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Document 32016R0322

Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Text with EEA relevance)

C/2016/0694

OJ L 64, 10.3.2016, p. 1–142 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2016/322/oj

10.3.2016   

EN

Official Journal of the European Union

L 64/1


COMMISSION IMPLEMENTING REGULATION (EU) 2016/322

of 10 February 2016

amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement

(Text with EEA relevance)

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),

Whereas:

(1)

Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with the requirements of Regulation (EU) No 575/2013 in general, and with the provisions on the liquidity coverage requirement expressed as a ratio (LCR) which takes the form of a ratio, in particular. Given that the regulatory framework established by Regulation (EU) No 575/2013 on the LCR was amended by Commission Delegated Regulation (EU) 2015/61 (3), Implementing Regulation (EU) No 680/2014 should be updated accordingly to reflect these amendments in the regulatory framework of the LCR for credit institutions. The updates reflect, among others, the changed nature of reporting the LCR, from a mere monitoring tool in the period preceding the adoption of Delegated Regulation (EU) 2015/61, and with a view to feeding input to the design of the latter Regulation, into a proper supervisory review tool after the finalisation of that Regulation.

(2)

Implementing Regulation (EU) No 680/2014 should also be updated to provide further precision with regard to the instructions and definitions used for the purposes of institutions' supervisory reporting and to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation.

(3)

As Delegated Regulation (EU) 2015/61 specifies the LCR for credit institutions only, the provisions of Implementing Regulation (EU) No 680/2014 on the LCR still apply for all remaining institutions except credit institutions.

(4)

It is necessary to design new templates and corresponding instructions for credit institutions, given the specifications of the LCR in Delegated Regulation (EU) 2015/61, which enhances the use of such templates for supervisory purposes. In other words, the update of the templates and instructions is required in order to include all the elements necessary for the calculation of the ratio. Furthermore, this update is appropriate given that the actual items to be reported under the updated templates substantially and effectively reflect the items originally reported under the original templates, requiring only that their reporting is done in a more detailed manner and with a structure and format corresponding to the specification of the LCR in Delegated Regulation (EU) 2015/61.

(5)

Supervisory reporting, in general, and supervisory reporting relating to the LCR in particular, are necessary to enable competent authorities to verify compliance of institutions with the requirements of Regulation (EU) No 575/2013, and in this particular case, in relation to the LCR. As it is necessary to verify overall actual compliance with the LCR, the templates of supervisory reporting of the LCR should include items which directly relate to the calculation of the LCR itself, as well as other items (the so-called ‘memorandum items’) which are closely related to the LCR and which serve to ensure a correct understanding of the LCR in the context of an institution's wider liquidity profile.

(6)

To provide a sufficient period of time for supervisors and institutions to prepare for the application of the new reporting templates and instructions, the implementation date for the first application of the latter should be deferred by 6 months from the date of publication of this Regulation.

(7)

The European Banking Authority has conducted open public consultations, has 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 (4).

(8)

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)

Article 15 is replaced by the following:

‘Article 15

Format and frequency of reporting on liquidity coverage requirement

1.   In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:

(a)

credit institutions shall submit the information specified in Annex XXII according to the instructions in Annex XXIII with a monthly frequency;

(b)

all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

2.   The information set out in Annexes XII and XXII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.’;

(2)

Annexes XXII and XXIII are added as set out, respectively, in Annexes I and II to this Regulation;

(3)

In Article 18, the following subparagraph is added:

‘For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.’.

Article 2

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 10 September 2016.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 10 February 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 (OJ L 191, 28.6.2014, p. 1).

(3)  Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

(4)  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).


ANNEX I

‘ANNEX XXII

REPORTING ON LIQUIDITY

LIQUIDITY TEMPLATES

Template number

Template code

Name of the template/group of templates

LIQUIDITY COVERAGE TEMPLATES

PART I — LIQUID ASSETS

72

C 72.00

LIQUIDITY COVERAGE — LIQUID ASSETS

PART II — OUTFLOWS

73

C 73.00

LIQUIDITY COVERAGE — OUTFLOWS

PART III — INFLOWS

74

C 74.00

LIQUIDITY COVERAGE — INFLOWS

PART IV — COLLATERAL SWAPS

75

C 75.00

LIQUIDITY COVERAGE — COLLATERAL SWAPS

PART V — CALCULATIONS

76

C 76.00

LIQUIDITY COVERAGE — CALCULATIONS


C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

Currency

Row

ID

Item

Amount/Market value

Standard weight

Applicable weight

Value according to Article 9

010

020

030

040

010

1

TOTAL UNADJUSTED LIQUID ASSETS

 

 

 

 

020

1.1

Total unadjusted level 1 assets

 

 

 

 

030

1.1.1

Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

 

 

 

 

040

1.1.1.1

Coins and banknotes

 

1,00

 

 

