Table EU LIQA - Liquidity risk management
in accordance with Article 451a(4) CRR
Row number | Qualitative information - Free format | |
(a) | Strategies and processes in the management of the liquidity risk, including policies on diversification in the sources and tenor of planned funding, | |
(b) | Structure and organisation of the liquidity risk management function (authority, statute, other arrangements). | |
(c) | A description of the degree of centralisation of liquidity management and interaction between the group’s units | |
(d) | Scope and nature of liquidity risk reporting and measurement systems. | |
(e) | Policies for hedging and mitigating the liquidity risk and strategies and processes for monitoring the continuing effectiveness of hedges and mitigants. | |
(f) | An outline of the bank's contingency funding plans. | |
(g) | An explanation of how stress testing is used. | |
(h) | A declaration approved by the management body on the adequacy of liquidity risk management arrangements of the institution providing assurance that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. | |
(i) | A concise liquidity risk statement approved by the management body succinctly describing the institution’s overall liquidity risk profile associated with the business strategy. This statement shall include key ratios and figures (other than those already covered in the EU LIQ1 template under this ITS) providing external stakeholders with a comprehensive view of the institution’s management of liquidity risk, including how the liquidity risk profile of the institution interacts with the risk tolerance set by the management body. These ratios may include: | |
— Concentration limits on collateral pools and sources of funding (both products and counterparties) | ||
— Customised measurement tools or metrics that assess the structure of the bank’s balance sheet or that project cash flows and future liquidity positions, taking into account off-balance sheet risks which are specific to that bank | ||
— Liquidity exposures and funding needs at the level of individual legal entities, foreign branches and subsidiaries, taking into account legal, regulatory and operational limitations on the transferability of liquidity | ||
— Balance sheet and off-balance sheet items broken down into maturity buckets and the resultant liquidity gaps | ||
Template EU LIQ1 - Quantitative information of LCR
Scope of consolidation: (solo/consolidated)
a | b | c | d | e | f | g | h | ||
Total unweighted value (average) | Total weighted value (average) | ||||||||
EU 1a | Quarter ending on (DD Month YYY) | T | T-1 | T-2 | T-3 | T | T-1 | T-2 | T-3 |
EU 1b | Number of data points used in the calculation of averages | ||||||||
HIGH-QUALITY LIQUID ASSETS | |||||||||
1 | Total high-quality liquid assets (HQLA) | X | |||||||
CASH - OUTFLOWS | |||||||||
2 | Retail deposits and deposits from small business customers, of which: | ||||||||
3 | Stable deposits | ||||||||
4 | Less stable deposits | ||||||||
5 | Unsecured wholesale funding | ||||||||
6 | Operational deposits (all counterparties) and deposits in networks of cooperative banks | ||||||||
7 | Non-operational deposits (all counterparties) | ||||||||
8 | Unsecured debt | ||||||||
9 | Secured wholesale funding | X | |||||||
10 | Additional requirements | ||||||||
11 | Outflows related to derivative exposures and other collateral requirements | ||||||||
12 | Outflows related to loss of funding on debt products | ||||||||
13 | Credit and liquidity facilities | ||||||||
14 | Other contractual funding obligations | ||||||||
15 | Other contingent funding obligations | ||||||||
16 | TOTAL CASH OUTFLOWS | X | |||||||
CASH - INFLOWS | |||||||||
17 | Secured lending (e.g. reverse repos) | ||||||||
18 | Inflows from fully performing exposures | ||||||||
19 | Other cash inflows | ||||||||
EU-19a | (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) | X | |||||||
EU-19b | (Excess inflows from a related specialised credit institution) | X | |||||||
20 | TOTAL CASH INFLOWS | ||||||||
EU-20a | Fully exempt inflows | ||||||||
EU-20b | Inflows subject to 90% cap | ||||||||
EU-20c | Inflows subject to 75% cap | ||||||||
TOTAL ADJUSTED VALUE | |||||||||
EU-21 | LIQUIDITY BUFFER | X | |||||||
22 | TOTAL NET CASH OUTFLOWS | X | |||||||
23 | LIQUIDITY COVERAGE RATIO | X | |||||||
Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.
in accordance with Article 451a(2) CRR
Row number | Qualitative information - Free format | |
(a) | Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR’s calculation over time | |
(b) | Explanations on the changes in the LCR over time | |
(c) | Explanations on the actual concentration of funding sources | |
(d) | High-level description of the composition of the institution's liquidity buffer. | |
(e) | Derivative exposures and potential collateral calls | |
(f) | Currency mismatch in the LCR | |
(g) | Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile | |
Template EU LIQ2: Net Stable Funding Ratio
In accordance with Article 451a(3) CRR
a | b | c | d | e | ||
(in currency amount) | Unweighted value by residual maturity | Weighted value | ||||
No maturity | < 6 months | 6 months to < 1yr | ≥ 1yr | |||
Available stable funding (ASF) Items | ||||||
1 | Capital items and instruments | |||||
2 | Own funds | |||||
3 | Other capital instruments | |||||
4 | Retail deposits | |||||
5 | Stable deposits | |||||
6 | Less stable deposits | |||||
7 | Wholesale funding: | |||||
8 | Operational deposits | |||||
9 | Other wholesale funding | |||||
10 | Interdependent liabilities | |||||
11 | Other liabilities: | |||||
12 | NSFR derivative liabilities | |||||
13 | All other liabilities and capital instruments not included in the above categories | |||||
14 | Total available stable funding (ASF) | |||||
Required stable funding (RSF) Items | ||||||
15 | Total high-quality liquid assets (HQLA) | |||||
EU-15a | Assets encumbered for a residual maturity of one year or more in a cover pool | |||||
16 | Deposits held at other financial institutions for operational purposes | |||||
17 | Performing loans and securities: | |||||
18 | Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut | |||||
19 | Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions | |||||
20 | Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: | |||||
21 | With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | |||||
22 | Performing residential mortgages, of which: | |||||
23 | With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | |||||
24 | Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products | |||||
25 | Interdependent assets | |||||
26 | Other assets: | |||||
27 | Physical traded commodities | |||||
28 | Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs | |||||
29 | NSFR derivative assets | |||||
30 | NSFR derivative liabilities before deduction of variation margin posted | |||||
31 | All other assets not included in the above categories | |||||
32 | Off-balance sheet items | |||||
33 | Total RSF | |||||
34 | Net Stable Funding Ratio (%) | |||||