by central banks

Annex III, Point 3 REGULATION (EU) NO 575/2013

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, Point 3 REGULATION (EU) NO 575/2013

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 bank

Annex III, Point 3 REGULATION (EU) NO 575/2013

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 liquidty 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, Point 4 REGULATION (EU) NO 575/2013

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, Point 5 REGULATION (EU) NO 575/2013

Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

550

1.6.12.5.1  representing claims on sovereigns

Annex III, Point 5 REGULATION (EU) NO 575/2013

560

1.6.12.5.2  claims guaranteed by sovereigns

Annex III, Point 5 REGULATION (EU) NO 575/2013

570

1.6.12.5.3  representing claims on or guaranteed by central banks

Annex III, Point 5 REGULATION (EU) NO 575/2013

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, Point 5 REGULATION (EU) NO 575/2013

590

1.6.12.5.5  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 bank

Annex III, Point 5 REGULATION (EU) NO 575/2013

600

1.6.12.6  transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013

Annex III, Point 6 REGULATION (EU) NO 575/2013

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, Point 7 REGULATION (EU) NO 575/2013

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, Point 8 REGULATION (EU) NO 575/2013

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 collateralized by liquid assets and excluding emergency liquidity assistance

Annex III, Point 9 REGULATION (EU) NO 575/2013

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

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 collateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.

Annex III, Point 10 REGULATION (EU) NO 575/2013

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, Point 11 REGULATION (EU) NO 575/2013

660

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

Annex III, Point 12 REGULATION (EU) NO 575/2013

670-920

1.6.13  ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013.

These items shall be reported here in the appropriate sub-category of the liquid assets template.

670-690

1.6.13.1  financial corporate bonds

Article 416 (2) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

670

1.6.13.1.1  credit quality step 1

680

1.6.13.1.2  credit quality step 2

690

1.6.13.1.3  credit quality step 3

700-720

1.6.13.2  own issuances

Article 416 (3)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

700

1.6.13.2.1  credit quality step 1

710

1.6.13.2.2  credit quality step 2

720

1.6.13.2.3  credit quality step 3

730-750

1.6.13.3  unsecured credit institution issuances

Article 416 of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

730

1.6.13.3.1  credit quality step 1

740

1.6.13.3.2  credit quality step 2

750

1.6.13.3  credit quality step 3

760-780

1.6.13.4  asset backed securities not already reported in 1.6.6

Article 416(4)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

760

1.6.13.4.1  credit quality step 1

770

1.6.13.4.2  credit quality step 2

780

1.6.13.4.3  credit quality step 3

790-810

1.6.13.5  residential mortgage backed securities not already reported in 1.6.7

Article 509(3) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

790

1.6.13.5.1  credit quality step 1

800

1.6.13.5.2  credit quality step 2

810

1.6.13.5.3  credit quality step 3

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

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

830

1.6.13.7  gold

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

840

1.6.13.8  guaranteed bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

850

1.6.13.9  covered bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

860

1.6.13.10  corporate bonds not already reported above

Article 509(3)(c) of REGULATION (EU) NO 575/2013

870

1.6.13.11  funds based on the assets reported in 1.6.13.6– 1.6.13.10

Article 509(3)(c) of REGULATION (EU) NO 575/2013

880-900

1.6.13.12  other categories of central bank eligible securities or loans

Article 509(3)(b) of REGULATION (EU) NO 575/2013

880

1.6.13.12.1  local government bonds

Article 509(3)(b) of REGULATION (EU) NO 575/2013

890

1.6.13.12.2  commercial paper

Article 509(3)(b) of REGULATION (EU) NO 575/2013

900

1.6.13.12.3  credit claims

Article 416(4)(c) of REGULATION (EU) NO 575/2013

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 banks509(2)(i)

Article 509(2)(i) of REGULATION (EU) NO 575/2013

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

940-960

1.7  undrawn credit and liquidity facilities and other commitments received from intra-group entities in accordance with article 425(4)