050

1.1.1.2

Withdrawable central bank reserves

 

1,00

 

 

060

1.1.1.3

Central bank assets

 

1,00

 

 

070

1.1.1.4

Central government assets

 

1,00

 

 

080

1.1.1.5

Regional government/local authorities assets

 

1,00

 

 

090

1.1.1.6

Public Sector Entity assets

 

1,00

 

 

100

1.1.1.7

Recognisable domestic and foreign currency central government and central bank assets

 

1,00

 

 

110

1.1.1.8

Credit institution (protected by Member State government, promotional lender) assets

 

1,00

 

 

120

1.1.1.9

Multilateral development bank and international organisations assets

 

1,00

 

 

130

1.1.1.10

Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

 

1,00

 

 

140

1.1.1.11

Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

 

0,95

 

 

150

1.1.1.12

Alternative Liquidity Approaches: Central bank credit facility

 

1,00

 

 

160

1.1.1.13

Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution

 

 

 

 

170

1.1.1.14

Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1

 

0,80

 

 

180

1.1.2

Total unadjusted LEVEL 1 extremely high quality covered bonds

 

 

 

 

190

1.1.2.1

Extremely high quality covered bonds

 

0,93

 

 

200

1.1.2.2

Qualifying CIU shares/units: underlying is extremely high quality covered bonds

 

0,88

 

 

210

1.1.2.3

Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution

 

 

 

 

220

1.2

Total unadjusted level 2 assets

 

 

 

 

230

1.2.1

Total unadjusted LEVEL 2A assets

 

 

 

 

240

1.2.1.1

Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %)

 

0,85

 

 

250

1.2.1.2

Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %)

 

0,85

 

 

260

1.2.1.3

High quality covered bonds (CQS2)

 

0,85

 

 

270

1.2.1.4

High quality covered bonds (Third Country, CQS1)

 

0,85

 

 

280

1.2.1.5

Corporate debt securities (CQS1)

 

0,85

 

 

290

1.2.1.6

Qualifying CIU shares/units: underlying is Level 2A assets

 

0,80

 

 

300

1.2.1.7

Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

 

 

 

 

310

1.2.2

Total unadjusted LEVEL 2B assets

 

 

 

 

320

1.2.2.1

Asset-backed securities (residential, CQS1)

 

0,75

 

 

330

1.2.2.2

Asset-backed securities (auto, CQS1)

 

0,75

 

 

340

1.2.2.3

High quality covered bonds (RW35 %)

 

0,70

 

 

350

1.2.2.4

Asset-backed securities (commercial or individuals, Member State, CQS1)

 

0,65

 

 

360

1.2.2.5

Corporate debt securities (CQS2/3)

 

0,50

 

 

370

1.2.2.6

Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

 

0,50

 

 

380

1.2.2.7

Shares (major stock index)

 

0,50

 

 

390

1.2.2.8

Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

 

0,50

 

 

400

1.2.2.9

Restricted-use central bank committed liquidity facilities

 

1,00

 

 

410

1.2.2.10

Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

 

0,70

 

 

420

1.2.2.11

Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

 

0,65

 

 

430

1.2.2.12

Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

 

0,60

 

 

440

1.2.2.13

Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

 

0,45

 

 

450

1.2.2.14

Deposits by network member with central institution (no obligated investment)

 

0,75

 

 

460

1.2.2.15

Liquidity funding available to network member from central institution (non-specified collateralisation)

 

0,75

 

 

470

1.2.2.16

Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

 

 

 

 

MEMORANDUM ITEMS

480

2

Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons

 

 

 

 

490

3

Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB)

 

 

 

 

500

4

Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets)

 

 

 

 

510

5

Deposits by network member with central institution (obligated investment in Level 2A assets)

 

 

 

 

520

6

Deposits by network member with central institution (obligated investment in Level 2B assets)

 

 

 

 

530

7

Adjustments made to assets due to net liquidity outflows from early close-out of hedges

 

 

 

 

540

8

Adjustments made to assets due to net liquidity inflows from early close-out of hedges

 

 

 

 

550

9

Member State-sponsored guaranteed bank assets subject to grandfathering

 

 

 

 

560

10

Member State-sponsored impaired asset management agencies subject to transitional provision

 

 

 

 

570

11

Securitisations backed by residential loans subject to transitional provision

 

 

 

 

580

12

Level 1/2A/2B assets excluded due to currency reasons

 

 

 

 

590

13

Level 1/2A/2B assets excluded for operational reasons except for currency reasons

 

 

 

 

600

14

Level 1 Non-interest bearing assets (held by credit institutions for religious reasons)

 

 

 

 

610

15

Level 2A Non-interest bearing assets (held by credit institutions for religious reasons)

 

 

 

 


C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS

Currency

 

Amount

Market value of collateral extended

Value of collateral extended according to Article 9

Standard Weight

Applicable Weight

Outflow

Row

ID

Item

010

020

030

040

050

060

010

1

OUTFLOWS

 

