LegalizeCommission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)
| Amount | Market value of collateral extended | Value of collateral extended in accordance with Article 9 | Standard Weight | Applicable Weight | Outflow | |||
|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 0010 | 1 | OUTFLOWS | ||||||
| 0020 | 1.1 | Outflows from unsecured transactions/deposits | ||||||
| 0030 | 1.1.1 | Retail deposits | ||||||
| 0035 | 1.1.1.1 | deposits exempted from the calculation of outflows | 0,00 | |||||
| 0040 | 1.1.1.2 | deposits where the payout has been agreed within the following 30 days | 1,00 | |||||
| 0050 | 1.1.1.3 | deposits subject to higher outflows | ||||||
| 0060 | 1.1.1.3.1 | category 1 | 0,10-0,15 | |||||
| 0070 | 1.1.1.3.2 | category 2 | 0,15-0,20 | |||||
| 0080 | 1.1.1.4 | stable deposits | 0,05 | |||||
| 0090 | 1.1.1.5 | derogated stable deposits | 0,03 | |||||
| 0100 | 1.1.1.6 | deposits in third countries where a higher outflow is applied | ||||||
| 0110 | 1.1.1.7 | other retail deposits | 0,10 | |||||
| 0120 | 1.1.2 | Operational deposits | ||||||
| 0130 | 1.1.2.1 | maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | ||||||
| 0140 | 1.1.2.1.1 | covered by DGS | 0,05 | |||||
| 0150 | 1.1.2.1.2 | not covered by DGS | 0,25 | |||||
| 0160 | 1.1.2.2 | maintained in the context of IPS or a cooperative network | ||||||
| 0170 | 1.1.2.2.1 | not treated as liquid assets for the depositing institution | 0,25 | |||||
| 0180 | 1.1.2.2.2 | treated as liquid assets for the depositing credit institution | 1,00 | |||||
| 0190 | 1.1.2.3 | maintained in the context of an established operational relationship (other) with non-financial customers | 0,25 | |||||
| 0200 | 1.1.2.4 | maintained to obtain cash clearing and central credit institution services within a network | 0,25 | |||||
| 0203 | 1.1.3 | Excess operational deposits | ||||||
| 0204 | 1.1.3.1 | deposits by financial customers | 1,00 | |||||
| 0205 | 1.1.3.2 | deposits by other customers | ||||||
| 0206 | 1.1.3.2.1 | covered by DGS | 0,20 | |||||
| 0207 | 1.1.3.2.2 | not covered by DGS | 0,40 | |||||
| 0210 | 1.1.4 | Non-operational deposits | ||||||
| 0220 | 1.1.4.1 | correspondent banking and provisions of prime brokerage deposits | 1,00 | |||||
| 0230 | 1.1.4.2 | deposits by financial customers | 1,00 | |||||
| 0240 | 1.1.4.3 | deposits by other customers | ||||||
| 0250 | 1.1.4.3.1 | covered by DGS | 0,20 | |||||
| 0260 | 1.1.4.3.2 | not covered by DGS | 0,40 | |||||
| 0270 | 1.1.5 | Additional outflows | ||||||
| 0280 | 1.1.5.1 | collateral other than Level 1 assets collateral posted for derivatives | 0,20 | |||||
| 0290 | 1.1.5.2 | Level 1 EHQ Covered Bonds assets collateral posted for derivatives | 0,10 | |||||
| 0300 | 1.1.5.3 | material outflows due to deterioration of own credit quality | 1,00 | |||||
| 0310 | 1.1.5.4 | impact of an adverse market scenario on derivatives transactions | 1,00 | |||||
| 0340 | 1.1.5.5 | outflows from derivatives | 1,00 | |||||
| 0350 | 1.1.5.6 | short positions | ||||||
| 0360 | 1.1.5.6.1 | covered by collateralized SFT | 0,00 | |||||
| 0370 | 1.1.5.6.2 | other | 1,00 | |||||
| 0380 | 1.1.5.7 | callable excess collateral | 1,00 | |||||
| 0390 | 1.1.5.8 | due collateral | 1,00 | |||||
| 0400 | 1.1.5.9 | liquid asset collateral exchangable for non-liquid asset collateral | 1,00 | |||||
| 0410 | 1.1.5.10 | loss of funding on structured financing activites | ||||||
| 0420 | 1.1.5.10.1 | structured financing instruments | 1,00 | |||||
| 0430 | 1.1.5.10.2 | financing facilites | 1,00 | |||||
| 0450 | 1.1.5.11 | internal netting of client's positions | 0,50 | |||||
| 0460 | 1.1.6 | Committed facilities | ||||||
| 0470 | 1.1.6.1 | credit facilities | ||||||
| 0480 | 1.1.6.1.1 | to retail customers | 0,05 | |||||
| 0490 | 1.1.6.1.2 | to non-financial customers other than retail customers | 0,10 | |||||
| 0500 | 1.1.6.1.3 | to credit institutions | ||||||
| 0510 | 1.1.6.1.3.1 | for funding promotional loans of retail customers | 0,05 | |||||
| 0520 | 1.1.6.1.3.2 | for funding promotional loans of non-financial customers | 0,10 | |||||
| 0530 | 1.1.6.1.3.3 | other | 0,40 | |||||
| 0540 | 1.1.6.1.4 | to regulated financial institutions other than credit institutions | 0,40 | |||||
| 0550 | 1.1.6.1.5 | within a group or an IPS if subject to preferential treatment | ||||||
| 0560 | 1.1.6.1.6 | within IPS or cooperative network if treated as liquid asset by the depositing institution | 0,75 | |||||
| 0570 | 1.1.6.1.7 | to other financial customers | 1,00 | |||||
| 0580 | 1.1.6.2 | liquidity facilities | ||||||
| 0590 | 1.1.6.2.1 | to retail customers | 0,05 | |||||
| 0600 | 1.1.6.2.2 | to non-financial customers other than retail customers | 0,30 | |||||
| 0610 | 1.1.6.2.3 | to personal investment companies | 0,40 | |||||
| 0620 | 1.1.6.2.4 | to SSPEs | ||||||
| 0630 | 1.1.6.2.4.1 | to purchase assets other than securities from non-financial customers | 0,10 | |||||
| 0640 | 1.1.6.2.4.2 | other | 1,00 | |||||
| 0650 | 1.1.6.2.5 | to credit institutions | ||||||
| 0660 | 1.1.6.2.5.1 | for funding promotional loans of retail customers | 0,05 | |||||
| 0670 | 1.1.6.2.5.2 | for funding promotional loans of non-financial customers | 0,30 | |||||
| 0680 | 1.1.6.2.5.3 | other | 0,40 | |||||
| 0690 | 1.1.6.2.6 | within a group or an IPS if subject to preferential treatment | ||||||
| 0700 | 1.1.6.2.7 | within IPS or cooperative network if treated as liquid asset by the depositing institution | 0,75 | |||||
