Annex XII - REPORTING ON NET STABLE FUNDING RATIO

LIQUIDITY TEMPLATES

Template number

Template code

Name of the template/group of templates

NSFR

80

C 80.00

REQUIRED STABLE FUNDING

81

C 81.00

AVAILABLE STABLE FUNDING

SIMPLIFIED NSFR

82

C 82.00

SIMPLIFIED REQUIRED STABLE FUNDING

83

C 83.00

SIMPLIFIED AVAILABLE STABLE FUNDING

SUMMARY NSFR

84

C 84.00

SUMMARY NSFR

Amount

Standard RSF factor

Applicable RSF factor

Required stable funding

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0010

1

REQUIRED STABLE FUNDING

0020

1.1

RSF from central bank assets

0030

1.1.1

cash, reserves and HQLA exposures to central banks

0040

1.1.1.1

unencumbered or encumbered for a residual maturity of less than six months

0 %

0 %

0 %

0 %

0050

1.1.1.2

encumbered for a residual maturity of at least six months but less than one year

50 %

50 %

50 %

50 %

0060

1.1.1.3

encumbered for a residual maturity of one year or more

100 %

100 %

100 %

100 %

0070

1.1.2

other non-HQLA central bank exposures

0 %

50 %

100 %

0080

1.2

RSF from liquid assets

0090

1.2.1

level 1 assets eligible for 0 % LCR haircut

0100

1.2.1.1

unencumbered or encumbered for a residual maturity of less than six months

0 %

0110

1.2.1.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0120

1.2.1.3

encumbered for a residual maturity of one year or more

100 %

0130

1.2.2

level 1 assets eligible for 5 % LCR haircut

0140

1.2.2.1

unencumbered or encumbered for a residual maturity of less than six months

5 %

0150

1.2.2.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0160

1.2.2.3

encumbered for a residual maturity of one year or more

100 %

0170

1.2.3

level 1 eligible for 7 % LCR haircut

0180

1.2.3.1

unencumbered or encumbered for a residual maturity of less than six months

7 %

0190

1.2.3.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0200

1.2.3.3

encumbered for a residual maturity of one year or more

100 %

0210

1.2.4

level 1 assets eligible for 12 % LCR haircut

0220

1.2.4.1

unencumbered or encumbered for a residual maturity of less than six months

12 %

0230

1.2.4.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0240

1.2.4.3

encumbered for a residual maturity of one year or more

100 %

0250

1.2.5

level 2A assets eligible for 15 % LCR haircut

0260

1.2.5.1

unencumbered or encumbered for a residual maturity of less than six months

15 %

0270

1.2.5.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0280

1.2.5.3

encumbered for a residual maturity of one year or more

100 %

0290

1.2.6

level 2A assets eligible for 20 % LCR haircut

0300

1.2.6.1

unencumbered or encumbered for a residual maturity of less than six months

20 %

0310

1.2.6.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0320

1.2.6.3

encumbered for a residual maturity of one year or more

100 %

0330

1.2.7

level 2B securitizations eligible for 25 % LCR haircut

0340

1.2.7.1

unencumbered or encumbered for a residual maturity of less than six months

25 %

0350

1.2.7.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0360

1.2.7.3

encumbered for a residual maturity of one year or more

100 %

0370

1.2.8

level 2B assets eligible for 30 % LCR haircut

0380

1.2.8.1

unencumbered or encumbered for a residual maturity of less than six months

30 %

0390

1.2.8.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0400

1.2.8.3

encumbered for a residual maturity of one year or more

100 %

0410

1.2.9

level 2B assets eligible for 35 % LCR haircut

0420

1.2.9.1

unencumbered or encumbered for a residual maturity of less than six months

35 %

0430

1.2.9.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0440

1.2.9.3

encumbered for a residual maturity of one year or more

100 %

0450

1.2.10

level 2B assets eligible for 40 % LCR haircut

0460

1.2.10.1

unencumbered or encumbered for a residual maturity of less than six months

40 %

0470

1.2.10.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0480

1.2.10.3

encumbered for a residual maturity of one year or more

100 %

0490

1.2.11

level 2B assets eligible for 50 % LCR haircut

0500

1.2.11.1

unencumbered or encumbered for a residual maturity of less than one year

50 %

0510

1.2.11.2

encumbered for a residual maturity of one year or more

100 %

0520

1.2.12