 

 

 

 

 

020

1.1

Outflows from unsecured transactions/deposits

 

 

 

 

 

 

030

1.1.1

Retail deposits

 

 

 

 

 

 

040

1.1.1.1

deposits where the payout has been agreed within the following 30 days

 

 

 

1,00

 

 

050

1.1.1.2

deposits subject to higher outflows

 

 

 

 

 

 

060

1.1.1.2.1

category 1

 

 

 

0,10-0,15

 

 

070

1.1.1.2.2

category 2

 

 

 

0,15-0,20

 

 

080

1.1.1.3

stable deposits

 

 

 

0,05

 

 

090

1.1.1.4

derogated stable deposits

 

 

 

0,03

 

 

100

1.1.1.5

deposits in third countries where a higher outflow is applied

 

 

 

 

 

 

110

1.1.1.6

other retail deposits

 

 

 

0,10

 

 

120

1.1.2

Operational deposits

 

 

 

 

 

 

130

1.1.2.1

maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

 

 

 

 

 

 

140

1.1.2.1.1

covered by DGS

 

 

 

0,05

 

 

150

1.1.2.1.2

not covered by DGS

 

 

 

0,25

 

 

160

1.1.2.2

maintained in the context of IPS or a cooperative network

 

 

 

 

 

 

170

1.1.2.2.1

not treated as liquid assets for the depositing institution

 

 

 

0,25

 

 

180

1.1.2.2.2

treated as liquid assets for the depositing credit institution

 

 

 

1,00

 

 

190

1.1.2.3

maintained in the context of an established operational relationship (other) with non-financial customers

 

 

 

0,25

 

 

200

1.1.2.4

maintained to obtain cash clearing and central credit institution services within a network

 

 

 

0,25

 

 

210

1.1.3

Non-operational deposits

 

 

 

 

 

 

220

1.1.3.1

correspondent banking and provisions of prime brokerage deposits

 

 

 

1,00

 

 

230

1.1.3.2

deposits by-financial customers

 

 

 

1,00

 

 

240

1.1.3.3

deposits by other customers

 

 

 

 

 

 

250

1.1.3.3.1

covered by DGS

 

 

 

0,20

 

 

260

1.1.3.3.2

not covered by DGS

 

 

 

0,40

 

 

270

1.1.4

Additional outflows

 

 

 

 

 

 

280

1.1.4.1

collateral other than Level 1 assets collateral posted for derivatives

 

 

 

0,20

 

 

290

1.1.4.2

Level 1 EHQ Covered Bonds assets collateral posted for derivatives

 

 

 

0,10

 

 

300

1.1.4.3

material outflows due to deterioration of own credit quality

 

 

 

1,00

 

 

310

1.1.4.4

impact of an adverse market scenario on derivatives, financing transactions and other contracts

 

 

 

 

 

 

320

1.1.4.4.1

hlba approach

 

 

 

1,00

 

 

330

1.1.4.4.2

amao approach

 

 

 

1,00

 

 

340

1.1.4.5

outflows from derivatives

 

 

 

1,00

 

 

350

1.1.4.6

short positions

 

 

 

 

 

 

360

1.1.4.6.1

covered by collateralized SFT

 

 

 

0,00

 

 

370

1.1.4.6.2

other

 

 

 

1,00

 

 

380

1.1.4.7

callable excess collateral

 

 

 

1,00

 

 

390

1.1.4.8

due collateral

 

 

 

1,00

 

 

400

1.1.4.9

liquid asset collateral exchangable for non-liquid asset collateral

 

 

 

1,00

 

 

410

1.1.4.10

loss of funding on structured financing activites

 

 

 

 

 

 

420

1.1.4.10.1

structured financing instruments

 

 

 

1,00

 

 

430

1.1.4.10.2

financing facilites

 

 

 

1,00

 

 

440

1.1.4.11

assets borrowed on an unsecured basis

 

 

 

1,00

 

 

450

1.1.4.12

internal netting of client's positions

 

 

 

0,50

 

 

460

1.1.5

Committed facilities

 

 

 

 

 

 

470

1.1.5.1

credit facilities

 

 

 

 

 

 

480

1.1.5.1.1

to retail customers

 

 

 

0,05

 

 

490

1.1.5.1.2

to non-financial customers other than retail customers

 

 

 

0,10

 

 

500

1.1.5.1.3

to credit institutions

 

 

 

 

 

 

510

1.1.5.1.3.1

for funding promotional loans of retail customers

 

 

 

0,05

 

 

520

1.1.5.1.3.2

for funding promotional loans of non-financial customers

 

 

 

0,10

 

 

530

1.1.5.1.3.3

other

 

 

 

0,40

 

 

540

1.1.5.1.4

to regulated financial institutions other than credit institutions

 