| 0710 | 1.1.6.2.8 | to other financial customers | 1,00 | |||||
| 0720 | 1.1.7 | Other products and services | ||||||
| 0731 | 1.1.7.1 | Uncommitted funding facilities | ||||||
| 0740 | 1.1.7.2 | undrawn loans and advances to wholesale counterparties | ||||||
| 0750 | 1.1.7.3 | mortgages that have been agreed but not yet drawn down | ||||||
| 0760 | 1.1.7.4 | credit cards | ||||||
| 0770 | 1.1.7.5 | overdrafts | ||||||
| 0780 | 1.1.7.6 | planned outflows related to renewal or extension of new retail or wholesale loans | ||||||
| 0850 | 1.1.7.7 | derivatives payables | ||||||
| 0860 | 1.1.7.8 | trade finance off-balance sheet related products | ||||||
| 0870 | 1.1.7.9 | others | ||||||
| 0885 | 1.1.8 | Other liabilities and due commitments | ||||||
| 0890 | 1.1.8.1 | liabilities resulting from operating expenses | 0,00 | |||||
| 0900 | 1.1.8.2 | in the form of debt securities if not treated as retail deposits | 1,00 | |||||
| 0912 | 1.1.8.4 | the excess of funding to non-financial customers | ||||||
| 0913 | 1.1.8.4.1 | the excess of funding to retail customers | 1,00 | |||||
| 0914 | 1.1.8.4.2 | the excess of funding to non financial corporates | 1,00 | |||||
| 0915 | 1.1.8.4.3 | the excess of funding to sovereigns, MLDBs and PSEs | 1,00 | |||||
| 0916 | 1.1.8.4.4 | the excess of funding to other legal entities | 1,00 | |||||
| 0917 | 1.1.8.5 | assets borrowed on an unsecured basis | 1,00 | |||||
| 0918 | 1.1.8.6 | others | 1,00 | |||||
| 0920 | 1.2 | Outflows from secured lending and capital market-driven transactions | ||||||
| 0930 | 1.2.1 | Counterparty is central bank | ||||||
| 0940 | 1.2.1.1 | level 1 excl. EHQ Covered Bonds collateral | 0,00 | |||||
| 0945 | 1.2.1.1.1 | of which collateral extended meets operational requirements | ||||||
| 0950 | 1.2.1.2 | level 1 EHQ Covered Bonds collateral | 0,00 | |||||
| 0955 | 1.2.1.2.1 | of which collateral extended meets operational requirements | ||||||
| 0960 | 1.2.1.3 | level 2A collateral | 0,00 | |||||
| 0965 | 1.2.1.3.1 | of which collateral extended meets operational requirements | ||||||
| 0970 | 1.2.1.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | 0,00 | |||||
| 0975 | 1.2.1.4.1 | of which collateral extended meets operational requirements | ||||||
| 0980 | 1.2.1.5 | level 2B covered bonds | 0,00 | |||||
| 0985 | 1.2.1.5.1 | of which collateral extended meets operational requirements | ||||||
| 0990 | 1.2.1.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | 0,00 | |||||
| 0995 | 1.2.1.6.1 | of which collateral extended meets operational requirements | ||||||
| 1000 | 1.2.1.7 | other Level 2B assets collateral | 0,00 | |||||
| 1005 | 1.2.1.7.1 | of which collateral extended meets operational requirements | ||||||
| 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 | |||||
| 1035 | 1.2.2.1.1 | of which collateral extended meets operational requirements | ||||||
| 1040 | 1.2.2.2 | level 1 EHQ Covered Bonds collateral | 0,07 | |||||
| 1045 | 1.2.2.2.1 | of which collateral extended meets operational requirements | ||||||
| 1050 | 1.2.2.3 | level 2A collateral | 0,15 | |||||
| 1055 | 1.2.2.3.1 | of which collateral extended meets operational requirements | ||||||
| 1060 | 1.2.2.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | 0,25 | |||||
| 1065 | 1.2.2.4.1 | of which collateral extended meets operational requirements | ||||||
| 1070 | 1.2.2.5 | level 2B covered bonds | 0,30 | |||||
| 1075 | 1.2.2.5.1 | of which collateral extended meets operational requirements | ||||||
| 1080 | 1.2.2.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | 0,35 | |||||
| 1085 | 1.2.2.6.1 | of which collateral extended meets operational requirements | ||||||
| 1090 | 1.2.2.7 | other Level 2B assets collateral | 0,50 | |||||
| 1095 | 1.2.2.7.1 | of which collateral extended meets operational requirements | ||||||
| 1100 | 1.2.2.8 | non-liquid assets collateral | 1,00 | |||||
| 1130 | 1.3 | Total outflows from collateral swaps | ||||||
| MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS |
| 1170 | 2 | Liquidity outflows to be netted by interdependent inflows | ||||||
| 3 | Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | |||||||
| 1180 | 3.1 | provided by credit institutions | ||||||
| 1190 | 3.2 | provided by financial customers other than credit institutions | ||||||
| 1200 | 3.3 | provided by sovereigns, central banks, MDBs and PSEs | ||||||
| 1210 | 3.4 | provided by other customers | ||||||
| 4 | Intra group or IPS outflows | |||||||
| 1290 | 4.1 | of which: to financial customers | ||||||
| 1300 | 4.2 | of which: to non-financial customers | ||||||
| 1310 | 4.3 | of which: secured | ||||||
| 1320 | 4.4 | of which: credit facilities without preferential treatment | ||||||
| 1330 | 4.5 | of which: liquidity facilites without preferential treatment | ||||||
| 1340 | 4.6 | of which: operational deposits | ||||||
| 1345 | 4.7 | of which: excess operational deposits | ||||||
| 1350 | 4.8 | of which: non-operational deposits | ||||||
| 1360 | 4.9 | of which: liabilities in the form of debt securities if not treated as retail deposits | ||||||
| 1370 | 5 | FX outflows | ||||||
| 6 | Secured funding waived from Article 17 (2) and (3) | |||||||
| 1400 | 6.1 | of which: secured by L1 excl. EHQCB | ||||||
| 1410 | 6.2 | of which: secured by L1 EHQCB | ||||||
| 1420 | 6.3 | of which: secured by L2A | ||||||
| 1430 | 6.4 | of which: secured by L2B | ||||||