level 2B assets eligible for 55 % LCR haircut

0530

1.2.12.1

unencumbered or encumbered for a residual maturity of less than one year

55 %

0540

1.2.12.2

encumbered for a residual maturity of one year or more

100 %

0550

1.2.13

HQLAs encumbered for a residual maturity of one year or morein cover pool

85 %

0560

1.3

RSF from securities other than liquid assets

0570

1.3.1

non- HQLA securities and exchange traded equities

0580

1.3.1.1

unencumbered or encumbered for a residual maturity of less than one year

50 %

50 %

85 %

0590

1.3.1.2

encumbered for a residual maturity of one year or more

100 %

100 %

100 %

0600

1.3.2

non-HQLA non-exchange traded equities

100 %

0610

1.3.3

non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool

85 %

85 %

85 %

0620

1.4

RSF from loans

0630

1.4.1

operational deposits

50 %

50 %

100 %

0640

1.4.2

securities financing transactions with financial customers

0650

1.4.2.1

collateralized by level 1 assets eligible for 0 % LCR haircut

0660

1.4.2.1.1

unencumbered or encumbered for a residual maturity of less than six months

0 %

50 %

100 %

0670

1.4.2.1.2

encumbered for a residual maturity of at least six months but less than one year

50 %

50 %

100 %

0680

1.4.2.1.3

encumbered for a residual maturity of one year or more

100 %

100 %

100 %

0690

1.4.2.2

collateralized by other assets

0700

1.4.2.2.1

unencumbered or encumbered for a residual maturity of less than six months

5 %

50 %

100 %

0710

1.4.2.2.2

encumbered for a residual maturity of at least six months but less than one year

50 %

50 %

100 %

0720

1.4.2.2.3

encumbered for a residual maturity of one year or more

100 %

100 %

100 %

0730

1.4.3

other loans and advances to financial customers

10 %

50 %

100 %

0740

1.4.4

assets encumbered for a residual maturity of one year or morein cover pool

85 %

85 %

85 %

0750

1.4.5

loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less

0760

1.4.5.0.1

of which, residential mortgages

0770

1.4.5.1

unencumbered or encumbered for a residual maturity of less than six months

50 %

50 %

65 %

0780

1.4.5.2

encumbered for a residual maturity of at least six months but less than one year

50 %

50 %

65 %

0790

1.4.5.3

encumbered for a residual maturity of one year or more

100 %

100 %

100 %

0800

1.4.6

other loans to non-financial customers other than central banks

0810

1.4.6.0.1

of which, residential mortgages

0820

1.4.6.1

unencumbered or encumbered for a residual maturity of less than one year

50 %

50 %

85 %

0830

1.4.6.2

encumbered for a residual maturity of one year or more

100 %

100 %

100 %

0840

1.4.7

trade finance on-balance sheet products

10 %

50 %

85 %

0850

1.5

RSF from interdependent assets

0860

1.5.1

centralised regulated savings

0 %

0 %

0 %

0870

1.5.2

promotional loans and credit and liquidity facilities

0 %

0 %

0 %

0880

1.5.3

eligible covered bonds

0 %

0 %

0 %

0890

1.5.4

derivatives client clearing activities

0 %

0 %

0 %

0900

1.5.5

others

0 %

0 %

0 %

0910

1.6

RSF from assets within a group or an IPS if subject to preferential treatment

0920

1.7

RSF from derivatives

0930

1.7.1

required stable funding for derivative liabilities

5 %

0940

1.7.2

NSFR derivative assets

100 %

0950

1.7.3

initial margin posted

85 %

85 %

85 %

85 %

0960

1.8

RSF from contributions to CCP default fund

85 %

85 %

85 %

85 %

Row

ID

Item

Amount

Standard ASF factor

Applicable ASF factor

Available stable funding

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

Total

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

2

AVAILABLE STABLE FUNDING

0020

2.1

ASF from capital items and instruments

0030

2.1.1

Common Equity Tier 1

100 %

0040

2.1.2

Additional Tier 1

0 %

0 %

100 %

0050

2.1.3

Tier 2

0 %

0 %

100 %

0060

2.1.4

Other capital instruments

0 %

0 %

100 %

0070

2.2

ASF from retail deposits

0080

2.2.0.1

of which, retail bonds

0090

2.2.1

Stable retail deposits

95 %

95 %

100 %

0100

2.2.0.2

of which with a material early withdrawable penalty

100 %

0110

2.2.2

Other retail deposits

90 %

90 %

100 %

0120

2.2.0.3

of which with a material early withdrawable penalty

100 %

0130

2.3

ASF from other non-financial customers (except central banks)