 

 

0,40

 

 

550

1.1.5.1.5

within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

560

1.1.5.1.6

within IPS or cooperative network if treated as liquid asset by the depositing institution

 

 

 

0,75

 

 

570

1.1.5.1.7

to other financial customers

 

 

 

1,00

 

 

580

1.1.5.2

liquidity facilities

 

 

 

 

 

 

590

1.1.5.2.1

to retail customers

 

 

 

0,05

 

 

600

1.1.5.2.2

to non-financial customers other than retail customers

 

 

 

0,30

 

 

610

1.1.5.2.3

to personal investment companies

 

 

 

0,40

 

 

620

1.1.5.2.4

to SSPEs

 

 

 

 

 

 

630

1.1.5.2.4.1

to purchase assets other than securities from non-financial customers

 

 

 

0,10

 

 

640

1.1.5.2.4.2

other

 

 

 

1,00

 

 

650

1.1.5.2.5

to credit institutions

 

 

 

 

 

 

660

1.1.5.2.5.1

for funding promotional loans of retail customers

 

 

 

0,05

 

 

670

1.1.5.2.5.2

for funding promotional loans of non-financial customers

 

 

 

0,30

 

 

680

1.1.5.2.5.3

other

 

 

 

0,40

 

 

690

1.1.5.2.6

within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

700

1.1.5.2.7

within IPS or cooperative network if treated as liquid asset by the depositing institution

 

 

 

0,75

 

 

710

1.1.5.2.8

to other financial customers

 

 

 

1,00

 

 

720

1.1.6

Other products and services

 

 

 

 

 

 

730

1.1.6.1

other off-balance sheet and contingent funding obligations

 

 

 

 

 

 

740

1.1.6.2

undrawn loans and advances to wholesale counterparties

 

 

 

 

 

 

750

1.1.6.3

mortgages that have been agreed but not yet drawn down

 

 

 

 

 

 

760

1.1.6.4

credit cards

 

 

 

 

 

 

770

1.1.6.5

overdrafts

 

 

 

 

 

 

780

1.1.6.6

planned outflows related to renewal or extension of new retail or wholesale loans

 

 

 

 

 

 

790

1.1.6.6.1

the excess of funding to non-financial customers

 

 

 

 

 

 

800

1.1.6.6.1.1

the excess of funding to retail customers

 

 

 

 

 

 

810

1.1.6.6.1.2

the excess of funding to non financial corporates

 

 

 

 

 

 

820

1.1.6.6.1.3

the excess of funding to sovereigns, MLDBs and PSEs

 

 

 

 

 

 

830

1.1.6.6.1.4

the excess of funding to other legal entities

 

 

 

 

 

 

840

1.1.6.6.2

other

 

 

 

 

 

 

850

1.1.6.7

planned derivatives payables

 

 

 

 

 

 

860

1.1.6.8

trade finance off-balance sheet related products

 

 

 

 

 

 

870

1.1.6.9

others

 

 

 

 

 

 

880

1.1.7

Other liabilities

 

 

 

 

 

 

890

1.1.7.1

liabilities resulting from-operating expenses

 

 

 

0,00

 

 

900

1.1.7.2

in the form of debt securities if not treated as retail deposits

 

 

 

1,00

 

 

910

1.1.7.3

others

 

 

 

1,00

 

 

920

1.2

Outflows from secured lending and capital market-driven transactions

 

 

 

 

 

 

930

1.2.1

Counterparty is central bank

 

 

 

 

 

 

940

1.2.1.1

level 1 excl. EHQ Covered Bonds collateral

 

 

 

0,00

 

 

950

1.2.1.2

level 1 EHQ Covered Bonds collateral

 

 

 

0,00

 

 

960

1.2.1.3

level 2A collateral

 

 

 

0,00

 

 

970

1.2.1.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

 

 

 

0,00

 

 

980

1.2.1.5

level 2B covered bonds

 

 

 

0,00

 

 

990

1.2.1.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

 

 

 

0,00

 

 

1000

1.2.1.7

other Level 2B assets collateral

 

 

 

0,00

 

 

1010

1.2.1.8

non-liquid assets collateral

 

 

 

0,00

 

 

1020

1.2.2

Counterparty is non-central bank

 

 

 

 

 

 

1030

1.2.2.1

level 1 excl. EHQ Covered Bonds collateral

 

 

 

0,00

 

 

1040

1.2.2.2

level 1 EHQ Covered Bonds collateral

 

 

 

0,07

 

 

1050

1.2.2.3

level 2A collateral

 

 

 

0,15

 

 

1060

1.2.2.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

 

 

 

0,25

 

 

1070

1.2.2.5

level 2B covered bonds

 

 

 

0,30

 

 

1080

1.2.2.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

 

 

 

0,35

 

 

1090

1.2.2.7

other Level 2B assets collateral

 

 