Article 425(4) of REGULATION (EU) NO 575/2013

Total amount of undrawn credit and liquidity facilities and other commitments received from intra-group entities for which the competent authority has granted a higher inflow on a case-by-case basis, shall be reported in the following subcategories as follows:

940

1.7.1  where all the conditions of Article 425(4) (a), (b) and (c) are met

Article 425(4)(a),(b) and (c) REGULATION (EU) NO 575/2013

Total amount of monies due for which the competent authority has granted the permission to apply a higher inflow on a case by case basis and 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 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8, undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(5)

Article 425(4) (a), (b), (c) and (d) of REGULATION (EU) NO 575/2013

Total amount of monies due for which the competent authority has granted the permission to apply, a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b), (c) and are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8 and where the condition of Article 425(4)(d) has been waived.

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 REGULATION (EU) NO 575/2013

The net amount of receivables expected over the 30 day horizon from the contracts listed in Annex II.

Amounts shall:

— be net across all counterparties

— be net of collateral to be received that qualifies as liquid assets under Art 416

— not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon

Note net amount payable shall be reported in 1.2 ‘Outflows’ item 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).

970

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

Article 425(7) of REGULATION (EU) NO 575/2013

The total amount of any payment due on assets that qualify as liquid assets according to Article 416, not reflected in the market value of that asset.

980

1.9  other inflows

Total amount of all other inflows due not reported in items 1.1 to 1.8

990

2.  Total inflows excluded due to cap

Total monies due which are excluded due to an inflow cap which is set at 75 % of liquidity outflows in accordance with Article 425(1) of REGULATION (EU) NO 575/2013. This will require to be checked by reference to total outflows as calculated from the outflows template.

1000-1030

3  inflows exempted from the cap

1000

3.1  monies due from borrowers and bond investors related to mortgage lending

Article 425(1) of REGULATION (EU) NO 575/2013

Mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) as in defined in Article 52(4) of Directive 2009/65/EC

1010

3.2  inflows from promotional loans that the institution has passed through

Article 425(1) of REGULATION (EU) NO 575/2013

1020

3.3  Inflows qualifying for the treatment set out in Article 113(6) or (7)

Total amount of inflows which are deposits placed with other institutions which qualify for the treatments set out in Article 113(6) and Article 113(7), and are therefore exempt from the cap on inflows.

Article 425(1) of REGULATION (EU) NO 575/2013

1030

3.4  Inflows from intra-group entity approved by the competent authority

Article 425(1) of REGULATION (EU) NO 575/2013

REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)

General remarks

1. This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).

(a) 

Collateral swaps sub template

i. 

Instructions concerning specific rows



Row

Legal references and instructions

1.  Collateral Swaps

Article 415(1) paragraph 2 of REGULATION (EU) NO 575/2013.

Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1).

Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as ‘other assets’ in this template.

Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported.

Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported.

010-060

1.0  Assets

010

1.1  cash and exposures to central banks

Article 416(1)(a) REGULATION (EU) NO 575/2013

020

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

Article 416(1)(b) REGULATION (EU) NO 575/2013

030-060

1.3  other transferable assets representing claims on or guaranteed by

Article 416(1)(c) of REGULATION (EU) NO 575/2013

The following subcategories shall be reported:

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 REGULATION (EU) NO 575/2013

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 REGULATION (EU) NO 575/2013

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 REGULATION (EU) NO 575/2013

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 REGULATION (EU) NO 575/2013

REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)

1.   Items providing stable funding

1.1.   General remarks

1. This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.

2. All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.

3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:

(a) 

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.

(b) 

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.

(c) 

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.

(d) 

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.

(e) 

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.

4. Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.