0140

2.3.0.1

of which, securities financing transactions

0150

2.3.0.2

of which, operational deposits

0160

2.3.1

Liabilities provided by the central government of a Member State or a third country

50 %

50 %

100 %

0170

2.3.2

Liabilities provided by regional governments or local authorities of a Member State or a third country

50 %

50 %

100 %

0180

2.3.3

Liabilities provided by public sector entities of a Member State or a third country

50 %

50 %

100 %

0190

2.3.4

Liabilities provided by multilateral development banks and international organisations

50 %

50 %

100 %

0200

2.3.5

Liabilities provided by non-financial corporate customers

50 %

50 %

100 %

0210

2.3.6

Liabilities provided by credit unions, personal investment companies and deposit brokers

50 %

50 %

100 %

0220

2.4

ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

0230

2.5

ASF from financial customers and central banks

0240

2.5.0.1

of which, sight deposits provided by network member to central institution

0250

2.5.1

Liabilities provided by the ECB or the central bank of a Member State

0 %

50 %

100 %

0260

2.5.2

Liabilities provided by the central bank of a third country

0 %

50 %

100 %

0270

2.5.3

Liabilities provided by financial customers

0280

2.5.3.1

Operational deposits

50 %

50 %

100 %

0290

2.5.3.2

Excess operational deposits

0 %

50 %

100 %

0300

2.5.3.3

Other liabilities

0 %

50 %

100 %

0310

2.6

ASF from liabilities provided where the counterparty cannot be determined

0 %

50 %

100 %

0320

2.7

ASF from net derivatives liabilities

0 %

0 %

0 %

0330

2.8

ASF from interdependent liabilities

0340

2.8.1

Centralised regulated savings

0 %

0 %

0 %

0350

2.8.2

Promotional loans and relevant credit and liquidity facilities

0 %

0 %

0 %

0360

2.8.3

Eligible covered bonds

0 %

0 %

0 %

0370

2.8.4

Derivatives client clearing activities

0 %

0 %

0 %

0380

2.8.5

Others

0 %

0 %

0 %

0390

2.9

ASF from other liabilities

0400

2.9.1

Trade date payables

0 %

0 %

0 %

0410

2.9.2

Deferred tax liabilities

0 %

50 %

100 %

0420

2.9.3

Minority interests

0 %

50 %

100 %

0430

2.9.4

Other liabilities

0 %

50 %

100 %

Amount

Standard RSF factor

Applicable RSF factor

Required stable funding

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

< 1 year

≥ 1 year

< 1 year

≥ 1 year

< 1 year

≥ 1 year

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

1

REQUIRED STABLE FUNDING

0020

1.1

RSF from central bank assets

0030

1.1.1

cash, reserves and HQLA exposures to central banks

0 %

0 %

0 %

0040

1.1.2

other non-HQLA central bank exposures

0 %

100 %

0050

1.2

RSF from liquid assets

0060

1.2.1

level 1 assets eligible for 0 % LCR haircut

0070

1.2.1.1

unencumbered or encumbered for a residual maturity of less than six months

0 %

0080

1.2.1.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0090

1.2.1.3

encumbered for a residual maturity of one year or more

100 %

0100

1.2.2

level 1 assets eligible for 7 % LCR haircut

0110

1.2.2.1

unencumbered or encumbered for a residual maturity of less than six months

10 %

0120

1.2.2.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0130

1.2.2.3

encumbered for a residual maturity of one year or more

100 %

0140

1.2.3

level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts

0150

1.2.3.1

unencumbered or encumbered for a residual maturity of less than six months

20 %

0160

1.2.3.2

encumbered for a residual maturity of at least six months but less than one year

50 %

0170

1.2.3.3

encumbered for a residual maturity of one year or more

100 %

0180

1.2.4

Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts

0190

1.2.4.1

unencumbered or encumbered for a residual maturity of less than one year