 

0,50

 

 

1100

1.2.2.8

non-liquid assets collateral

 

 

 

 

 

 

1110

1.2.2.8.1

counterparty is central govt, PSE<=RW20 %, MDB

 

 

 

0,25

 

 

1120

1.2.2.8.2

other counterparty

 

 

 

1,00

 

 

1130

1.3

Total outflows from collateral swaps

 

 

 

 

 

 

MEMORANDUM ITEMS

1140

2

Retail bonds with a residual maturity of less than 30 days

 

 

 

 

 

 

1150

3

Retail deposits exempted from the calculation of outflows

 

 

 

 

 

 

1160

4

Not assessed retail deposits

 

 

 

 

 

 

1170

5

Liquidity outflows to be netted by interdependent inflows

 

 

 

 

 

 

 

6

Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

 

 

 

 

 

 

1180

6.1

provided by credit institutions

 

 

 

 

 

 

1190

6.2

provided by financial customers other than credit institutions

 

 

 

 

 

 

1200

6.3

provided by sovereigns, central banks, MDBs and PSEs

 

 

 

 

 

 

1210

6.4

provided by other customers

 

 

 

 

 

 

 

7

Non-operational deposits maintained by financial customers and other customers

 

 

 

 

 

 

1220

7.1

provided by credit institutions

 

 

 

 

 

 

1230

7.2

provided by financial customers other than credit institutions

 

 

 

 

 

 

1240

7.3

provided by sovereigns, central banks, MDBs and PSEs

 

 

 

 

 

 

1250

7.4

provided by other customers

 

 

 

 

 

 

1260

8

Funding commitments to non-financial customers

 

 

 

 

 

 

1270

9

Level 1 excl. EHQ covered bonds collateral posted for derivatives

 

 

 

 

 

 

1280

10

SFTS monitoring

 

 

 

 

 

 

 

11

Intra group or IPS outflows

 

 

 

 

 

 

1290

11.1

of which: to financial customers

 

 

 

 

 

 

1300

11.2

of which: to non-financial customers

 

 

 

 

 

 

1310

11.3

of which: secured

 

 

 

 

 

 

1320

11.4

of which: credit facilities without preferential treatment

 

 

 

 

 

 

1330

11.5

of which: liquidity facilites without preferential treatment

 

 

 

 

 

 

1340

11.6

of which: operational deposits

 

 

 

 

 

 

1350

11.7

of which: non-operational deposits

 

 

 

 

 

 

1360

11.8

of which: liabilities in the form of debt securities if not treated as retail deposits

 

 

 

 

 

 

1370

12

FX outflows

 

 

 

 

 

 

1380

13

Third countries outflows — transfer restrictions or non-convertible currencies

 

 

 

 

 

 

1390

14

Additional balances required to be installed in central bank reserves

 

 

 

 

 

 


C 74.00 — LIQUIDITY COVERAGE — INFLOWS

Currency

 

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

010

1

TOTAL INFLOWS

 

 

 

 

 

020

1.1

Inflows from unsecured transactions/deposits

 

 

 

 

 

030

1.1.1

monies due from non-financial customers (except for central banks)

 

 

 

 

 

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

 

 

 

 

 

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

 

 

 

 

 

060

1.1.1.2.1

monies due from retail customers

 

 

 

 

 

070

1.1.1.2.2

monies due from non-financial corporates

 

 

 

 

 

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

 

 

 

 

 

090

1.1.1.2.4

monies due from other legal entities

 

 

 

 

 


 

 

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

010

1

TOTAL INFLOWS

 

 

 

 

 

020

1.1

Inflows from unsecured transactions/deposits

 

 

 

 

 

030

1.1.1

monies due from non-financial customers (except for central banks)

 

 

 

 

 

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

 

1,00

 

 

 

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

 

 

 

 

 

060

1.1.1.2.1

monies due from retail customers

 

0,50

 

 

 

070

1.1.1.2.2

monies due from non-financial corporates

 

0,50

 

 

 

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

 

0,50

 

 

 

090

1.1.1.2.4

monies due from other legal entities

 

0,50

 

 

 


 

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

010

1

TOTAL INFLOWS

 

 

 

 

 

 

020

1.1

Inflows from unsecured transactions/deposits

 

 

 

 

 

 

030

1.1.1

monies due from non-financial customers (except for central banks)

 

 

 

 

 

 

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

 

 

 

 

 

 

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

 

 

 

 

 

 

060

1.1.1.2.1

monies due from retail customers

 

 

 

 

 

 

070

1.1.1.2.2

monies due from non-financial corporates

 

 

 

 

 

 

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

 

 

 

 

 

 

090

1.1.1.2.4

monies due from other legal entities

 

 

 

 

 

 


 

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

100

1.1.2

monies due from central banks and financial customers

 

 

 

 

 