| 1440 | 6.5 | of which: secured by non-liquid assets |
C 74.00 — LIQUIDITY COVERAGE — INFLOWS
Currency
| Amount | Amount | Amount | Market value of collateral received | Market value of collateral received | Market value of collateral received | Standard Weight | Applicable Weight | Applicable Weight | Applicable Weight | Value of collateral received in accordance with Article 9 | Value of collateral received in accordance with Article 9 | Value of collateral received in accordance with Article 9 | Inflow | Inflow | 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 | Standard Weight | Applicable Weight | Applicable Weight | Applicable Weight | Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | |||
| Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | Standard Weight | Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | Subject to the 75% cap on inflows | Subject to the 90% cap on inflows | Exempted from the cap on inflows | |||
| Row | ID | Item | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 |
| 0010 | 1 | TOTAL INFLOWS | ||||||||||||||||
| 0020 | 1.1 | Inflows from unsecured transactions/deposits | ||||||||||||||||
| 0030 | 1.1.1 | monies due from non-financial customers (except for central banks) | ||||||||||||||||
| 0040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | 1,00 | |||||||||||||||
| 0050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | ||||||||||||||||
| 0060 | 1.1.1.2.1 | monies due from retail customers | 0,50 | |||||||||||||||
| 0070 | 1.1.1.2.2 | monies due from non-financial corporates | 0,50 | |||||||||||||||
| 0080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | 0,50 | |||||||||||||||
| 0090 | 1.1.1.2.4 | monies due from other legal entities | 0,50 | |||||||||||||||
| 0100 | 1.1.2 | monies due from central banks and financial customers | ||||||||||||||||
| 0110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | ||||||||||||||||
| 0120 | 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 | ||||||||||||||||
| 0130 | 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 | |||||||||||||||
| 0140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | ||||||||||||||||
| 0150 | 1.1.2.2.1 | monies due from central banks | 1,00 | |||||||||||||||
| 0160 | 1.1.2.2.2 | monies due from financial customers | 1,00 | |||||||||||||||
| 0170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 | 1,00 | |||||||||||||||
| 0180 | 1.1.4 | monies due from trade financing transactions | 1,00 | |||||||||||||||
| 0190 | 1.1.5 | monies due from securities maturing within 30 days | 1,00 | |||||||||||||||
| 0201 | 1.1.6 | loans with an undefined contractual end date | 0,20 | |||||||||||||||
| 0210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | 1,00 | |||||||||||||||
| 0230 | 1.1.8 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | 1,00 | |||||||||||||||
| 0240 | 1.1.9 | inflows from derivatives | 1,00 | |||||||||||||||
| 0250 | 1.1.10 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | ||||||||||||||||
| 0260 | 1.1.11 | other inflows | 1,00 | |||||||||||||||
| 0263 | 1.2 | Inflows from secured lending and capital market-driven transactions | ||||||||||||||||
| 0265 | 1.2.1 | Counterparty is central bank | ||||||||||||||||
| 0267 | 1.2.1.1 | collateral that qualifies as a liquid asset | ||||||||||||||||
| 0269 | 1.2.1.1.1 | Level 1 collateral excluding extremely high quality covered bonds | 0,00 | |||||||||||||||
| 0271 | 1.2.1.1.1.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0273 | 1.2.1.1.2 | Level 1 collateral which is extremely high quality covered bonds | 0,07 | |||||||||||||||
| 0275 | 1.2.1.1.2.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0277 | 1.2.1.1.3 | Level 2A collateral | 0,15 | |||||||||||||||
| 0279 | 1.2.1.1.3.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0281 | 1.2.1.1.4 | Level 2B asset backed securities (residential or auto) collateral | 0,25 | |||||||||||||||
| 0283 | 1.2.1.1.4.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0285 | 1.2.1.1.5 | Level 2B high quality covered bonds collateral | 0,30 | |||||||||||||||
| 0287 | 1.2.1.1.5.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0289 | 1.2.1.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | 0,35 | |||||||||||||||
| 0291 | 1.2.1.1.6.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0293 | 1.2.1.1.7 | Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6 | 0,50 | |||||||||||||||
| 0295 | 1.2.1.1.7.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0297 | 1.2.1.2 | collateral is used to cover a short position | ||||||||||||||||
| 0299 | 1.2.1.3 | collateral that does not qualify as a liquid asset | ||||||||||||||||
| 0301 | 1.2.1.3.1 | collateral is non-liquid equity | 1,00 | |||||||||||||||
| 0303 | 1.2.1.3.2 | all other non-liquid collateral | 1,00 | |||||||||||||||
| 0305 | 1.2.2 | Counterparty is non-central bank | ||||||||||||||||
| 0307 | 1.2.2.1 | collateral that qualifies as a liquid asset | ||||||||||||||||
| 0309 | 1.2.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | 0,00 | |||||||||||||||
| 0311 | 1.2.2.1.1.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0313 | 1.2.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | 0,07 | |||||||||||||||
| 0315 | 1.2.2.1.2.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0317 | 1.2.2.1.3 | Level 2A collateral | 0,15 | |||||||||||||||
| 0319 | 1.2.2.1.3.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0321 | 1.2.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | 0,25 | |||||||||||||||