5. For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.

1.2.   Items providing stable funding

1.2.1.   Instructions concerning specific rows



Row

Legal references and instructions

010-250

1  ITEMS PROVIDING STABLE FUNDING

Article 427 of REGULATION (EU) NO 575/2013

Total amount of own funds shall be reported in column J of the following subcategories as follows:

[Note: except item 1.1.3, instruments which would otherwise qualify as ‘own funds’ but no longer meet the definition, such as instruments which no longer qualify due to their maturity, shall instead be reported in the applicable subcategory of section 1.2 ‘Liabilities excluding own funds’]

010-030

1.1  Own funds

Article 427(1)(a) of REGULATION (EU) NO 575/2013

The subcomponents of own funds, after deductions have been applied, consisting of the sum of Tier 1 capital and Tier 2 capital as specified in Articles 25 and 71 of REGULATION (EU) NO 575/2013, and related elements

010

1.1.1  Tier 1 capital instruments

Article 427(1)(a)(i) of REGULATION (EU) NO 575/2013

Total amount of Tier 1 capital as specified in Article 25 of REGULATION (EU) NO 575/2013.

020

1.1.2  Tier 2 capital

Article 427(1)(a)(ii) of REGULATION (EU) NO 575/2013

Total amount of Tier 2 capital as specified in Article 71 of REGULATION (EU) NO 575/2013.

030

1.1.3  Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater

Article 427(1)(a)(iii) of REGULATION (EU) NO 575/2013

Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater.

040-260

1.2  Liabilities excluding own funds

Article 427(1)(b) of REGULATION (EU) NO 575/2013

Total amount of liabilities excluding own funds shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows:

040-060

1.2.1  Retail deposits

Article 427(1)(b)(i-ii)) of REGULATION (EU) NO 575/2013

Total amount of retail deposits shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows:

040

1.2.1.1  as defined in Article 421(1)

Article 427(1)(b)(i) of REGULATION (EU) NO 575/2013

Total amount of retail deposits in accordance with Article 421(1) REGULATION (EU) NO 575/2013 as reported in item 1.1.1 of the liquidity coverage template ‘outflows’, for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 ‘Outflows’.

050

1.2.1.2  as defined in Article 421(2)

Article 427(1)(b)(ii) of REGULATION (EU) NO 575/2013

Total amount of retail deposits in accordance with Article 421(2) REGULATION (EU) NO 575/2013, as reported in items 1.1.2-1.1.3 of the liquidity coverage template ‘outflows’, for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 ‘Outflows’.

060

1.2.1.3  subject to higher outflows than specified in Article 421(1) or 421(2)

Total amount of retail deposits subject to higher outflows than specified in Articles 421(1) and 421 (2), as reported in item 1.1.4 of the liquidity coverage template ‘outflows’.

070-130

1.2.2  liabilities from customers that are not financial customers

Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013, 427(1)(b)(iii)

Total amount of liabilities from customers that are not financial customers.

070-090

1.2.2.1  liabilities from secured lending and capital market driven transactions

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount of liabilities from secured lending and capital market driven transactions s defined in Article 192, from customers that are not financial customers

070

1.2.2.1.1  collateralised by extremely high liquidity and credit quality assets

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by assets of extremely high liquidity and credit quality as reported in 1.1 Assets section 1 as ‘Extremely high liquidity and credit quality assets’.

080

1.2.2.1.2  collateralised by high liquidity and credit quality assets

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by assets of high liquidity and credit quality as reported in 1.1 Assets section 1 as ‘High liquidity and credit quality assets’.

090

1.2.2.1.3  collateralised by any other assets

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2.

100

1.2.2.2  liabilities from unsecured lending

Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013

Total amount of liabilities from unsecured lending from customers that are not financial customers.

110-130

1.2.2.3  liabilities that qualify for the treatment in Article 422(3) and (4)

Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013

The total amount of liabilities that qualify for the treatment in Article 422 (3) and (4).

110

1.2.2.3.1  liabilities reported in 1.2.2.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme.

120

1.2.2.3.2  liabilities reported in 1.2.2.3 which fall under point (b) of Article 422(3)

Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.3, the total amount of deposits that fall under point (b) of Article 422(3).

130

1.2.2.3.3  liabilities reported in 1.2.2.3 which fall under point (d) of Article 422(3)

Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3).

140-200

1.2.3  liabilities from customers that are financial customers

Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013

Total amount of liabilities from customers that are financial customers

140-160

1.2.3.1  liabilities from secured lending and capital market driven transactions

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount of liabilities from secured lending and capital market driven transactions as defined in Article 192, from customers that are financial customers

140

1.2.3.1.1  collateralised by extremely high liquidity and credit quality assets

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by extremely high liquidity and credit quality assets as reported in 1.1 Assets section 1 as ‘Extremely high liquidity and credit quality assets’.

150

1.2.3.1.2  collateralised by highly liquidity and credit quality assets

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by high liquidity and credit quality assets as reported in 1.1 Assets section 1 as ‘High liquidity and credit quality assets’.

160

1.2.3.1.3  collateralised by any other assets

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2.

170

1.2.3.2  liabilities from unsecured lending

Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013

Total amount of liabilities from unsecured lending to customers that are financial customers.

180-200

1.2.3.3  liabilities that qualify for the treatment in Article 422(3) and (4)

Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013

The total amount of liabilities that qualify for the treatment in Article 422(3) and (4).

180

1.2.3.3.1  liabilities reported in 1.2.3.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.3.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme.

190

1.2.3.3.2  liabilities reported in 1.2.3.3 which fall under point (b) of Article 422(3)

Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.3.3, the total amount of deposits that fall under point (b) of Article 422(3).

200

1.2.3.3.3  liabilities reported in 1.2.3.3 which fall under point (d) of Article 422(3)

Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3).

210

1.2.4  liabilities resulting from securities issued qualifying for the treatment in Article 129(4) or (5)

Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013

Total amount of liabilities resulting from securities issued qualifying for the treatment in Article 129 (covered bonds).

220

1.2.5  liabilities resulting from securities defined in Article 52(4) of Directive 2009/65/EC

Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013

Total amount of liabilities resulting from securities issued qualifying for the treatment defined in Article 52(4) of Directive 2009/65/EC (covered bonds).

230

1.2.6  other liabilities resulting from securities issued

Article 427(1)(b)(xi) of REGULATION (EU) NO 575/2013

Total amount of liabilities resulting from securities issued, other than those reported in 1.1.

240

1.2.7  liabilities from derivatives payables contracts

Total amount of liabilities from derivatives payables contracts.

250

1.2.8  any other liabilities

Article 427(1)(b)(xii) of REGULATION (EU) NO 575/2013

Total amount of any other liabilities.

2.   Items requiring stable funding

2.1.   General remarks

1. This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.

2. All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.

3. Treatment of maturity:

(i) 

In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:

(a) 

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.

(b) 

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.

(c) 

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.

(d) 

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.

(e) 

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.

(ii) 

For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.

(iii) 

Assets shall be reported according to their residual contract maturity and not behavioural assumptions.

4. In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:

(i) 

The amount of assets reported which are unencumbered shall be reported in the first sub-category.

(ii) 

The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:

i. 

for a period within three months

ii. 

for a period between three and 6 months

iii. 

for a period between 6 and 9 months

iv. 

for a period between 9 and 12 months

v. 

for a period greater than 12 months

5. Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:

(i) 

Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.

(ii) 

Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.

(iii) 

Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.

6. Treatment of derivatives payables and receivables:

(i) 

An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.

2.2.   Items requiring stable funding

2.2.1.   Instructions concerning specific rows



Row

Legal references and instructions

010-1320

1  ITEMS REQUIRING STABLE FUNDING

Total assets shall be reported as follows:

1.  In columns P-T for assets which are not reported as liquid assets for the purpose of the liquidity coverage template.

2.  In columns F-J for assets which are considered extremely high liquidity and credit quality for the purpose of the liquidity coverage template columns

3.  In columns K-O for assets which are considered high liquidity and credit quality for the purpose of the liquidity coverage template.

Assets shall be reported according to the closer of their maturity date and the earliest date at which they can contractually be called.

010-470

1.1  Assets that would qualify as liquid in accordance with Article 416

Article 428(1)(a) of REGULATION (EU) NO 575/2013

Total assets referred to in Article 416 shall be reported within the relevant sub-line(s) and column(s)

010

1.1.1  Cash

Articles 416(1)(a)

Total amount of cash including coins and banknotes/currency.

020

1.1.2  Exposures to central banks

Articles 416(1)(a)

Total amount of deposits held with central banks.

030

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

Article 416(1)(a)

Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress.

040-050

1.1.3  transferable assets representing claims on or guaranteed by the central government of a Member state or a third country 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 REGULATION (EU) NO 575/2013

Total amount of transferable assets referred to in Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013

040

1.1.3.1  representing claims

050

1.1.3.2  guaranteed by

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(1)(c)(ii) of REGULATION (EU) NO 575/2013

060

1.1.4.1  representing claims

070

1.1.4.2  guaranteed by

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(1)(c)(iii) of REGULATION (EU) NO 575/2013

080

1.1.5.1 (a)  representing claims

090

1.1.5.2 (a)  guaranteed by

100

1.1.5.1 (b)  amount unencumbered

110

1.1.5.2 (b)  encumbered for a period within three months

120

1.1.5.3 (b)  encumbered for a period between three months and six months

130

1.1.5.4 (b)  encumbered for a period between six and nine months

140

1.1.5.5 (b)  encumbered for a period between nine and twelve months

150

1.1.5.6 (b)  encumbered for a period greater than twelve 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)(iii) of REGULATION (EU) NO 575/2013

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(1)

Article 416(6) of REGULATION (EU) NO 575/2013

Total market value of shares or units in CIU's as referred to in Article 416(6) of REGULATION (EU) NO 575/2013

160

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

170

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

175

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

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 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets

232

1.1.8.1  deposits

233

1.1.8.2  contractually available 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

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 REGULATION (EU) NO 575/2013

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

351

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) REGULATION (EU) NO 575/2013

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 encumbered for a period greater than 12 months

358

1.1.13  residential mortgage backed instruments issued by a credit institution if demonstrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) REGULATION (EU) NO 575/2013

359

1.1.13.1  amount unencumbered

360

1.1.13.2  amount encumbered for a period within three months

361

1.1.13.3  amount encumbered for a period between three and 6 months

362

1.1.13.4  amount encumbered for a period between 6 and 9 months

363

1.1.13.5  amount encumbered for a period between 9 and 12 months

364

1.1.13.6  amount encumbered for a period greater than 12 months

365

1.1.14  bonds eligible for the treatment set out in Art. 129(4) or (5), which meet the criteria in Art. 416(2)(a) REGULATION (EU) NO 575/2013

366

1.1.14.1  amount unencumbered

370

1.1.14.2  amount encumbered for a period within three months

380

1.1.14.3  amount encumbered for a period between three and 6 months

390

1.1.14.4  amount encumbered for a period between 6 and 9 months

400

1.1.14.5  amount encumbered for a period between 9 and 12 months

410

1.1.14.6  amount encumbered for a period greater than 12 months

420-470

1.1.15  bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.1.9

420

1.1.15.1  amount unencumbered

430

1.1.15.2  amount encumbered for a period within three months

440

1.1.15.3  amount encumbered for a period between three and 6 months

450

1.1.15.4  amount encumbered for a period between 6 and 9 months

460

1.1.15.5  amount encumbered for a period between 9 and 12 months

470

1.1.15.6  amount encumbered for a period greater than 12 months

480-530

1.2  securities and money market instruments not reported in item 1.1, qualifying for credit step 1 under Article 122

Article 428(1)(b) (i)of REGULATION (EU) NO 575/2013

Total securities and money market instruments not already reported in item 1.1

Total market value of bonds as defined in Article 428(1)(b)(i) of REGULATION (EU) NO 575/2013

480

1.2.1  amount unencumbered

490

1.2.2  amount encumbered for a period within three months

500

1.2.3  amount encumbered for a period between three and 6 months

510

1.2.4  amount encumbered for a period between 6 and 9 months

520

1.2.5  amount encumbered for a period between 9 and 12 months

530

1.2.6  amount encumbered for a period greater than 12 months

540-590

1.3  securities and money market instruments not reported in item 1.1, qualifying for credit step 2 under Article 122

Total market value of bonds as defined in Article 428(1)(b)(ii) of REGULATION (EU) NO 575/2013

540

1.3.1  amount unencumbered

550

1.3.2  amount encumbered for a period within three months

560

1.3.3  amount encumbered for a period between three and 6 months

570

1.3.4  amount encumbered for a period between 6 and 9 months

580

1.3.5  amount encumbered for a period between 9 and 12 months

580

1.3.6  amount encumbered for a period greater than 12 months

600-650

1.4  Other securities and money market instruments not reported elsewhere

Total market value of bonds as defined in Article 428(1)(b)(iii) of REGULATION (EU) NO 575/2013

600

amount unencumbered

610

amount encumbered for a period within three months

620

amount encumbered for a period between three and 6 months

630

amount encumbered for a period between 6 and 9 months

640

amount encumbered for a period between 9 and 12 months

650

amount encumbered for a period greater than 12 months

660-710

1.5  equity securities of non-financial entities listed on a major index in a recognised exchange

Article 428(1)(c) of REGULATION (EU) NO 575/2013

Total equity securities of non-financial entities listed on a major index in a recognised exchange

660

1.5.1  amount unencumbered

670

1.5.2  amount encumbered for a period within three months

680

1.5.2  amount encumbered for a period between three and 6 months

690

1.5.3  amount encumbered for a period between 6 and 9 months

700

1.5. 3  amount encumbered for a period between 9 and 12 months

710

1.5.4  amount encumbered for a period greater than 12 months

720-770

1.6  other equity securities

Article 428(1)(d) of REGULATION (EU) NO 575/2013

Total equity securities not reported in 1.3

720

1.6.1  amount unencumbered

730

1.6.2  amount encumbered for a period within three months

740

1.6.3  amount encumbered for a period between three and 6 months

750

1.6.4  amount encumbered for a period between 6 and 9 months

760

1.6.5  amount encumbered for a period between 9 and 12 months

770

1.6.6  amount encumbered for a period greater than 12 months

780-830

1.7  gold

Article 428(1)(e) of REGULATION (EU) NO 575/2013

780

1.7.1  amount unencumbered

790

1.7.2  amount encumbered for a period within three months

800

1.7.3  amount encumbered for a period between three and 6 months

810

1.7.4  amount encumbered for a period between 6 and 9 months

820

1.7.5  amount encumbered for a period between 9 and 12 months

830

1.7.6  amount encumbered for a period greater than 12 months

840-890

1.8  other precious metals

Article 428(1)(f) of REGULATION (EU) NO 575/2013

Total holdings of precious metals other than gold

[Note: examples include silver or platinum. Gold shall be reported in item 1.5 instead.]

840

1.8.1  amount unencumbered

850

1.8.2  amount encumbered for a period within three months

860

1.8.3  amount encumbered for a period between three and 6 months

870

1.8.4  amount encumbered for a period between 6 and 9 months

880

1.8.5  amount encumbered for a period between 9 and 12 months

890

1.8.6  amount encumbered for a period greater than 12 months

900-1250

1.9  non-renewable loans and receivables

Article 428(1)(g) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables as referred to in Article 428(1)(g) of REGULATION (EU) NO 575/2013 shall be reported within the relevant sub-line(s) and column(s)

900-950

1.9.1  The borrowers of which are natural persons other than commercial sole proprietors and partnerships

Article 428(1)(g)(i) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers of which are natural persons and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million.

900

1.9.1.1  amount unencumbered

910

1.9.1.2  amount encumbered for a period within three months

920

1.9.1.3  amount encumbered for a period between three and 6 months

930

1.9.1.4  amount encumbered for a period between 6 and 9 months

940

1.9.1.5  amount encumbered for a period between 9 and 12 months

960

1.9.1.6  amount encumbered for a period greater than 12 months

960-1010

1.9.2  the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million.

Article 428(1)(g)(ii) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million.

960

1.9.2.1  amount unencumbered

970

1.9.2.2  amount encumbered for a period within three months

980

1.9.2.3  amount encumbered for a period between three and 6 months

990

1.9.2.4  amount encumbered for a period between 6 and 9 months

1000

1.9.2.5  amount encumbered for a period between 9 and 12 months

1010

1.9.2.6  amount encumbered for a period greater than 12 months

1020-1070

1.9.3  the borrowers of which are sovereigns, central banks and public sector entities (PSEs)

Article 428(1)(g)(iii) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are sovereigns, central banks and public sector entities (PSEs)

1020

1.9.3.1  amount unencumbered

1030

1.9.3.2  amount encumbered for a period within three months

1040

1.9.3.3  amount encumbered for a period between three and 6 months

1050

1.9.3.4  amount encumbered for a period between 6 and 9 months

1060

1.9.3.5  amount encumbered for a period between 9 and 12 months

1070

1.9.3.6  amount encumbered for a period greater than 12 months

1080-1130

1.9.4  the borrowers of which are not reported in item 1.9.1, 1.9.2 or 1.9.3, excluding financial customers

Article 428(1)(g)(iv) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are not referred to in item 1.7.1, 1.7.2 or 1.7.3 and excluding financial customers.

1080

1.9.4.1  amount unencumbered

1090

1.9.4.2  amount encumbered for a period within three months

1100

1.9.4.3  amount encumbered for a period between three and 6 months

1110

1.9.4.4  amount encumbered for a period between 6 and 9 months

1120

1.9.4.5  amount encumbered for a period between 9 and 12 months

1130

1.9.4.6  amount encumbered for a period greater than 12 months

1140-1190

1.9.5  the borrowers of which are credit institutions

Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are credit institutions.

1140

1.9.5.1  amount unencumbered

1150

1.9.5.2  amount encumbered for a period within three months

1160

1.9.5.3  amount encumbered for a period between three and 6 months

1170

1.9.5.4  amount encumbered for a period between 6 and 9 months

1180

1.9.5.5  amount encumbered for a period between 9 and 12 months

1190

1.9.5.6  amount encumbered for a period greater than 12 months

1200-1250

1.9.6  the borrowers of which are financial customers (not referred to in 1.9.1, 1.9.2 or 1.9.3) other than credit institutions

Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are financial customers.

1200

1.9.6.1  amount unencumbered

1210

1.9.6.2  amount encumbered for a period within three months

1220

1.9.6.3  amount encumbered for a period between three and 6 months

1230

1.9.6.4  amount encumbered for a period between 6 and 9 months

1240

1.9.6.5  amount encumbered for a period between 9 and 12 months

1250

1.9.6.6  amount encumbered for a period greater than 12 months

1260-1280

1.10  Non-renewable loans and receivables reported in 1.7 that are considered real estate

Article 428(1) (h) REGULATION (EU) NO 575/2013

1260

1.10.1  Collateralised by commercial real estate

Article 428(1)(h)(i) REGULATION (EU) NO 575/2013

1270

1.10.2  Collateralised by residential real estate

Article 428(1)(h)(ii) REGULATION (EU) NO 575/2013

1280

1.10.3  Match funded (pass-through) via bond eligible for treatment set out in Article 129(4) or (5), or as defined in Article 52(4) of Directive 2009/65/EC

Article 428(1)(h)(iii) REGULATION (EU) NO 575/2013

1290

1.11  derivatives receivables

Article 428(1)(i) of REGULATION (EU) NO 575/2013

Total net derivatives receivables

1300

1.12  any other assets

Article 428(1)(j) of REGULATION (EU) NO 575/2013

Any other assets, not already reported in 1.1.1-1.8 above

Note: assets deducted from own funds shall be reported in item 1.10.

1310

1.13  assets deducted from own funds not requiring stable funding

Article 428(1) of REGULATION (EU) NO 575/2013

All assets, deducted from own funds for the purpose of complying with REGULATION (EU) NO 575/2013 capital rules

1320

1.14  Undrawn committed Credit facilities

Article 428(1)(k) of REGULATION (EU) NO 575/2013

Credit facilities as referred to in Article 428(1)(k) of REGULATION (EU) NO 575/2013