Annex XXIV - 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 75.01

LIQUIDITY COVERAGE — COLLATERAL SWAPS

PART V — CALCULATIONS

76

C 76.00

LIQUIDITY COVERAGE — CALCULATIONS

PART VI — PERIMETER OF CONSOLIDATION

77

C 77.00

LIQUIDITY COVERAGE — PERIMETER

Row

ID

Item

Amount/Market value

Standard weight

Applicable weight

Value in accordance with Article 9

0010

0020

0030

0040

0010

1

TOTAL UNADJUSTED LIQUID ASSETS

0020

1.1

Total unadjusted level 1 assets

0030

1.1.1

Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

0040

1.1.1.1

Coins and banknotes

1,00

0050

1.1.1.2

Withdrawable central bank reserves

1,00

0060

1.1.1.3

Central bank assets

1,00

0070

1.1.1.4

Central government assets

1,00

0080

1.1.1.5

Regional government / local authorities assets

1,00

0090

1.1.1.6

Public Sector Entity assets

1,00

0100

1.1.1.7

Recognisable domestic and foreign currency central government and central bank assets

1,00

0110

1.1.1.8

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

1,00

0120

1.1.1.9

Multilateral development bank and international organisations assets

1,00

0130

1.1.1.10

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

1,00

0140

1.1.1.11

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

0,95

0150

1.1.1.12

Alternative Liquidity Approaches: Central bank credit facility

1,00

0160

1.1.1.13

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

0170

1.1.1.14

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

0,80

0180

1.1.2

Total unadjusted LEVEL 1 extremely high quality covered bonds

0190

1.1.2.1

Extremely high quality covered bonds

0,93

0200

1.1.2.2

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

0,88

0210

1.1.2.3

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

0220

1.2

Total unadjusted level 2 assets

0230

1.2.1

Total unadjusted LEVEL 2A assets

0240

1.2.1.1

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

0,85

0250

1.2.1.2

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

0,85

0260

1.2.1.3

High quality covered bonds (CQS2)

0,85

0270

1.2.1.4

High quality covered bonds (Third Country, CQS1)

0,85

0280

1.2.1.5

Corporate debt securities (CQS1)

0,85

0290

1.2.1.6

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

0,80

0300

1.2.1.7

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

0310

1.2.2

Total unadjusted LEVEL 2B assets

0320

1.2.2.1

Asset-backed securities (residential, CQS1)

0,75

0330

1.2.2.2

Asset-backed securities (auto, CQS1)

0,75

0340

1.2.2.3

High quality covered bonds (RW35%)

0,70

0350

1.2.2.4

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

0,65

0360

1.2.2.5

Corporate debt securities (CQS2/3)

0,50

0370

1.2.2.6

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

0,50

0380

1.2.2.7

Shares (major stock index)

0,50

0390

1.2.2.8

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

0,50

0400

1.2.2.9

Restricted-use central bank committed liquidity facilities

1,00

0410

1.2.2.10

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

0,70

0420

1.2.2.11

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

0,65

0430

1.2.2.12

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

0,60

0440

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

0450

1.2.2.14

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

0,75

0460

1.2.2.15

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

0,75

0470

1.2.2.16

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

MEMORANDUM ITEMS

0485

2

Deposits by network member with central institution (obligated investment)

0580

3

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

0590

4

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

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

Amount

Market value of collateral received

Standard Weight

Applicable Weight

Value of collateral received in accordance with 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

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

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

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

Value / Percentage

Row

ID

Item

010

CALCULATIONS

Numerator, denominator, ratio

0010

1

Liquidity buffer

0020

2

Net liquidity outflow

0030

3

Liquidity coverage ratio (%)

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

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

0380

32

Pillar 2 requirement as set out in Article 105 CRD

Parent or subsidiary

Name

Code

Type of code

National code

Country code

Type of entity

0005

0010

0020

0021

0022

0040

0050