110

1.1.2.1

monies due from financial customers being classified as operational deposits

 

 

 

 

 

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

 

 

 

 

 

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

 

 

 

 

 

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

 

 

 

 

 

150

1.1.2.2.1

monies due from central banks

 

 

 

 

 

160

1.1.2.2.2

monies due from financial customers

 

 

 

 

 

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

 

 

 

 

 


 

 

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

100

1.1.2

monies due from central banks and financial customers

 

 

 

 

 

110

1.1.2.1

monies due from financial customers being classified as operational deposits

 

 

 

 

 

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

 

 

 

 

 

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

 

0,05

 

 

 

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

 

 

 

 

 

150

1.1.2.2.1

monies due from central banks

 

1,00

 

 

 

160

1.1.2.2.2

monies due from financial customers

 

1,00

 

 

 

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

 

1,00

 

 

 


 

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

100

1.1.2

monies due from central banks and financial customers

 

 

 

 

 

 

110

1.1.2.1

monies due from financial customers being classified as operational deposits

 

 

 

 

 

 

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

 

 

 

 

 

 

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

 

 

 

 

 

 

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

 

 

 

 

 

 

150

1.1.2.2.1

monies due from central banks

 

 

 

 

 

 

160

1.1.2.2.2

monies due from financial customers

 

 

 

 

 

 

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

 

 

 

 

 

 


 

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

180

1.1.4

monies due from trade financing transactions

 

 

 

 

 

190

1.1.5

monies due from securities maturing within 30 days

 

 

 

 

 

200

1.1.6

assets with an undefined contractual end date

 

 

 

 

 

210

1.1.7

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

 

 

 

 

 

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

 

 

 

 

 

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

 

 

 

 

 

240

1.1.10

inflows from derivatives

 

 

 

 

 

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

 

 

 

 

 

260

1.1.12

other inflows

 

 

 

 

 


 

 

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

180

1.1.4

monies due from trade financing transactions

 

1,00

 

 

 

190

1.1.5

monies due from securities maturing within 30 days

 

1,00

 

 

 

200

1.1.6

assets with an undefined contractual end date

 

0,20

 

 

 

210

1.1.7

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

 

1,00

 

 

 

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

 

1,00

 

 

 

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

 

1,00

 

 

 

240

1.1.10

inflows from derivatives

 

1,00

 

 

 

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

 

 

 

 

 

260

1.1.12

other inflows

 

1,00

 

 

 


 

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

180

1.1.4

monies due from trade financing transactions

 

 

 

 

 

 

190

1.1.5

monies due from securities maturing within 30 days

 

 

 

 

 

 

200

1.1.6

assets with an undefined contractual end date

 

 

 

 

 

 

210

1.1.7

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

 

 

 

 

 

 

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

 

 

 

 

 

 

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

 

 

 

 

 

 

240

1.1.10

inflows from derivatives

 

 

 

 

 

 

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

 

 

 

 

 

 

260

1.1.12

other inflows

 

 

 

 

 

 


 

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

270

1.2

Inflows from secured lending and capital market-driven transactions

 

 

 

 

 

280

1.2.1

collateral that qualifies as a liquid asset

 

 

 

 

 

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

 

 

 

 

 

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

 

 

 

 

 

310

1.2.1.3

Level 2A collateral

 

 

 

 

 

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

 

 

 

 

 

330

1.2.1.5

Level 2B high quality covered bonds collateral

 

 

 

 

 

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

 

 

 

 

 

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

 

 

 

 

 

360

1.2.2

collateral is used to cover a short position

 

 

 

 

 

370

1.2.3

collateral that does not qualify as a liquid asset

 

 

 

 

 


 

 

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

270

1.2

Inflows from secured lending and capital market-driven transactions

 

 

 

 

 

280

1.2.1

collateral that qualifies as a liquid asset

 

 

 

 

 

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

 

1,00

 

 

 

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

 

0,93

 

 

 

310

1.2.1.3

Level 2A collateral

 

0,85

 

 

 

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

 

0,75

 

 

 

330

1.2.1.5

Level 2B high quality covered bonds collateral

 

0,70

 

 

 

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

 

0,65

 

 

 

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

 

0,50

 

 

 

360

1.2.2

collateral is used to cover a short position

 

 

 

 

 

370

1.2.3

collateral that does not qualify as a liquid asset

 

 

 

 

 


 

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

270

1.2

Inflows from secured lending and capital market-driven transactions

 

 

 

 

 

 

280

1.2.1

collateral that qualifies as a liquid asset

 

 

 

 

 

 

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

 

 

 

 

 

 

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

 

 

 

 

 

 

310

1.2.1.3

Level 2A collateral

 

 

 

 

 

 

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

 

 

 

 

 

 

330

1.2.1.5

Level 2B high quality covered bonds collateral

 

 

 

 

 

 

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

 

 

 

 

 

 

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

 