55 %

0200

1.2.4.2

encumbered for a residual maturity of one year or more

100 %

0210

1.3

RSF from securities other than liquid assets

0220

1.3.1

unencumbered or encumbered for a residual maturity of less than one year

50 %

85 %

0230

1.3.2

encumbered for a residual maturity of one year or more

100 %

100 %

0240

1.4

RSF from loans

0250

1.4.1

loans to non-financials

0260

1.4.1.1

unencumbered or encumbered for a residual maturity of less than one year

50 %

85 %

0270

1.4.1.2

encumbered for a residual maturity of one year or more

100 %

100 %

0280

1.4.2

loans to financials

0290

1.4.2.1

unencumbered or encumbered for a residual maturity of less than one year

50 %

100 %

0300

1.4.2.2

encumbered for a residual maturity of one year or more

100 %

100 %

0310

1.4.3

trade finance on-balance sheet products

50 %

85 %

0320

1.5

RSF from interdependent assets

0 %

0 %

0330

1.6

RSF from assets within a group or an IPS if subject to preferential treatment

0340

1.7

RSF from derivatives

0350

1.7.1

required stable funding for derivative liabilities

5 %

0360

1.7.2

NSFR derivative assets

100 %

0370

1.7.3

Initial margin posted

85 %

85 %

85 %

0380

1.8

RSF from contributions to CCP default fund

0390

1.9

RSF from other assets

100 %

100 %

0400

1.10

RSF from OBS items

0410

1.10.1

committed facilities within a group or an IPS if subject to preferential treatment

0420

1.10.2

commited facilities

5 %

5 %

0430

1.10.3

trade finance off-balance sheet items

10 %

10 %

0440

1.10.4

non-performing off-balance sheet items

100 %

100 %

0450

1.10.5

other off-balance sheet exposures determined by competent authorities

Row

ID

Item

Amount

Standard ASF factor

Applicable ASF factor

Available stable funding

< 1 year

≥ 1 year

< 1 year

≥ 1 year

< 1 year

≥ 1 year

0010

0020

0030

0040

0050

0060

0070

0010

2

AVAILABLE STABLE FUNDING

0020

2.1

ASF from capital items and instruments

0 %

100 %

0030

2.2

ASF from retail deposits

0040

2.2.1

Stable retail deposits

95 %

100 %

0050

2.2.2

Other retail deposits

90 %

100 %

0060

2.3

ASF from other non-financial customers (except central banks)

50 %

100 %

0070

2.4

ASF from operational deposits

50 %

100 %

0080

2.5

ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

0090

2.6

ASF from financial customers and central banks

0 %

100 %

0100

2.7

ASF from liabilities provided where the counterparty cannot be determined

0 %

100 %

0110

2.8

ASF from interdependent liabilities

0 %

0120

2.9

ASF from other liabilities

0 %

100 %

Row

ID

Item

Amount

Required stable funding

Available stable funding

Ratio

0010

0020

0030

0040

0010

1

REQUIRED STABLE FUNDING

0020

1.1

RSF from central bank assets

0030

1.2

RSF from liquid assets

0040

1.3

RSF from securities other than liquid assets

0050

1.4

RSF from loans

0060

1.5

RSF from interdependent assets

0070

1.6

RSF from assets within a group or an IPS if subject to preferential treatment

0080

1.7

RSF from derivatives

0090

1.8

RSF from contributions to CCP default fund

0100

1.9

RSF from other assets

0110

1.10

RSF from OBS items

0120

2

AVAILABLE STABLE FUNDING

0130

2.1

ASF from capital items and instruments

0140

2.2

ASF from retail deposits

0150

2.3

ASF from other non-financial customers (except central banks)

0160

2.4

ASF from operational deposits

0170

2.5

ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

0180

2.6

ASF from financial customers and central banks

0190

2.7

ASF from liabilities provided where the counterparty cannot be determined

0200

2.8

ASF from interdependent liabilities

0210

2.9

ASF from other liabilities

0220

3

NSFR