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 | |
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 |
050 | 5 | L1 excl. EHQCB collateral 30 day outflows |
060 | 6 | L1 excl. EHQCB collateral 30 day inflows |
070 | 7 | Secured cash 30 day ouflows |
080 | 8 | Secured cash 30 day inflows |
090 | 9 | L1 excl. EHQCB ‘adjusted amount before cap application’ |
100 | 10 | L1 EHQCB value according to Article 9: unadjusted |
110 | 11 | L1 EHQCB collateral 30 day outflows |
120 | 12 | L1 EHQCB collateral 30 day inflows |
130 | 13 | L1 EHQCB ‘adjusted amount before cap application’ |
140 | 14 | L1 EHQCB ‘adjusted amount after cap application’ |
150 | 15 | L1 EHQCB ‘excess liquid assets amount’ |
160 | 16 | L2A according to Article 9: unadjusted |
170 | 17 | L2A collateral 30 day outflows |
180 | 18 | L2A collateral 30 day inflows |
190 | 19 | L2A ‘adjusted amount before cap application’ |
200 | 20 | L2A ‘adjusted amount after cap application’ |
210 | 21 | L2A ‘excess liquid assets amount’ |
220 | 22 | L2B according to Article 9: unadjusted |
230 | 23 | L2B collateral 30 day outflows |
240 | 24 | L2B collateral 30 day inflows |
250 | 25 | L2B ‘adjusted amount before cap application’ |
260 | 26 | L2B ‘adjusted amount after cap application’ |
270 | 27 | L2B ‘excess liquid assets amount’ |
280 | 28 | Excess liquid asset amount |
290 | 29 | Liquidity buffer |
Denominator calculations
300 | 30 | Total Outflows |
310 | 31 | Fully Exempt Inflows |
320 | 32 | Inflows Subject to 90 % Cap |
330 | 33 | Inflows Subject to 75 % Cap |
340 | 34 | Reduction for Fully Exempt Inflows |
350 | 35 | Reduction for Inflows Subject to 90 % Cap |
360 | 36 | Reduction for Inflows Subject to 75 % Cap |
370 | 37 | Net liquidity outflow |
Pillar 2
380 | 38 | Pillar 2 requirement as set out in Article 105 CRD |