 

 

 

 

 

360

1.2.2

collateral is used to cover a short position

 

 

 

 

 

 

370

1.2.3

collateral that does not qualify as a liquid asset

 

 

 

 

 

 


 

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

380

1.2.3.1

margin loans: collateral is non-liquid

 

 

 

 

 

390

1.2.3.2

collateral is non-liquid equity

 

 

 

 

 

400

1.2.3.3

all other non-liquid collateral

 

 

 

 

 

410

1.3

Total inflows from collateral swaps

 

 

 

 

 

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

 

 

 

 

 

430

1.5

(Excess inflows from a related specialised credit institution)

 

 

 

 

 

MEMORANDUM ITEMS

440

2

Interdependent inflows

 

 

 

 

 

450

3

FX inflows

 

 

 

 

 

460

4

Inflows within a group or an institutional protection scheme

 

 

 

 

 

470

4.1

Monies due from non-financial customers (except for central banks)

 

 

 

 

 


 

 

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

380

1.2.3.1

margin loans: collateral is non-liquid

 

0,50

 

 

 

390

1.2.3.2

collateral is non-liquid equity

 

1,00

 

 

 

400

1.2.3.3

all other non-liquid collateral

 

1,00

 

 

 

410

1.3

Total inflows from collateral swaps

 

 

 

 

 

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

 

 

 

 

 

430

1.5

(Excess inflows from a related specialised credit institution)

 

 

 

 

 

MEMORANDUM ITEMS

440

2

Interdependent inflows

 

 

 

 

 

450

3

FX inflows

 

 

 

 

 

460

4

Inflows within a group or an institutional protection scheme

 

 

 

 

 

470

4.1

Monies due from non-financial customers (except for central banks)

 

 

 

 

 


 

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

380

1.2.3.1

margin loans: collateral is non-liquid

 

 

 

 

 

 

390

1.2.3.2

collateral is non-liquid equity

 

 

 

 

 

 

400

1.2.3.3

all other non-liquid collateral

 

 

 

 

 

 

410

1.3

Total inflows from collateral swaps

 

 

 

 

 

 

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

 

 

 

 

 

 

430

1.5

(Excess inflows from a related specialised credit institution)

 

 

 

 

 

 

MEMORANDUM ITEMS

440

2

Interdependent inflows

 

 

 

 

 

 

450

3

FX inflows

 

 

 

 

 

 

460

4

Inflows within a group or an institutional protection scheme

 

 

 

 

 

 

470

4.1

Monies due from non-financial customers (except for central banks)

 

 

 

 

 

 


 

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

480

4.2

Monies due from financial customers

 

 

 

 

 

490

4.3

Secured transactions

 

 

 

 

 

500

4.4

Monies due from maturing securities within 30 days

 

 

 

 

 

510

4.5

Any other inflows within a group or an institutional protection scheme

 

 

 

 

 

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

 

 

 

 

 


 

 

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

480

4.2

Monies due from financial customers

 

 

 

 

 

490

4.3

Secured transactions

 

 

 

 

 

500

4.4

Monies due from maturing securities within 30 days

 

 

 

 

 

510

4.5

Any other inflows within a group or an institutional protection scheme

 

 

 

 

 

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

 

 

 

 

 


 

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

480

4.2

Monies due from financial customers

 

 

 

 

 

 

490

4.3

Secured transactions

 

 

 

 

 

 

500

4.4

Monies due from maturing securities within 30 days

 

 

 

 

 

 

510

4.5

Any other inflows within a group or an institutional protection scheme

 

 

 

 

 

 

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

 

 

 

 

 

 


C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS

Currency

 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

010

1

TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

 

 

 

 

 

 

020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

 

 

 

 

 

 

030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

040

1.1.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

050

1.1.3

Level 2A assets

 

 

 

 

 

 

060

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

070

1.1.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

080

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

090

1.1.7

Other Level 2B

 

 

 

 

 

 

100

1.1.8

Non-liquid assets

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

010

1

TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

 

 

 

 

 

 

020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

 

 

 

 

 

 

030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

040

1.1.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

050

1.1.3

Level 2A assets

 

 

 

 

 

 

060

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

070

1.1.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

080

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

090

1.1.7

Other Level 2B

 

 

 

 

 

 

100

1.1.8

Non-liquid assets

 

 

 

 

 

 


 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

110

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

120

1.2.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

130

1.2.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

140

1.2.3

Level 2A assets

 

 

 

 

 

 

150

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

160

1.2.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

170

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

180

1.2.7

Other Level 2B

 

 

 

 

 

 

190

1.2.8

Non-liquid assets

 

 

 

 

 

 

200

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

210

1.3.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

220

1.3.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

110

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

120

1.2.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

130

1.2.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

140

1.2.3

Level 2A assets

 

 

 

 

 

 