| 0323 | 1.2.2.1.4.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0325 | 1.2.2.1.5 | Level 2B high quality covered bonds collateral | 0,30 | |||||||||||||||
| 0327 | 1.2.2.1.5.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0329 | 1.2.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | 0,35 | |||||||||||||||
| 0331 | 1.2.2.1.6.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0333 | 1.2.2.1.7 | Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6 | 0,50 | |||||||||||||||
| 0335 | 1.2.2.1.7.1 | of which collateral received meets operational requirements | ||||||||||||||||
| 0337 | 1.2.2.2 | collateral is used to cover a short position | ||||||||||||||||
| 0339 | 1.2.2.3 | collateral that does not qualify as a liquid asset | ||||||||||||||||
| 0341 | 1.2.2.3.1 | margin loans: collateral is non-liquid | 0,50 | |||||||||||||||
| 0343 | 1.2.2.3.2 | collateral is non-liquid equity | 1,00 | |||||||||||||||
| 0345 | 1.2.2.3.3 | all other non-liquid collateral | 1,00 | |||||||||||||||
| 0410 | 1.3 | Total inflows from collateral swaps | ||||||||||||||||
| 0420 | 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) | ||||||||||||||||
| 0430 | 1.5 | (Excess inflows from a related specialised credit institution) | ||||||||||||||||
| MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS |
| 0450 | 2 | FX inflows | ||||||||||||||||
| 0460 | 3 | Inflows within a group or an institutional protection scheme | ||||||||||||||||
| 0470 | 3.1 | Monies due from non-financial customers (except for central banks) | ||||||||||||||||
| 0480 | 3.2 | Monies due from financial customers | ||||||||||||||||
| 0490 | 3.3 | Secured transactions | ||||||||||||||||
| 0500 | 3.4 | Monies due from maturing securities within 30 days | ||||||||||||||||
| 0510 | 3.5 | Any other inflows within a group or an institutional protection scheme | ||||||||||||||||
| 4 | Secured lending waived from Article 17 (2) and (3) | |||||||||||||||||
| 0530 | 4.1 | of which: secured by L1 excl. EHQCB | ||||||||||||||||
| 0540 | 4.2 | of which: secured by L1 EHQCB | ||||||||||||||||
| 0550 | 4.3 | of which: secured by L2A | ||||||||||||||||
| 0560 | 4.4 | of which: secured by L2B | ||||||||||||||||
| 0570 | 4.5 | of which: secured by non-liquid assets |
C 75.01 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
Currency
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Standard weight | Applicable weight | Outflows | Inflows subject to the 75% cap on inflows | Inflows subject to the 90% cap on inflows | Inflows exempted from the cap on inflows | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 |
| 0010 | 1 | TOTAL COLLATERAL SWAPS (counterparty is central bank) | ||||||||||
| 0020 | 1.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | ||||||||||
| 0030 | 1.1.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 0040 | 1.1.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0050 | 1.1.2 | Level 1: extremely high quality covered bonds | 0,07 | |||||||||
| 0060 | 1.1.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0070 | 1.1.3 | Level 2A assets | 0,15 | |||||||||
| 0080 | 1.1.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0090 | 1.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,25 | |||||||||
| 0100 | 1.1.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0110 | 1.1.5 | Level 2B: high quality covered bonds | 0,30 | |||||||||
| 0120 | 1.1.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0130 | 1.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,35 | |||||||||
| 0140 | 1.1.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0150 | 1.1.7 | Other Level 2B | 0,50 | |||||||||
| 0160 | 1.1.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0170 | 1.1.8 | Non-liquid assets | 1,00 | |||||||||
| 0180 | 1.1.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0190 | 1.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | ||||||||||
| 0200 | 1.2.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 0210 | 1.2.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0220 | 1.2.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 0230 | 1.2.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0240 | 1.2.3 | Level 2A assets | 0,08 | |||||||||
| 0250 | 1.2.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0260 | 1.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,18 | |||||||||
| 0270 | 1.2.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0280 | 1.2.5 | Level 2B: high quality covered bonds | 0,23 | |||||||||
| 0290 | 1.2.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0300 | 1.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,28 | |||||||||
| 0310 | 1.2.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0320 | 1.2.7 | Other Level 2B | 0,43 | |||||||||
| 0330 | 1.2.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0340 | 1.2.8 | Non-liquid assets | 0,93 | |||||||||
| 0350 | 1.2.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0360 | 1.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | ||||||||||
| 0370 | 1.3.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 0380 | 1.3.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0390 | 1.3.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 0400 | 1.3.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0410 | 1.3.3 | Level 2A assets | 0,00 | |||||||||
| 0420 | 1.3.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0430 | 1.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,10 | |||||||||
| 0440 | 1.3.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0450 | 1.3.5 | Level 2B: high quality covered bonds | 0,15 | |||||||||
| 0460 | 1.3.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0470 | 1.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,20 | |||||||||
| 0480 | 1.3.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0490 | 1.3.7 | Other Level 2B | 0,35 | |||||||||
| 0500 | 1.3.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0510 | 1.3.8 | Non-liquid assets | 0,85 | |||||||||
| 0520 | 1.3.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0530 | 1.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | ||||||||||
| 0540 | 1.4.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 0550 | 1.4.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0560 | 1.4.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 0570 | 1.4.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0580 | 1.4.3 | Level 2A assets | 0,00 | |||||||||
| 0590 | 1.4.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0600 | 1.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,00 | |||||||||
| 0610 | 1.4.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0620 | 1.4.5 | Level 2B: high quality covered bonds | 0,05 | |||||||||
| 0630 | 1.4.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0640 | 1.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,10 | |||||||||
| 0650 | 1.4.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0660 | 1.4.7 | Other Level 2B | 0,25 | |||||||||
| 0670 | 1.4.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0680 | 1.4.8 | Non-liquid assets | 0,75 | |||||||||
| 0690 | 1.4.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0700 | 1.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | ||||||||||
| 0710 | 1.5.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 0720 | 1.5.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0730 | 1.5.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 0740 | 1.5.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0750 | 1.5.3 | Level 2A assets | 0,00 | |||||||||
| 0760 | 1.5.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0770 | 1.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,00 | |||||||||
| 0780 | 1.5.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0790 | 1.5.5 | Level 2B: high quality covered bonds | 0,00 | |||||||||
| 0800 | 1.5.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0810 | 1.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,05 | |||||||||
| 0820 | 1.5.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0830 | 1.5.7 | Other Level 2B | 0,20 | |||||||||
| 0840 | 1.5.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0850 | 1.5.8 | Non-liquid assets | 0,70 | |||||||||
| 0860 | 1.5.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0870 | 1.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | ||||||||||
| 0880 | 1.6.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 0890 | 1.6.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0900 | 1.6.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 0910 | 1.6.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0920 | 1.6.3 | Level 2A assets | 0,00 | |||||||||
| 0930 | 1.6.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0940 | 1.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,00 | |||||||||
| 0950 | 1.6.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0960 | 1.6.5 | Level 2B: high quality covered bonds | 0,00 | |||||||||
| 0970 | 1.6.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 0980 | 1.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,00 | |||||||||
| 0990 | 1.6.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1000 | 1.6.7 | Other Level 2B | 0,15 | |||||||||
| 1010 | 1.6.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1020 | 1.6.8 | Non-liquid assets | 0,65 | |||||||||
| 1030 | 1.6.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1040 | 1.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | ||||||||||
| 1050 | 1.7.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 1060 | 1.7.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1070 | 1.7.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 1080 | 1.7.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1090 | 1.7.3 | Level 2A assets | 0,00 | |||||||||
| 1100 | 1.7.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1110 | 1.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,00 | |||||||||
| 1120 | 1.7.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1130 | 1.7.5 | Level 2B: high quality covered bonds | 0,00 | |||||||||
| 1140 | 1.7.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1150 | 1.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,00 | |||||||||
| 1160 | 1.7.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1170 | 1.7.7 | Other Level 2B | 0,00 | |||||||||
| 1180 | 1.7.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1190 | 1.7.8 | Non-liquid assets | 0,50 | |||||||||
| 1200 | 1.7.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1210 | 1.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | ||||||||||
| 1220 | 1.8.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 1230 | 1.8.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1240 | 1.8.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 1250 | 1.8.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1260 | 1.8.3 | Level 2A assets | 0,00 | |||||||||
| 1270 | 1.8.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1280 | 1.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,00 | |||||||||
| 1290 | 1.8.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1300 | 1.8.5 | Level 2B: high quality covered bonds | 0,00 | |||||||||
| 1310 | 1.8.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1320 | 1.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,00 | |||||||||
| 1330 | 1.8.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1340 | 1.8.7 | Other Level 2B | 0,00 | |||||||||
| 1350 | 1.8.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1360 | 1.8.8 | Non-liquid assets | ||||||||||
| 1370 | 2 | TOTAL COLLATERAL SWAPS (counterparty is non-central bank) | ||||||||||
| 1380 | 2.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | ||||||||||
| 1390 | 2.1.1 | Level 1 assets (excl. EHQ covered bonds) | 0,00 | |||||||||
| 1400 | 2.1.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1410 | 2.1.2 | Level 1: extremely high quality covered bonds | 0,07 | |||||||||
| 1420 | 2.1.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1430 | 2.1.3 | Level 2A assets | 0,15 | |||||||||
| 1440 | 2.1.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1450 | 2.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,25 | |||||||||
| 1460 | 2.1.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1470 | 2.1.5 | Level 2B: high quality covered bonds | 0,30 | |||||||||
| 1480 | 2.1.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1490 | 2.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,35 | |||||||||
| 1500 | 2.1.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1510 | 2.1.7 | Other Level 2B | 0,50 | |||||||||
| 1520 | 2.1.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1530 | 2.1.8 | Non-liquid assets | 1,00 | |||||||||
| 1540 | 2.1.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1550 | 2.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | ||||||||||
| 1560 | 2.2.1 | Level 1 assets (excl. EHQ covered bonds) | 0,07 | |||||||||
| 1570 | 2.2.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1580 | 2.2.2 | Level 1: extremely high quality covered bonds | 0,00 | |||||||||
| 1590 | 2.2.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1600 | 2.2.3 | Level 2A assets | 0,08 | |||||||||
| 1610 | 2.2.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1620 | 2.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,18 | |||||||||
| 1630 | 2.2.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1640 | 2.2.5 | Level 2B: high quality covered bonds | 0,23 | |||||||||
| 1650 | 2.2.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1660 | 2.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,28 | |||||||||
| 1670 | 2.2.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1680 | 2.2.7 | Other Level 2B | 0,43 | |||||||||
| 1690 | 2.2.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1700 | 2.2.8 | Non-liquid assets | 0,93 | |||||||||
| 1710 | 2.2.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1720 | 2.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | ||||||||||
| 1730 | 2.3.1 | Level 1 assets (excl. EHQ covered bonds) | 0,15 | |||||||||
| 1740 | 2.3.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1750 | 2.3.2 | Level 1: extremely high quality covered bonds | 0,08 | |||||||||
| 1760 | 2.3.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1770 | 2.3.3 | Level 2A assets | 0,00 | |||||||||
| 1780 | 2.3.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1790 | 2.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,10 | |||||||||
| 1800 | 2.3.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1810 | 2.3.5 | Level 2B: high quality covered bonds | 0,15 | |||||||||
| 1820 | 2.3.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1830 | 2.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,20 | |||||||||
| 1840 | 2.3.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1850 | 2.3.7 | Other Level 2B | 0,35 | |||||||||
| 1860 | 2.3.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1870 | 2.3.8 | Non-liquid assets | 0,85 | |||||||||
| 1880 | 2.3.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1890 | 2.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | ||||||||||
| 1900 | 2.4.1 | Level 1 assets (excl. EHQ covered bonds) | 0,25 | |||||||||
| 1910 | 2.4.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1920 | 2.4.2 | Level 1: extremely high quality covered bonds | 0,18 | |||||||||
| 1930 | 2.4.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1940 | 2.4.3 | Level 2A assets | 0,10 | |||||||||
| 1950 | 2.4.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1960 | 2.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,00 | |||||||||
| 1970 | 2.4.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 1980 | 2.4.5 | Level 2B: high quality covered bonds | 0,05 | |||||||||
| 1990 | 2.4.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2000 | 2.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,10 | |||||||||
| 2010 | 2.4.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2020 | 2.4.7 | Other Level 2B | 0,25 | |||||||||
| 2030 | 2.4.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2040 | 2.4.8 | Non-liquid assets | 0,75 | |||||||||
| 2050 | 2.4.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2060 | 2.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | ||||||||||
| 2070 | 2.5.1 | Level 1 assets (excl. EHQ covered bonds) | 0,30 | |||||||||
| 2080 | 2.5.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2090 | 2.5.2 | Level 1: extremely high quality covered bonds | 0,23 | |||||||||
| 2100 | 2.5.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2110 | 2.5.3 | Level 2A assets | 0,15 | |||||||||
| 2120 | 2.5.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2130 | 2.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,05 | |||||||||
| 2140 | 2.5.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2150 | 2.5.5 | Level 2B: high quality covered bonds | 0,00 | |||||||||
| 2160 | 2.5.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2170 | 2.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,05 | |||||||||
| 2180 | 2.5.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2190 | 2.5.7 | Other Level 2B | 0,20 | |||||||||
| 2200 | 2.5.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2210 | 2.5.8 | Non-liquid assets | 0,70 | |||||||||
| 2220 | 2.5.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2230 | 2.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | ||||||||||
| 2240 | 2.6.1 | Level 1 assets (excl. EHQ covered bonds) | 0,35 | |||||||||
| 2250 | 2.6.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2260 | 2.6.2 | Level 1: extremely high quality covered bonds | 0,28 | |||||||||
| 2270 | 2.6.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2280 | 2.6.3 | Level 2A assets | 0,20 | |||||||||
| 2290 | 2.6.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2300 | 2.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,10 | |||||||||
| 2310 | 2.6.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2320 | 2.6.5 | Level 2B: high quality covered bonds | 0,05 | |||||||||
| 2330 | 2.6.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2340 | 2.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,00 | |||||||||
| 2350 | 2.6.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2360 | 2.6.7 | Other Level 2B | 0,15 | |||||||||
| 2370 | 2.6.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2380 | 2.6.8 | Non-liquid assets | 0,65 | |||||||||
| 2390 | 2.6.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2400 | 2.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | ||||||||||
| 2410 | 2.7.1 | Level 1 assets (excl. EHQ covered bonds) | 0,50 | |||||||||
| 2420 | 2.7.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2430 | 2.7.2 | Level 1: extremely high quality covered bonds | 0,43 | |||||||||
| 2440 | 2.7.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2450 | 2.7.3 | Level 2A assets | 0,35 | |||||||||
| 2460 | 2.7.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2470 | 2.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,25 | |||||||||
| 2480 | 2.7.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2490 | 2.7.5 | Level 2B: high quality covered bonds | 0,20 | |||||||||
| 2500 | 2.7.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2510 | 2.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,15 | |||||||||
| 2520 | 2.7.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2530 | 2.7.7 | Other Level 2B | 0,00 | |||||||||
| 2540 | 2.7.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2550 | 2.7.8 | Non-liquid assets | 0,50 | |||||||||
| 2560 | 2.7.8.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2570 | 2.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | ||||||||||
| 2580 | 2.8.1 | Level 1 assets (excl. EHQ covered bonds) | 1,00 | |||||||||
| 2590 | 2.8.1.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2600 | 2.8.2 | Level 1: extremely high quality covered bonds | 0,93 | |||||||||
| 2610 | 2.8.2.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2620 | 2.8.3 | Level 2A assets | 0,85 | |||||||||
| 2630 | 2.8.3.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2640 | 2.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | 0,75 | |||||||||
| 2650 | 2.8.4.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2660 | 2.8.5 | Level 2B: high quality covered bonds | 0,70 | |||||||||
| 2670 | 2.8.5.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2680 | 2.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | 0,65 | |||||||||
| 2690 | 2.8.6.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2700 | 2.8.7 | Other Level 2B | 0,50 | |||||||||
| 2710 | 2.8.7.1 | Of which collateral swapped meets operational requirements | ||||||||||
| 2720 | 2.8.8 | Non-liquid assets | ||||||||||
| MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS |
| 2730 | 3 | Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions | ||||||||||
| 2740 | 4 | Total collateral swaps with intragroup counterparties | ||||||||||
| 5 | Collateral swaps waived from Article 17 (2) and (3) | |||||||||||
| 2750 | 5.1 | of which: collateral borrowed is L1 excl. EHQCB | ||||||||||
| 2760 | 5.2 | of which: collateral borrowed is L1 EHQCB | ||||||||||
| 2770 | 5.3 | of which: collateral borrowed is L2A | ||||||||||
| 2780 | 5.4 | of which: collateral borrowed is L2B | ||||||||||
| 2790 | 5.5 | of which: collateral lent is L1 excl. EHQCB | ||||||||||
| 2800 | 5.6 | of which: collateral lent is L1 EHQCB | ||||||||||
| 2810 | 5.7 | of which: collateral lent is L2A | ||||||||||
| 2820 | 5.8 | of which: collateral lent is L2B |
C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS
Currency
| Value / Percentage | |||
|---|---|---|---|
| Row | ID | Item | 010 |
| CALCULATIONS | CALCULATIONS | CALCULATIONS | CALCULATIONS |
| Numerator, denominator, ratio | Numerator, denominator, ratio | Numerator, denominator, ratio | Numerator, denominator, ratio |
| 0010 | 1 | Liquidity buffer | |
| 0020 | 2 | Net liquidity outflow | |
| 0030 | 3 | Liquidity coverage ratio (%) | |
| Numerator calculations | Numerator calculations | Numerator calculations | Numerator calculations |
| 0040 | 4 | L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted | |
| 0050 | 5 | L1 excl. EHQCB collateral 30 day outflows | |
| 0060 | 6 | L1 excl. EHQCB collateral 30 day inflows | |
| 0070 | 7 | Secured cash 30 day ouflows | |
| 0080 | 8 | Secured cash 30 day inflows | |
| 0091 | 9 | L1 excl. EHQCB ‘adjusted amount’ | |
| 0100 | 10 | L1 EHQCB value in accordance with Article 9: unadjusted | |
| 0110 | 11 | L1 EHQCB collateral 30 day outflows | |
| 0120 | 12 | L1 EHQCB collateral 30 day inflows | |
| 0131 | 13 | L1 EHQCB ‘adjusted amount’ | |
| 0160 | 14 | L2A value in accordance with Article 9: unadjusted | |
| 0170 | 15 | L2A collateral 30 day outflows | |
| 0180 | 16 | L2A collateral 30 day inflows | |
| 0191 | 17 | L2A ‘adjusted amount’ | |
| 0220 | 18 | L2B value in accordance with Article 9: unadjusted | |
| 0230 | 19 | L2B collateral 30 day outflows | |
| 0240 | 20 | L2B collateral 30 day inflows | |
| 0251 | 21 | L2B ‘adjusted amount’ | |
| 0280 | 22 | Excess liquid asset amount | |
| 0290 | 23 | Liquidity buffer | |
| Denominator calculations | Denominator calculations | Denominator calculations | Denominator calculations |
| 0300 | 24 | Total Outflows | |
| 0310 | 25 | Fully Exempt Inflows | |
| 0320 | 26 | Inflows Subject to 90% Cap | |
| 0330 | 27 | Inflows Subject to 75% Cap | |
| 0340 | 28 | Reduction for Fully Exempt Inflows | |
| 0350 | 29 | Reduction for Inflows Subject to 90% Cap | |
| 0360 | 30 | Reduction for Inflows Subject to 75% Cap | |
| 0370 | 31 | Net liquidity outflow | |
| Pillar 2 | Pillar 2 | Pillar 2 | Pillar 2 |
| 0380 | 32 | Pillar 2 requirement as set out in Article 105 CRD |
C 77.00 — LIQUIDITY COVERAGE — PERIMETER
| Parent or subsidiary | Name | Code | Type of code | National code | Country code | Type of entity |
|---|---|---|---|---|---|---|
| 0005 | 0010 | 0020 | 0021 | 0022 | 0040 | 0050 |
ANNEX XXV
INSTRUCTIONS FOR COMPLETING LIQUIDITY TEMPLATES OF ANNEX XXIV
PART 1: LIQUID ASSETS
1. Liquid assets
1.1. General remarks
- 1.This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61 ([^E0029]). Items which do not need to be completed by credit institutions are coloured grey.
- 2.Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 2015/61.
- 3.By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.
- 4.Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) No 575/2013.
- 5.In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.
- 6.Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word ‘weight’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value referred to in Article 9 of Delegated Regulation (EU) 2015/61, respectively.
- 7.Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2 of the template.
1.2. Specific remarks
1.2.1. Specific requirements regarding CIUs
- 8.For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13. of the template, credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with Article 15(4) of Delegated Regulation (EU) 2015/61.
1.2.2. Specific requirements regarding grandfathering and transitional provisions
- 9.Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the ‘Memorandum’ section for reference.
1.2.3. Specific requirements for reporting by Central Institutions
- 10.Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.
1.2.4. Specific requirements regarding settlement and forward starting transactions
- 11.All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and which are in the stock of the credit institution on the reference date, shall be reported in the relevant row in template C72, even if they are sold or used in secured forward transactions. Consistently, no liquid assets from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template.
1.2.5. Liquid assets sub template
1.2.5.1. Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 0010 | Amount/Market value Credit institutions shall report in column 0010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61. The amount/market value reported in column 0010: — shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation; — shall not take into account haircuts specified in Title II of the same Regulation; — shall include the proportion of deposits referred to in point (a) of Article 16(1) of the same Regulation that are holding differing specific assets in the corresponding asset rows; — shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation. When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. Credit institutions shall not take into account potential future value changes in the asset. |
| 0020 | Standard weight Column 0020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts. |
| 0030 | Applicable weight Credit institutions shall report in column 0030 the applicable weight applied to liquid assets set out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in column 0030 shall not exceed the figure in column 0020. |
| 0040 | Value in accordance with Article 9 Credit institutions shall report in column 0040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight. |
1.2.5.2. Instructions concerning specific rows
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