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Document 32016R0313
Commission Implementing Regulation (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting (Text with EEA relevance)
Commission Implementing Regulation (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting (Text with EEA relevance)
Commission Implementing Regulation (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting (Text with EEA relevance)
C/2016/1198
OJ L 60, 5.3.2016, p. 5–58
(BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
No longer in force, Date of end of validity: 27/06/2021; Implicitly repealed by 32021R0451
|
5.3.2016 |
EN |
Official Journal of the European Union |
L 60/5 |
COMMISSION IMPLEMENTING REGULATION (EU) 2016/313
of 1 March 2016
amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular the fourth subparagraph of Article 415(3) thereof,
Whereas:
|
(1) |
Chapter 7 of Commission Implementing Regulation (EU) No 680/2014 (2) provides for liquidity reporting by credit institutions on an individual and a consolidated basis. In order to increase effective liquidity supervision, it is appropriate to require the reporting of additional liquidity monitoring metrics as referred to in Article 415(3)(b) of Regulation (EU) No 575/2013. This should provide a more complete overview of the liquidity position of an institution, proportionate to the nature, scale and complexity of an institution's activities |
|
(2) |
The additional liquidity monitoring metrics to be reported should include: metrics based on the concentration of funding by counterparty and product type, as those metrics identify counterparties and instruments that are of such relevance that withdrawal of funds or declining market liquidity could trigger liquidity problems; metrics based on the concentration of the counterbalancing capacity by issuer or counterparty, as those metrics provide information about the reporting institutions' concentration by the 10 largest holdings of assets or liquidity lines granted to the institution; and metrics based on the prices for various lengths of funding and the rollover of funding, which represents information valuable over time as supervisors are made aware of changes in funding spreads, volumes and tenors. |
|
(3) |
Reporting for additional liquidity monitoring metrics should be used by competent authorities as part of their supervisory review and evaluation process, as well as within colleges of supervisors and as an early warning tool for day-to-day supervision. |
|
(4) |
The reporting of additional liquidity monitoring metrics should be aligned with the level of application and reporting for the liquidity coverage requirement in accordance with Articles 6 to 10 and Article 415(3)(a) of Regulation (EU) No 575/2013. |
|
(5) |
In order to ensure proportionality, quarterly reporting should be allowed instead of monthly reporting, where an institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority and the balance sheet total of the institution represents only a small proportion of the sum of individual balance sheet totals of all institutions in the respective Member State and the institution has total assets which are not significant. |
|
(6) |
Given the importance of the reporting of additional liquidity monitoring metrics for proper supervision and as an early warning tool for day-to-day supervision, this Regulation should be applied promptly. However, to facilitate the initial implementation of this Regulation by institutions and competent authorities, during the first six months of its application, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics should be the 30th, instead of the 15th, calendar day after the reporting reference date. |
|
(7) |
This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission. |
|
(8) |
EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3). |
|
(9) |
In accordance with the procedure set out in Article 15 of Regulation (EU) No 1093/2010, the Commission has endorsed with amendments the draft implementing standard submitted by EBA explaining the reasons for the amendments. EBA provided a formal opinion, accepting the proposed amendments with the exception of those relating to the reporting of liquid assets and expected cash outflows and inflows (‘the maturity ladder’), providing a number of reasons for its approach. |
|
(10) |
The Commission has carefully assessed the reasons provided by EBA in favour of adopting reporting rules for the maturity ladder based on the provisional reporting approach in Regulation (EU) No 575/2013. That approach will, however, need to be amended in order to be fully aligned with the definitive approach set out in Commission Delegated Regulation (EU) 2015/61 (4) which applies from 1 October 2015. |
|
(11) |
The Commission fully recognises the importance of the maturity ladder as a supervisory instrument. However, the Commission considers that, currently, the supervisory benefits achieved by the mandatory reporting of a maturity ladder based on an outdated approach to reporting are disproportionate to the additional regulatory burden and duplication of compliance costs. EBA should seek to update the maturity ladder based on a reporting fully aligned with Delegated Regulation (EU) 2015/61 as soon as possible and submit to the Commission for adoption. In the interim and pending the future adoption of mandatory reporting for the maturity ladder, where necessary and justified, supervisors may seek additional reporting not provided for by this Implementing Regulation, including under Article 412(5) of Regulation (EU) No 575/2013. |
|
(12) |
Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly, |
HAS ADOPTED THIS REGULATION:
Article 1
Implementing Regulation (EU) No 680/2014 is amended as follows:
|
1. |
in Article 1, the following point (g) is added:
|
|
2. |
the following Chapter 7b is inserted: ‘CHAPTER 7b FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS Article 16b 1. In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:
2. By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:
For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date. 3. For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016. (5) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).’;" |
|
3. |
in Article 18, the following sixth paragraph is added: ‘By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.’; |
|
4. |
Annexes XVIII to XXI are added in accordance with the text set out in the Annex to this Regulation. |
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 1 March 2016.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 176, 27.6.2013, p. 1.
(2) Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
(3) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).
(4) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).
ANNEX
ANNEX XVIII
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
|
ALMM TEMPLATES |
||
|
Template number |
Template code |
Name of the template/group of templates |
|
ADDITIONAL MONITORING TOOLS TEMPLATES |
||
|
67 |
C 67.00 |
CONCENTRATION OF FUNDING BY COUNTERPARTY |
|
68 |
C 68.00 |
CONCENTRATION OF FUNDING BY PRODUCT TYPE |
|
69 |
C 69.00 |
PRICES FOR VARIOUS LENGTHS OF FUNDING |
|
70 |
C 70.00 |
ROLL-OVER OF FUNDING |
C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY
|
z-axis |
Total and significant currencies |
|
Concentration of funding by counterparty |
|||||||||||
|
|
Counterparty Name |
LEI Code |
Counterparty Sector |
Residence of Counterparty |
Product Type |
Amount Received |
Weighted average initial maturity |
Weighted average residual maturity |
|||
|
Row |
ID |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
||
|
010 |
|
|
|
|
|
|
|
|
|
||
|
020 |
1,01 |
|
|
|
|
|
|
|
|
||
|
030 |
1,02 |
|
|
|
|
|
|
|
|
||
|
040 |
1,03 |
|
|
|
|
|
|
|
|
||
|
050 |
1,04 |
|
|
|
|
|
|
|
|
||
|
060 |
1,05 |
|
|
|
|
|
|
|
|
||
|
070 |
1,06 |
|
|
|
|
|
|
|
|
||
|
080 |
1,07 |
|
|
|
|
|
|
|
|
||
|
090 |
1,08 |
|
|
|
|
|
|
|
|
||
|
100 |
1,09 |
|
|
|
|
|
|
|
|
||
|
110 |
1,10 |
|
|
|
|
|
|
|
|
||
|
120 |
|
|
|
|
|
|
|
|
|
||
C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE
|
z-axis |
Total and significant currencies |
|
Concentration of funding by product type |
|||||||
|
Row |
ID |
Product Name |
Total amount received |
Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
Weighted average initial maturity |
Weighted average residual maturity |
|
|
|
|
010 |
020 |
030 |
040 |
050 |
|
PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES |
|||||||
|
010 |
1 |
RETAIL FUNDING |
|
|
|
|
|
|
020 |
1,1 |
Sight deposits |
|
|
|
|
|
|
030 |
1,2 |
Fixed term deposits with an initial maturity less than 30 days |
|
|
|
|
|
|
040 |
1,3 |
Fixed term deposits with an initial maturity greater than 30 days |
|
|
|
|
|
|
050 |
1.3.1 |
with a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity |
|
|
|
|
|
|
060 |
1.3.2 |
without a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity |
|
|
|
|
|
|
070 |
1,4 |
Savings accounts |
|
|
|
|
|
|
080 |
1.4.1 |
with a notice period for withdrawal greater than 30 days |
|
|
|
|
|
|
090 |
1.4.2 |
without a notice period for withdrawal greater than 30 days |
|
|
|
|
|
|
100 |
2 |
WHOLESALE FUNDING |
|
|
|
|
|
|
110 |
2,1 |
Unsecured wholesale funding |
|
|
|
|
|
|
120 |
2.1.1 |
of which financial customers |
|
|
|
|
|
|
130 |
2.1.2 |
of which non-financial customers |
|
|
|
|
|
|
140 |
2.1.3 |
of which from intra-group entities |
|
|
|
|
|
|
150 |
2,2 |
Secured wholesale funding |
|
|
|
|
|
|
160 |
2.2.1 |
of which repurchase agreements |
|
|
|
|
|
|
170 |
2.2.2 |
of which covered bond issuance |
|
|
|
|
|
|
180 |
2.2.3 |
of which asset backed security issuance |
|
|
|
|
|
|
190 |
2.2.4 |
of which from intra-group entities |
|
|
|
|
|
C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING
|
z-axis |
Total and significant currencies |
|
Prices for various lengths of funding |
||||||||||||||||||||
|
|
Overnight |
1 week |
1 month |
3 months |
6 months |
1 year |
2 years |
5 years |
10 years |
|||||||||||
|
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
Spread |
Volume |
|||
|
Row |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
|
010 |
1 |
Total Funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1,1 |
of which: Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1,2 |
of which: Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1,3 |
of which: Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1,4 |
of which: Senior unsecured securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1,5 |
of which: Covered bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1,6 |
of which: Asset backed securities including ABCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 70.00 - ROLL-OVER OF FUNDING
|
z-axis |
Total and significant currencies |
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
010 |
1.1 |
1 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1.2 |
2 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1.2.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1.2.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
1.2.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
010 |
1.1 |
1 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
1.2 |
2 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
1.2.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
1.2.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
1.2.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
010 |
1.1 |
1 |
Total funding |
|
|
|
|
|
|
|
|
|
|
020 |
1.1.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
030 |
1.1.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
040 |
1.1.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
050 |
1.2 |
2 |
Total funding |
|
|
|
|
|
|
|
|
|
|
060 |
1.2.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
070 |
1.2.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
080 |
1.2.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
090 |
1.3 |
3 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
1.3.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
1.3.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
1.3.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
1.4 |
4 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
1.4.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
1.4.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
1.4.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
1.5 |
5 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
1.5.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
1.5.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
1.5.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
090 |
1.3 |
3 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
1.3.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
1.3.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
1.3.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
1.4 |
4 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
1.4.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
1.4.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
1.4.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
1.5 |
5 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
1.5.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
1.5.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
1.5.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
090 |
1.3 |
3 |
Total funding |
|
|
|
|
|
|
|
|
|
|
100 |
1.3.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
110 |
1.3.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
120 |
1.3.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
130 |
1.4 |
4 |
Total funding |
|
|
|
|
|
|
|
|
|
|
140 |
1.4.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
150 |
1.4.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
160 |
1.4.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
170 |
1.5 |
5 |
Total funding |
|
|
|
|
|
|
|
|
|
|
180 |
1.5.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
190 |
1.5.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
200 |
1.5.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
210 |
1.6 |
6 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
1.6.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
1.6.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240 |
1.6.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250 |
1.7 |
7 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
260 |
1.7.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
270 |
1.7.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
280 |
1.7.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
290 |
1.8 |
8 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
300 |
1.8.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
1.8.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
320 |
1.8.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
210 |
1.6 |
6 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
1.6.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230 |
1.6.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240 |
1.6.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250 |
1.7 |
7 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
260 |
1.7.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
270 |
1.7.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
280 |
1.7.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
290 |
1.8 |
8 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
300 |
1.8.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
310 |
1.8.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
320 |
1.8.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
210 |
1.6 |
6 |
Total funding |
|
|
|
|
|
|
|
|
|
|
220 |
1.6.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
230 |
1.6.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
240 |
1.6.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
250 |
1.7 |
7 |
Total funding |
|
|
|
|
|
|
|
|
|
|
260 |
1.7.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
270 |
1.7.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
280 |
1.7.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
290 |
1.8 |
8 |
Total funding |
|
|
|
|
|
|
|
|
|
|
300 |
1.8.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
310 |
1.8.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
320 |
1.8.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
330 |
1.9 |
9 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
340 |
1.9.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
350 |
1.9.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
360 |
1.9.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
370 |
1.10 |
10 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
380 |
1.10.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390 |
1.10.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
1.10.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
410 |
1.11 |
11 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
420 |
1.11.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
430 |
1.11.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
440 |
1.11.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
330 |
1.9 |
9 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
340 |
1.9.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
350 |
1.9.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
360 |
1.9.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
370 |
1.10 |
10 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
380 |
1.10.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390 |
1.10.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
1.10.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
410 |
1.11 |
11 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
420 |
1.11.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
430 |
1.11.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
440 |
1.11.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
330 |
1.9 |
9 |
Total funding |
|
|
|
|
|
|
|
|
|
|
340 |
1.9.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
350 |
1.9.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
360 |
1.9.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
370 |
1.10 |
10 |
Total funding |
|
|
|
|
|
|
|
|
|
|
380 |
1.10.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
390 |
1.10.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
400 |
1.10.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
410 |
1.11 |
11 |
Total funding |
|
|
|
|
|
|
|
|
|
|
420 |
1.11.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
430 |
1.11.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
440 |
1.11.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
450 |
1.12 |
12 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
460 |
1.12.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
470 |
1.12.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
480 |
1.12.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
490 |
1.13 |
13 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
500 |
1.13.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
510 |
1.13.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
520 |
1.13.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
530 |
1.14 |
14 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
540 |
1.14.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
550 |
1.14.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
560 |
1.14.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
450 |
1.12 |
12 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
460 |
1.12.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
470 |
1.12.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
480 |
1.12.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
490 |
1.13 |
13 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
500 |
1.13.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
510 |
1.13.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
520 |
1.13.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
530 |
1.14 |
14 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
540 |
1.14.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
550 |
1.14.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
560 |
1.14.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
450 |
1.12 |
12 |
Total funding |
|
|
|
|
|
|
|
|
|
|
460 |
1.12.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
470 |
1.12.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
480 |
1.12.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
490 |
1.13 |
13 |
Total funding |
|
|
|
|
|
|
|
|
|
|
500 |
1.13.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
510 |
1.13.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
520 |
1.13.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
530 |
1.14 |
14 |
Total funding |
|
|
|
|
|
|
|
|
|
|
540 |
1.14.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
550 |
1.14.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
560 |
1.14.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
570 |
1.15 |
15 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
580 |
1.15.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
590 |
1.15.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
600 |
1.15.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
610 |
1.16 |
16 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
620 |
1.16.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
630 |
1.16.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
1.16.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
650 |
1.17 |
17 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
660 |
1.17.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
670 |
1.17.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
680 |
1.17.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
570 |
1.15 |
15 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
580 |
1.15.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
590 |
1.15.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
600 |
1.15.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
610 |
1.16 |
16 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
620 |
1.16.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
630 |
1.16.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
1.16.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
650 |
1.17 |
17 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
660 |
1.17.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
670 |
1.17.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
680 |
1.17.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
570 |
1.15 |
15 |
Total funding |
|
|
|
|
|
|
|
|
|
|
580 |
1.15.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
590 |
1.15.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
600 |
1.15.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
610 |
1.16 |
16 |
Total funding |
|
|
|
|
|
|
|
|
|
|
620 |
1.16.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
630 |
1.16.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
640 |
1.16.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
650 |
1.17 |
17 |
Total funding |
|
|
|
|
|
|
|
|
|
|
660 |
1.17.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
670 |
1.17.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
680 |
1.17.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
690 |
1.18 |
18 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
700 |
1.18.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
710 |
1.18.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
720 |
1.18.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
730 |
1.19 |
19 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
740 |
1.19.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
750 |
1.19.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
760 |
1.19.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
770 |
1.20 |
20 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
780 |
1.20.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
790 |
1.20.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
800 |
1.20.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
690 |
1.18 |
18 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
700 |
1.18.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
710 |
1.18.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
720 |
1.18.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
730 |
1.19 |
19 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
740 |
1.19.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
750 |
1.19.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
760 |
1.19.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
770 |
1.20 |
20 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
780 |
1.20.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
790 |
1.20.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
800 |
1.20.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
690 |
1.18 |
18 |
Total funding |
|
|
|
|
|
|
|
|
|
|
700 |
1.18.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
710 |
1.18.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
720 |
1.18.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
730 |
1.19 |
19 |
Total funding |
|
|
|
|
|
|
|
|
|
|
740 |
1.19.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
750 |
1.19.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
760 |
1.19.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
770 |
1.20 |
20 |
Total funding |
|
|
|
|
|
|
|
|
|
|
780 |
1.20.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
790 |
1.20.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
800 |
1.20.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
810 |
1.21 |
21 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
820 |
1.21.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
830 |
1.21.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
840 |
1.21.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
850 |
1.22 |
22 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
860 |
1.22.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
870 |
1.22.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
880 |
1.22.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
890 |
1.23 |
23 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
900 |
1.23.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
910 |
1.23.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
920 |
1.23.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
810 |
1.21 |
21 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
820 |
1.21.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
830 |
1.21.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
840 |
1.21.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
850 |
1.22 |
22 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
860 |
1.22.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
870 |
1.22.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
880 |
1.22.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
890 |
1.23 |
23 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
900 |
1.23.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
910 |
1.23.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
920 |
1.23.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
810 |
1.21 |
21 |
Total funding |
|
|
|
|
|
|
|
|
|
|
820 |
1.21.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
830 |
1.21.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
840 |
1.21.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
850 |
1.22 |
22 |
Total funding |
|
|
|
|
|
|
|
|
|
|
860 |
1.22.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
870 |
1.22.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
880 |
1.22.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
890 |
1.23 |
23 |
Total funding |
|
|
|
|
|
|
|
|
|
|
900 |
1.23.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
910 |
1.23.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
920 |
1.23.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
930 |
1.24 |
24 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
940 |
1.24.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
950 |
1.24.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
960 |
1.24.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
970 |
1.25 |
25 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
980 |
1.25.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
1.25.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.25.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.26 |
26 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1020 |
1.26.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.26.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.26.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
930 |
1.24 |
24 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
940 |
1.24.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
950 |
1.24.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
960 |
1.24.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
970 |
1.25 |
25 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
980 |
1.25.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
1.25.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.25.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.26 |
26 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1020 |
1.26.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.26.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.26.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
930 |
1.24 |
24 |
Total funding |
|
|
|
|
|
|
|
|
|
|
940 |
1.24.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
950 |
1.24.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
960 |
1.24.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
970 |
1.25 |
25 |
Total funding |
|
|
|
|
|
|
|
|
|
|
980 |
1.25.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
990 |
1.25.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1000 |
1.25.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
1010 |
1.26 |
26 |
Total funding |
|
|
|
|
|
|
|
|
|
|
1020 |
1.26.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
1030 |
1.26.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1040 |
1.26.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
1050 |
1.27 |
27 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.27.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.27.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.27.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.28 |
28 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1100 |
1.28.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.28.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.28.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.29 |
29 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1140 |
1.29.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.29.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.29.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
1050 |
1.27 |
27 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.27.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.27.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.27.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.28 |
28 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1100 |
1.28.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.28.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.28.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.29 |
29 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1140 |
1.29.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.29.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.29.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
1050 |
1.27 |
27 |
Total funding |
|
|
|
|
|
|
|
|
|
|
1060 |
1.27.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
1070 |
1.27.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1080 |
1.27.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
1090 |
1.28 |
28 |
Total funding |
|
|
|
|
|
|
|
|
|
|
1100 |
1.28.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
1110 |
1.28.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1120 |
1.28.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
1130 |
1.29 |
29 |
Total funding |
|
|
|
|
|
|
|
|
|
|
1140 |
1.29.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
1150 |
1.29.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1160 |
1.29.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
Overnight |
> 1 day ≤ 7 days |
>7days ≤ 14 days |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
|
1170 |
1.30 |
30 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1180 |
1.30.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.30.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.30.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.31 |
31 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1220 |
1.31.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.31.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.31.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
|||||||||||||||
|
|
>14 days ≤ 1 month |
>1 Month ≤ 3 Months |
>3 Months ≤ 6 Months |
||||||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
Maturing |
Roll over |
New Funds |
Net |
||||
|
Row |
ID |
Day |
Item |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
|
1170 |
1.30 |
30 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1180 |
1.30.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.30.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.30.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.31 |
31 |
Total funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
1220 |
1.31.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.31.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.31.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Roll-over of funding |
||||||||||||
|
|
>6 Months |
Total net cashflows |
Average Term (days) |
|||||||||
|
Maturing |
Roll over |
New Funds |
Net |
Maturing Funds Term |
Roll-over Funds Term |
New Funds Term |
Total Funding Profile |
|||||
|
Row |
ID |
Day |
Item |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
|
1170 |
1.30 |
30 |
Total funding |
|
|
|
|
|
|
|
|
|
|
1180 |
1.30.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
1190 |
1.30.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1200 |
1.30.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
|
1210 |
1.31 |
31 |
Total funding |
|
|
|
|
|
|
|
|
|
|
1220 |
1.31.1 |
Retail deposits |
|
|
|
|
|
|
|
|
|
|
|
1230 |
1.31.2 |
Unsecured wholesale deposits |
|
|
|
|
|
|
|
|
|
|
|
1240 |
1.31.3 |
Secured funding |
|
|
|
|
|
|
|
|
|
|
ANNEX XIX
INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1. Additional Monitoring Tools
1.1. General remarks
|
1. |
The summary templates contained in Annex XVIII is designed to monitor an institution's liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding. |
1.2. Concentration of funding by counterparty (C 67.00)
|
1. |
This template seeks to collect information about the reporting institutions' concentration of funding by counterparty. |
|
2. |
For the purpose of completing this template:
|
|
3. |
For each counterparty, institutions shall record the following components:
These components are explained in more detail in the table below. |
|
4. |
Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Separate information shall be reported to the competent authority explaining the breakdown of funding received for the top 5 products by product type. |
|
5. |
Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities (i.e. is the custodian bank) it should consider that amount for reporting the concentration of counterparties. When there is no information available on the holder of securities the corresponding amount does not have to be reported. |
|
6. |
Instructions concerning specific columns:
|
1.3. Concentration of funding by product type (C 68.00)
|
1. |
This template seeks to collect information about the reporting institutions' concentration of funding by product type, broken down into the following funding types:
|
|
2. |
For the purpose of completing this template institutions shall report the total amount of funding received from each product category, which exceeds a threshold of 1 % of total liabilities. |
|
3. |
For each product type, institutions shall record the following components:
These components are explained in more detail in the table below. |
|
4. |
For the purpose of determining those product types from which funding obtained is greater than 1 % of total liabilities threshold, the currency is irrelevant. |
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5. |
Instructions concerning specific columns:
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1.4. Prices for Various Lengths of Funding (C 69.00)
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1. |
This template seeks to collect information about the average transaction volume and prices paid by institutions for funding with the following maturities:
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2. |
For the purpose of determining the maturity of funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three month liability settling in two weeks' time shall be reported in the 3 months maturity (columns 070 and 080). |
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3. |
The spread reported in the left hand column of each time bucket shall be one of the following:
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4. |
Spread shall be reported in basis points (bp) and calculated on a weighted average basis. For example:
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5. |
For the purposes of calculating the average spread payable, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but include any premium or discount and fees payable or receivable, taking as basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread is the liability rate minus the swap rate. |
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6. |
The net amount of funding obtained for the funding categories listed in the “Item” column shall be reported in the “volume” column of the applicable time bucket. For example, for the funding in point 4 above, this would be EUR 1 500 000. |
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7. |
Where there is nothing to report, spreads shall be left empty. |
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8. |
Instructions concerning specific rows:
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1.5. Roll-over of funding (C 70.00)
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1. |
This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. “roll-over of funding” on a daily basis over a monthly time horizon. |
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2. |
Institutions shall report the funding they have maturing in the following time buckets:
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3. |
For each time bucket as described in point 2 above, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the “Roll over” column, new funds obtained shall be reported in the “New Funds” column and the net difference (i.e. new funds + roll over — maturing) shall be reported in the right-hand column. |
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4. |
Total net cashflows shall be reported in column 290 and shall equal the sum of all “Net” columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280). |
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5. |
The average term of funding (in days) for maturing term funds shall be reported in column 300. |
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6. |
The average term of funding (in days) of funds rolled over shall be reported in column 310 |
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7. |
The average term of funding (in days) for new term funds shall be reported in column 320. |
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8. |
The average term of funding (in days) for the total funding profile shall be reported in column 330. |
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9. |
Instructions concerning specific rows:
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ANNEX XX
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
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ALMM TEMPLATES |
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Template number |
Template code |
Name of the template /group of templates |
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CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES |
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71 |
C 71.00 |
CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY |
C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY
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z-axis |
Total and significant currencies |
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Concentration of counterbalancing capacity by issuer/counterparty |
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Issuer/Counterparty Name |
LEI code |
Issuer/Counterparty Sector |
Residence of Issuer/Counterparty |
Product Type |
Currency |
Credit quality step |
MtM value/nominal |
Collateral value CB-eligible |
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Row |
ID |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
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010 |
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020 |
1,01 |
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030 |
1,02 |
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040 |
1,03 |
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050 |
1,04 |
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060 |
1,05 |
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070 |
1,06 |
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080 |
1,07 |
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090 |
1,08 |
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100 |
1,09 |
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110 |
1,10 |
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120 |
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ANNEX XXI
INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XXII
Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)
This template seeks to collect information about the reporting institutions' concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose. Counterbalancing capacity represents the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential funding gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.
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Column |
Legal references and instructions |
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010 |
Issuer/Counterparty Name The name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. The issuer/counterparty name recorded shall be the legal entity title of the company which has issued the assets, or has granted the liquidity lines, including any company type references, e.g. SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany) etc. |
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020 |
LEI code The legal entity identifier code of the counterparty. |
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030 |
Issuer/Counterparty Sector One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households. For groups of connected clients, no sector shall be reported. |
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040 |
Residence of Issuer/Counterparty ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's “Balance of Payments Vademecum”). For groups of connected clients, no country shall be reported. |
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050 |
Product Type Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold:
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060 |
Currency Issuers/counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code according to ISO 4217 shall be reported. |
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070 |
Credit quality step Issuers/counterparties recorded in column 010 shall be assigned the appropriate credit quality step according to REGULATION 575/2013, consistent with the items reported in the maturity ladder. |
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080 |
MtM value/nominal The market value or fair value of the assets, or — if applicable — the nominal value of the undrawn liquidity line granted to the institution. |
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090 |
Collateral value CB-eligible The collateral value according to the central bank rules for standing facilities for the specific assets if they are used as collateral against credit received from the central bank. For assets denominated in a currency included in the ITS issued under Article 416(5) Regulation (EC) No 575/2013 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. |