150

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

160

1.2.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

170

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

180

1.2.7

Other Level 2B

 

 

 

 

 

 

190

1.2.8

Non-liquid assets

 

 

 

 

 

 

200

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

210

1.3.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

220

1.3.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 


 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

230

1.3.3

Level 2A assets

 

 

 

 

 

 

240

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

250

1.3.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

260

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

270

1.3.7

Other Level 2B

 

 

 

 

 

 

280

1.3.8

Non-liquid assets

 

 

 

 

 

 

290

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

300

1.4.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

310

1.4.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

320

1.4.3

Level 2A assets

 

 

 

 

 

 

330

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

340

1.4.5

Level 2B: high quality covered bonds

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

230

1.3.3

Level 2A assets

 

 

 

 

 

 

240

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

250

1.3.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

260

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

270

1.3.7

Other Level 2B

 

 

 

 

 

 

280

1.3.8

Non-liquid assets

 

 

 

 

 

 

290

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

300

1.4.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

310

1.4.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

320

1.4.3

Level 2A assets

 

 

 

 

 

 

330

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

340

1.4.5

Level 2B: high quality covered bonds

 

 

 

 

 

 


 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

350

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

360

1.4.7

Other Level 2B

 

 

 

 

 

 

370

1.4.8

Non-liquid assets

 

 

 

 

 

 

380

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

390

1.5.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

400

1.5.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

410

1.5.3

Level 2A assets

 

 

 

 

 

 

420

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

430

1.5.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

440

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

450

1.5.7

Other Level 2B

 

 

 

 

 

 

460

1.5.8

Non-liquid assets

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

350

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

360

1.4.7

Other Level 2B

 

 

 

 

 

 

370

1.4.8

Non-liquid assets

 

 

 

 

 

 

380

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

390

1.5.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

400

1.5.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

410

1.5.3

Level 2A assets

 

 

 

 

 

 

420

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

430

1.5.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

440

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

450

1.5.7

Other Level 2B

 

 

 

 

 

 

460

1.5.8

Non-liquid assets

 

 

 

 

 

 


 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

470

1.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

480

1.6.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

490

1.6.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

500

1.6.3

Level 2A assets

 

 

 

 

 

 

510

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

520

1.6.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

530

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

540

1.6.7

Other Level 2B

 

 

 

 

 

 

550

1.6.8

Non-liquid assets

 

 

 

 

 

 

560

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

570

1.7.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

470

1.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

480

1.6.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

490

1.6.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

500

1.6.3

Level 2A assets

 

 

 

 

 

 

510

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

520

1.6.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

530

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

540

1.6.7

Other Level 2B

 

 

 

 

 

 

550

1.6.8

Non-liquid assets

 

 

 

 

 

 

560

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

570

1.7.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 


 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

580

1.7.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

590

1.7.3

Level 2A assets

 

 

 

 

 

 

600

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

610

1.7.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

620

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

630

1.7.7

Other Level 2B

 

 

 

 

 

 

640

1.7.8

Non-liquid assets

 

 

 

 

 

 

650

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

660

1.8.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

670

1.8.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

680

1.8.3

Level 2A assets

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

580

1.7.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

590

1.7.3

Level 2A assets

 

 

 

 

 

 

600

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

610

1.7.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

620

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

630

1.7.7

Other Level 2B

 

 

 

 

 

 

640

1.7.8

Non-liquid assets

 

 

 

 

 

 

650

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

660

1.8.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

 

 

670

1.8.2

Level 1: extremely high quality covered bonds

 

 

 

 

 

 

680

1.8.3

Level 2A assets

 

 

 

 

 

 


 

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

690

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

700

1.8.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

710

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

720

1.8.7

Other Level 2B

 

 

 

 

 

 

730

1.8.8

Non-liquid assets

 

 

 

 

 

 

MEMORANDUM ITEMS

740

2

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

 

 

 

 

 

 

750

3

Total collateral swaps with intragroup counterparties

 

 

 

 

 

 

760

4

Total collateral swaps with central bank counterparties

 

 

 

 

 

 


 

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

690

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

 

 

700

1.8.5

Level 2B: high quality covered bonds

 

 

 

 

 

 

710

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

 

 

720

1.8.7

Other Level 2B

 

 

 

 

 

 

730

1.8.8

Non-liquid assets

 

 

 

 

 

 

MEMORANDUM ITEMS

740

2

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

 

 

 

 

 

 

750

3

Total collateral swaps with intragroup counterparties

 

 

 

 

 

 

760

4

Total collateral swaps with central bank counterparties

 

 

 

 

 

 


C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS

Currency

 

Value/Percentage

Row

ID

Item

010

CALCULATIONS

Numerator, denominator, ratio

010

1

Liquidity buffer

 

020

2

Net liquidity outflow

 

030

3

Liquidity coverage ratio (%)

 

Numerator calculations

040

4

L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted