# L_2016060EN.01000501.xml

| 5.3.2016 | EN | Official Journal of the European Union | L 60/5 |
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5.3.2016

EN

Official Journal of the European Union

L 60/5

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COMMISSION IMPLEMENTING REGULATION (EU) 2016/313

of 1 March 2016

amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular the fourth subparagraph of Article 415(3) thereof,

Whereas:

| (1) | Chapter 7 of Commission Implementing Regulation (EU) No 680/2014 (2) provides for liquidity reporting by credit institutions on an individual and a consolidated basis. In order to increase effective liquidity supervision, it is appropriate to require the reporting of additional liquidity monitoring metrics as referred to in Article 415(3)(b) of Regulation (EU) No 575/2013. This should provide a more complete overview of the liquidity position of an institution, proportionate to the nature, scale and complexity of an institution's activities |
| --- | --- |

(1)

Chapter 7 of Commission Implementing Regulation (EU) No 680/2014 (2) provides for liquidity reporting by credit institutions on an individual and a consolidated basis. In order to increase effective liquidity supervision, it is appropriate to require the reporting of additional liquidity monitoring metrics as referred to in Article 415(3)(b) of Regulation (EU) No 575/2013. This should provide a more complete overview of the liquidity position of an institution, proportionate to the nature, scale and complexity of an institution's activities

| (2) | The additional liquidity monitoring metrics to be reported should include: metrics based on the concentration of funding by counterparty and product type, as those metrics identify counterparties and instruments that are of such relevance that withdrawal of funds or declining market liquidity could trigger liquidity problems; metrics based on the concentration of the counterbalancing capacity by issuer or counterparty, as those metrics provide information about the reporting institutions' concentration by the 10 largest holdings of assets or liquidity lines granted to the institution; and metrics based on the prices for various lengths of funding and the rollover of funding, which represents information valuable over time as supervisors are made aware of changes in funding spreads, volumes and tenors. |
| --- | --- |

(2)

The additional liquidity monitoring metrics to be reported should include: metrics based on the concentration of funding by counterparty and product type, as those metrics identify counterparties and instruments that are of such relevance that withdrawal of funds or declining market liquidity could trigger liquidity problems; metrics based on the concentration of the counterbalancing capacity by issuer or counterparty, as those metrics provide information about the reporting institutions' concentration by the 10 largest holdings of assets or liquidity lines granted to the institution; and metrics based on the prices for various lengths of funding and the rollover of funding, which represents information valuable over time as supervisors are made aware of changes in funding spreads, volumes and tenors.

| (3) | Reporting for additional liquidity monitoring metrics should be used by competent authorities as part of their supervisory review and evaluation process, as well as within colleges of supervisors and as an early warning tool for day-to-day supervision. |
| --- | --- |

(3)

Reporting for additional liquidity monitoring metrics should be used by competent authorities as part of their supervisory review and evaluation process, as well as within colleges of supervisors and as an early warning tool for day-to-day supervision.

| (4) | The reporting of additional liquidity monitoring metrics should be aligned with the level of application and reporting for the liquidity coverage requirement in accordance with Articles 6 to 10 and Article 415(3)(a) of Regulation (EU) No 575/2013. |
| --- | --- |

(4)

The reporting of additional liquidity monitoring metrics should be aligned with the level of application and reporting for the liquidity coverage requirement in accordance with Articles 6 to 10 and Article 415(3)(a) of Regulation (EU) No 575/2013.

| (5) | In order to ensure proportionality, quarterly reporting should be allowed instead of monthly reporting, where an institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority and the balance sheet total of the institution represents only a small proportion of the sum of individual balance sheet totals of all institutions in the respective Member State and the institution has total assets which are not significant. |
| --- | --- |

(5)

In order to ensure proportionality, quarterly reporting should be allowed instead of monthly reporting, where an institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority and the balance sheet total of the institution represents only a small proportion of the sum of individual balance sheet totals of all institutions in the respective Member State and the institution has total assets which are not significant.

| (6) | Given the importance of the reporting of additional liquidity monitoring metrics for proper supervision and as an early warning tool for day-to-day supervision, this Regulation should be applied promptly. However, to facilitate the initial implementation of this Regulation by institutions and competent authorities, during the first six months of its application, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics should be the 30th, instead of the 15th, calendar day after the reporting reference date. |
| --- | --- |

(6)

Given the importance of the reporting of additional liquidity monitoring metrics for proper supervision and as an early warning tool for day-to-day supervision, this Regulation should be applied promptly. However, to facilitate the initial implementation of this Regulation by institutions and competent authorities, during the first six months of its application, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics should be the 30th, instead of the 15th, calendar day after the reporting reference date.

| (7) | This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission. |
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(7)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.

| (8) | EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3). |
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(8)

EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3).

| (9) | In accordance with the procedure set out in Article 15 of Regulation (EU) No 1093/2010, the Commission has endorsed with amendments the draft implementing standard submitted by EBA explaining the reasons for the amendments. EBA provided a formal opinion, accepting the proposed amendments with the exception of those relating to the reporting of liquid assets and expected cash outflows and inflows (‘the maturity ladder’), providing a number of reasons for its approach. |
| --- | --- |

(9)

In accordance with the procedure set out in Article 15 of Regulation (EU) No 1093/2010, the Commission has endorsed with amendments the draft implementing standard submitted by EBA explaining the reasons for the amendments. EBA provided a formal opinion, accepting the proposed amendments with the exception of those relating to the reporting of liquid assets and expected cash outflows and inflows (‘the maturity ladder’), providing a number of reasons for its approach.

| (10) | The Commission has carefully assessed the reasons provided by EBA in favour of adopting reporting rules for the maturity ladder based on the provisional reporting approach in Regulation (EU) No 575/2013. That approach will, however, need to be amended in order to be fully aligned with the definitive approach set out in Commission Delegated Regulation (EU) 2015/61 (4) which applies from 1 October 2015. |
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(10)

The Commission has carefully assessed the reasons provided by EBA in favour of adopting reporting rules for the maturity ladder based on the provisional reporting approach in Regulation (EU) No 575/2013. That approach will, however, need to be amended in order to be fully aligned with the definitive approach set out in Commission Delegated Regulation (EU) 2015/61 (4) which applies from 1 October 2015.

| (11) | The Commission fully recognises the importance of the maturity ladder as a supervisory instrument. However, the Commission considers that, currently, the supervisory benefits achieved by the mandatory reporting of a maturity ladder based on an outdated approach to reporting are disproportionate to the additional regulatory burden and duplication of compliance costs. EBA should seek to update the maturity ladder based on a reporting fully aligned with Delegated Regulation (EU) 2015/61 as soon as possible and submit to the Commission for adoption. In the interim and pending the future adoption of mandatory reporting for the maturity ladder, where necessary and justified, supervisors may seek additional reporting not provided for by this Implementing Regulation, including under Article 412(5) of Regulation (EU) No 575/2013. |
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(11)

The Commission fully recognises the importance of the maturity ladder as a supervisory instrument. However, the Commission considers that, currently, the supervisory benefits achieved by the mandatory reporting of a maturity ladder based on an outdated approach to reporting are disproportionate to the additional regulatory burden and duplication of compliance costs. EBA should seek to update the maturity ladder based on a reporting fully aligned with Delegated Regulation (EU) 2015/61 as soon as possible and submit to the Commission for adoption. In the interim and pending the future adoption of mandatory reporting for the maturity ladder, where necessary and justified, supervisors may seek additional reporting not provided for by this Implementing Regulation, including under Article 412(5) of Regulation (EU) No 575/2013.

| (12) | Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly, |
| --- | --- |

(12)

Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows:

| 1. | in Article 1, the following point (g) is added:






  ‘(g) | additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.’; |
| --- | --- | --- |

1.

in Article 1, the following point (g) is added:

‘(g)

| 2. | the following Chapter 7b is inserted:


  ‘CHAPTER 7b


  FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS



  Article 16b

  1.   In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:






  (a) | the information specified in Annex XVIII in accordance with the instructions in Annex XIX; |
| --- | --- | --- |

2.

the following Chapter 7b is inserted:

‘CHAPTER 7b

FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 16b

1.   In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:

(a)

the information specified in Annex XVIII in accordance with the instructions in Annex XIX;

| (b) | the information specified in Annex XX in accordance with the instructions in Annex XXI. |
| --- | --- |

(b)

the information specified in Annex XX in accordance with the instructions in Annex XXI.

2.   By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:

| (a) | the institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority; |
| --- | --- |

(a)

the institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority;

| (b) | the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting; |
| --- | --- |

(b)

the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting;

| (c) | the institution has total assets, calculated in accordance with Council Directive 86/635/EEC (*1), of less than EUR 30 billion. |
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(c)

the institution has total assets, calculated in accordance with Council Directive 86/635/EEC (*1), of less than EUR 30 billion.

For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.

3.   For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.

(*1)  Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).’;"

*1

| 3. | in Article 18, the following sixth paragraph is added:
  ‘By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.’; |
| --- | --- |

3.

in Article 18, the following sixth paragraph is added:

‘By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.’;

| 4. | Annexes XVIII to XXI are added in accordance with the text set out in the Annex to this Regulation. |
| --- | --- |

4.

Annexes XVIII to XXI are added in accordance with the text set out in the Annex to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 1 March 2016.

For the Commission

The President

Jean-Claude JUNCKER

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(1)  
  OJ L 176, 27.6.2013, p. 1.

1

(2)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

2

(3)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

3

(4)  Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

4

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ANNEX

‘ANNEX XVIII

ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013

| ALMM TEMPLATES |
| --- |
| Template number | Template code | Name of the template/group of templates |
| | ADDITIONAL MONITORING TOOLS TEMPLATES |
| 67 | C 67.00 | CONCENTRATION OF FUNDING BY COUNTERPARTY |
| 68 | C 68.00 | CONCENTRATION OF FUNDING BY PRODUCT TYPE |
| 69 | C 69.00 | PRICES FOR VARIOUS LENGTHS OF FUNDING |
| 70 | C 70.00 | ROLL-OVER OF FUNDING |

ALMM TEMPLATES

Template number

Template code

Name of the template/group of templates

ADDITIONAL MONITORING TOOLS TEMPLATES

67

C 67.00

CONCENTRATION OF FUNDING BY COUNTERPARTY

68

C 68.00

CONCENTRATION OF FUNDING BY PRODUCT TYPE

69

C 69.00

PRICES FOR VARIOUS LENGTHS OF FUNDING

70

C 70.00

ROLL-OVER OF FUNDING

C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY

| z-axis | Total and significant currencies |
| --- | --- |

z-axis

| Concentration of funding by counterparty |
| --- |
| | Counterparty Name | LEI Code | Counterparty Sector | Residence of Counterparty | Product Type | Amount Received | Weighted average initial maturity | Weighted average residual maturity |
| Row | ID | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 |
| 010 | 1. | TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES |

Concentration of funding by counterparty

Counterparty Name

LEI Code

Counterparty Sector

Residence of Counterparty

Product Type

Amount Received

Weighted average initial maturity

Weighted average residual maturity

Row

ID

010

020

030

040

050

060

070

080

010

1.

020

1,01

030

1,02

040

1,03

050

1,04

060

1,05

070

1,06

080

1,07

090

1,08

100

1,09

110

1,10

120

| 2. | ALL OTHER LIABILITIES |
| --- | --- |

2.

C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE

| z-axis | Total and significant currencies |
| --- | --- |

z-axis

| Concentration of funding by product type |
| --- |
| Row | ID | Product Name | Total amount received | Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Weighted average initial maturity | Weighted average residual maturity |
| | | | 010 | 020 | 030 | 040 | 050 |
| PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES |
| 010 | 1 | RETAIL FUNDING | | | | | |
| 020 | 1,1 | Sight deposits | | | | | |
| 030 | 1,2 | Fixed term deposits with an initial maturity less than 30 days | | | | | |
| 040 | 1,3 | Fixed term deposits with an initial maturity greater than 30 days | | | | | |
| 050 | 1.3.1 | with a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity | | | | | |
| 060 | 1.3.2 | without a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity | | | | | |
| 070 | 1,4 | Savings accounts | | | | | |
| 080 | 1.4.1 | with a notice period for withdrawal greater than 30 days | | | | | |
| 090 | 1.4.2 | without a notice period for withdrawal greater than 30 days | | | | | |
| 100 | 2 | WHOLESALE FUNDING | | | | | |
| 110 | 2,1 | Unsecured wholesale funding | | | | | |
| 120 | 2.1.1 | of which financial customers | | | | | |
| 130 | 2.1.2 | of which non-financial customers | | | | | |
| 140 | 2.1.3 | of which from intra-group entities | | | | | |
| 150 | 2,2 | Secured wholesale funding | | | | | |
| 160 | 2.2.1 | of which repurchase agreements | | | | | |
| 170 | 2.2.2 | of which covered bond issuance | | | | | |
| 180 | 2.2.3 | of which asset backed security issuance | | | | | |
| 190 | 2.2.4 | of which from intra-group entities | | | | | |

Concentration of funding by product type

Row

ID

Product Name

Total amount received

Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Weighted average initial maturity

Weighted average residual maturity

010

020

030

040

050

PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES

010

1

RETAIL FUNDING

020

1,1

Sight deposits

030

1,2

Fixed term deposits with an initial maturity less than 30 days

040

1,3

Fixed term deposits with an initial maturity greater than 30 days

050

1.3.1

with a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity

060

1.3.2

without a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity

070

1,4

Savings accounts

080

1.4.1

with a notice period for withdrawal greater than 30 days

090

1.4.2

without a notice period for withdrawal greater than 30 days

100

2

WHOLESALE FUNDING

110

2,1

Unsecured wholesale funding

120

2.1.1

of which financial customers

130

2.1.2

of which non-financial customers

140

2.1.3

of which from intra-group entities

150

2,2

Secured wholesale funding

160

2.2.1

of which repurchase agreements

170

2.2.2

of which covered bond issuance

180

2.2.3

of which asset backed security issuance

190

2.2.4

of which from intra-group entities

C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING

| z-axis | Total and significant currencies |
| --- | --- |

z-axis

| Prices for various lengths of funding |
| --- |
| | Overnight | 1 week | 1 month | 3 months | 6 months | 1 year | 2 years | 5 years | 10 years |
| Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 |
| 010 | 1 | Total Funding | | | | | | | | | | | | | | | | | | |
| 020 | 1,1 | of which: Retail deposits | | | | | | | | | | | | | | | | | | |
| 030 | 1,2 | of which: Unsecured wholesale deposits | | | | | | | | | | | | | | | | | | |
| 040 | 1,3 | of which: Secured funding | | | | | | | | | | | | | | | | | | |
| 050 | 1,4 | of which: Senior unsecured securities | | | | | | | | | | | | | | | | | | |
| 060 | 1,5 | of which: Covered bonds | | | | | | | | | | | | | | | | | | |
| 070 | 1,6 | of which: Asset backed securities including ABCP | | | | | | | | | | | | | | | | | | |

Prices for various lengths of funding

Overnight

1 week

1 month

3 months

6 months

1 year

2 years

5 years

10 years

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Spread

Volume

Row

ID

Item

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

010

1

Total Funding

020

1,1

of which: Retail deposits

030

1,2

of which: Unsecured wholesale deposits

040

1,3

of which: Secured funding

050

1,4

of which: Senior unsecured securities

060

1,5

of which: Covered bonds

070

1,6

of which: Asset backed securities including ABCP

C 70.00 - ROLL-OVER OF FUNDING

| z-axis | Total and significant currencies |
| --- | --- |

z-axis

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 010 | 1.1 | 1 | Total funding | | | | | | | | | | | | |
| 020 | 1.1.1 | Retail deposits | | | | | | | | | | | | |
| 030 | 1.1.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 040 | 1.1.3 | Secured funding | | | | | | | | | | | | |
| 050 | 1.2 | 2 | Total funding | | | | | | | | | | | | |
| 060 | 1.2.1 | Retail deposits | | | | | | | | | | | | |
| 070 | 1.2.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 080 | 1.2.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

010

1.1

1

Total funding

020

1.1.1

Retail deposits

030

1.1.2

Unsecured wholesale deposits

040

1.1.3

Secured funding

050

1.2

2

Total funding

060

1.2.1

Retail deposits

070

1.2.2

Unsecured wholesale deposits

080

1.2.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 010 | 1.1 | 1 | Total funding | | | | | | | | | | | | |
| 020 | 1.1.1 | Retail deposits | | | | | | | | | | | | |
| 030 | 1.1.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 040 | 1.1.3 | Secured funding | | | | | | | | | | | | |
| 050 | 1.2 | 2 | Total funding | | | | | | | | | | | | |
| 060 | 1.2.1 | Retail deposits | | | | | | | | | | | | |
| 070 | 1.2.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 080 | 1.2.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

010

1.1

1

Total funding

020

1.1.1

Retail deposits

030

1.1.2

Unsecured wholesale deposits

040

1.1.3

Secured funding

050

1.2

2

Total funding

060

1.2.1

Retail deposits

070

1.2.2

Unsecured wholesale deposits

080

1.2.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 010 | 1.1 | 1 | Total funding | | | | | | | | | |
| 020 | 1.1.1 | Retail deposits | | | | | | | | | |
| 030 | 1.1.2 | Unsecured wholesale deposits | | | | | | | | | |
| 040 | 1.1.3 | Secured funding | | | | | | | | | |
| 050 | 1.2 | 2 | Total funding | | | | | | | | | |
| 060 | 1.2.1 | Retail deposits | | | | | | | | | |
| 070 | 1.2.2 | Unsecured wholesale deposits | | | | | | | | | |
| 080 | 1.2.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

010

1.1

1

Total funding

020

1.1.1

Retail deposits

030

1.1.2

Unsecured wholesale deposits

040

1.1.3

Secured funding

050

1.2

2

Total funding

060

1.2.1

Retail deposits

070

1.2.2

Unsecured wholesale deposits

080

1.2.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 090 | 1.3 | 3 | Total funding | | | | | | | | | | | | |
| 100 | 1.3.1 | Retail deposits | | | | | | | | | | | | |
| 110 | 1.3.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 120 | 1.3.3 | Secured funding | | | | | | | | | | | | |
| 130 | 1.4 | 4 | Total funding | | | | | | | | | | | | |
| 140 | 1.4.1 | Retail deposits | | | | | | | | | | | | |
| 150 | 1.4.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 160 | 1.4.3 | Secured funding | | | | | | | | | | | | |
| 170 | 1.5 | 5 | Total funding | | | | | | | | | | | | |
| 180 | 1.5.1 | Retail deposits | | | | | | | | | | | | |
| 190 | 1.5.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 200 | 1.5.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

090

1.3

3

Total funding

100

1.3.1

Retail deposits

110

1.3.2

Unsecured wholesale deposits

120

1.3.3

Secured funding

130

1.4

4

Total funding

140

1.4.1

Retail deposits

150

1.4.2

Unsecured wholesale deposits

160

1.4.3

Secured funding

170

1.5

5

Total funding

180

1.5.1

Retail deposits

190

1.5.2

Unsecured wholesale deposits

200

1.5.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 090 | 1.3 | 3 | Total funding | | | | | | | | | | | | |
| 100 | 1.3.1 | Retail deposits | | | | | | | | | | | | |
| 110 | 1.3.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 120 | 1.3.3 | Secured funding | | | | | | | | | | | | |
| 130 | 1.4 | 4 | Total funding | | | | | | | | | | | | |
| 140 | 1.4.1 | Retail deposits | | | | | | | | | | | | |
| 150 | 1.4.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 160 | 1.4.3 | Secured funding | | | | | | | | | | | | |
| 170 | 1.5 | 5 | Total funding | | | | | | | | | | | | |
| 180 | 1.5.1 | Retail deposits | | | | | | | | | | | | |
| 190 | 1.5.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 200 | 1.5.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

090

1.3

3

Total funding

100

1.3.1

Retail deposits

110

1.3.2

Unsecured wholesale deposits

120

1.3.3

Secured funding

130

1.4

4

Total funding

140

1.4.1

Retail deposits

150

1.4.2

Unsecured wholesale deposits

160

1.4.3

Secured funding

170

1.5

5

Total funding

180

1.5.1

Retail deposits

190

1.5.2

Unsecured wholesale deposits

200

1.5.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 090 | 1.3 | 3 | Total funding | | | | | | | | | |
| 100 | 1.3.1 | Retail deposits | | | | | | | | | |
| 110 | 1.3.2 | Unsecured wholesale deposits | | | | | | | | | |
| 120 | 1.3.3 | Secured funding | | | | | | | | | |
| 130 | 1.4 | 4 | Total funding | | | | | | | | | |
| 140 | 1.4.1 | Retail deposits | | | | | | | | | |
| 150 | 1.4.2 | Unsecured wholesale deposits | | | | | | | | | |
| 160 | 1.4.3 | Secured funding | | | | | | | | | |
| 170 | 1.5 | 5 | Total funding | | | | | | | | | |
| 180 | 1.5.1 | Retail deposits | | | | | | | | | |
| 190 | 1.5.2 | Unsecured wholesale deposits | | | | | | | | | |
| 200 | 1.5.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

090

1.3

3

Total funding

100

1.3.1

Retail deposits

110

1.3.2

Unsecured wholesale deposits

120

1.3.3

Secured funding

130

1.4

4

Total funding

140

1.4.1

Retail deposits

150

1.4.2

Unsecured wholesale deposits

160

1.4.3

Secured funding

170

1.5

5

Total funding

180

1.5.1

Retail deposits

190

1.5.2

Unsecured wholesale deposits

200

1.5.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 210 | 1.6 | 6 | Total funding | | | | | | | | | | | | |
| 220 | 1.6.1 | Retail deposits | | | | | | | | | | | | |
| 230 | 1.6.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 240 | 1.6.3 | Secured funding | | | | | | | | | | | | |
| 250 | 1.7 | 7 | Total funding | | | | | | | | | | | | |
| 260 | 1.7.1 | Retail deposits | | | | | | | | | | | | |
| 270 | 1.7.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 280 | 1.7.3 | Secured funding | | | | | | | | | | | | |
| 290 | 1.8 | 8 | Total funding | | | | | | | | | | | | |
| 300 | 1.8.1 | Retail deposits | | | | | | | | | | | | |
| 310 | 1.8.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 320 | 1.8.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

210

1.6

6

Total funding

220

1.6.1

Retail deposits

230

1.6.2

Unsecured wholesale deposits

240

1.6.3

Secured funding

250

1.7

7

Total funding

260

1.7.1

Retail deposits

270

1.7.2

Unsecured wholesale deposits

280

1.7.3

Secured funding

290

1.8

8

Total funding

300

1.8.1

Retail deposits

310

1.8.2

Unsecured wholesale deposits

320

1.8.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 210 | 1.6 | 6 | Total funding | | | | | | | | | | | | |
| 220 | 1.6.1 | Retail deposits | | | | | | | | | | | | |
| 230 | 1.6.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 240 | 1.6.3 | Secured funding | | | | | | | | | | | | |
| 250 | 1.7 | 7 | Total funding | | | | | | | | | | | | |
| 260 | 1.7.1 | Retail deposits | | | | | | | | | | | | |
| 270 | 1.7.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 280 | 1.7.3 | Secured funding | | | | | | | | | | | | |
| 290 | 1.8 | 8 | Total funding | | | | | | | | | | | | |
| 300 | 1.8.1 | Retail deposits | | | | | | | | | | | | |
| 310 | 1.8.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 320 | 1.8.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

210

1.6

6

Total funding

220

1.6.1

Retail deposits

230

1.6.2

Unsecured wholesale deposits

240

1.6.3

Secured funding

250

1.7

7

Total funding

260

1.7.1

Retail deposits

270

1.7.2

Unsecured wholesale deposits

280

1.7.3

Secured funding

290

1.8

8

Total funding

300

1.8.1

Retail deposits

310

1.8.2

Unsecured wholesale deposits

320

1.8.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 210 | 1.6 | 6 | Total funding | | | | | | | | | |
| 220 | 1.6.1 | Retail deposits | | | | | | | | | |
| 230 | 1.6.2 | Unsecured wholesale deposits | | | | | | | | | |
| 240 | 1.6.3 | Secured funding | | | | | | | | | |
| 250 | 1.7 | 7 | Total funding | | | | | | | | | |
| 260 | 1.7.1 | Retail deposits | | | | | | | | | |
| 270 | 1.7.2 | Unsecured wholesale deposits | | | | | | | | | |
| 280 | 1.7.3 | Secured funding | | | | | | | | | |
| 290 | 1.8 | 8 | Total funding | | | | | | | | | |
| 300 | 1.8.1 | Retail deposits | | | | | | | | | |
| 310 | 1.8.2 | Unsecured wholesale deposits | | | | | | | | | |
| 320 | 1.8.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

210

1.6

6

Total funding

220

1.6.1

Retail deposits

230

1.6.2

Unsecured wholesale deposits

240

1.6.3

Secured funding

250

1.7

7

Total funding

260

1.7.1

Retail deposits

270

1.7.2

Unsecured wholesale deposits

280

1.7.3

Secured funding

290

1.8

8

Total funding

300

1.8.1

Retail deposits

310

1.8.2

Unsecured wholesale deposits

320

1.8.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 330 | 1.9 | 9 | Total funding | | | | | | | | | | | | |
| 340 | 1.9.1 | Retail deposits | | | | | | | | | | | | |
| 350 | 1.9.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 360 | 1.9.3 | Secured funding | | | | | | | | | | | | |
| 370 | 1.10 | 10 | Total funding | | | | | | | | | | | | |
| 380 | 1.10.1 | Retail deposits | | | | | | | | | | | | |
| 390 | 1.10.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 400 | 1.10.3 | Secured funding | | | | | | | | | | | | |
| 410 | 1.11 | 11 | Total funding | | | | | | | | | | | | |
| 420 | 1.11.1 | Retail deposits | | | | | | | | | | | | |
| 430 | 1.11.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 440 | 1.11.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

330

1.9

9

Total funding

340

1.9.1

Retail deposits

350

1.9.2

Unsecured wholesale deposits

360

1.9.3

Secured funding

370

1.10

10

Total funding

380

1.10.1

Retail deposits

390

1.10.2

Unsecured wholesale deposits

400

1.10.3

Secured funding

410

1.11

11

Total funding

420

1.11.1

Retail deposits

430

1.11.2

Unsecured wholesale deposits

440

1.11.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 330 | 1.9 | 9 | Total funding | | | | | | | | | | | | |
| 340 | 1.9.1 | Retail deposits | | | | | | | | | | | | |
| 350 | 1.9.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 360 | 1.9.3 | Secured funding | | | | | | | | | | | | |
| 370 | 1.10 | 10 | Total funding | | | | | | | | | | | | |
| 380 | 1.10.1 | Retail deposits | | | | | | | | | | | | |
| 390 | 1.10.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 400 | 1.10.3 | Secured funding | | | | | | | | | | | | |
| 410 | 1.11 | 11 | Total funding | | | | | | | | | | | | |
| 420 | 1.11.1 | Retail deposits | | | | | | | | | | | | |
| 430 | 1.11.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 440 | 1.11.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

330

1.9

9

Total funding

340

1.9.1

Retail deposits

350

1.9.2

Unsecured wholesale deposits

360

1.9.3

Secured funding

370

1.10

10

Total funding

380

1.10.1

Retail deposits

390

1.10.2

Unsecured wholesale deposits

400

1.10.3

Secured funding

410

1.11

11

Total funding

420

1.11.1

Retail deposits

430

1.11.2

Unsecured wholesale deposits

440

1.11.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 330 | 1.9 | 9 | Total funding | | | | | | | | | |
| 340 | 1.9.1 | Retail deposits | | | | | | | | | |
| 350 | 1.9.2 | Unsecured wholesale deposits | | | | | | | | | |
| 360 | 1.9.3 | Secured funding | | | | | | | | | |
| 370 | 1.10 | 10 | Total funding | | | | | | | | | |
| 380 | 1.10.1 | Retail deposits | | | | | | | | | |
| 390 | 1.10.2 | Unsecured wholesale deposits | | | | | | | | | |
| 400 | 1.10.3 | Secured funding | | | | | | | | | |
| 410 | 1.11 | 11 | Total funding | | | | | | | | | |
| 420 | 1.11.1 | Retail deposits | | | | | | | | | |
| 430 | 1.11.2 | Unsecured wholesale deposits | | | | | | | | | |
| 440 | 1.11.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

330

1.9

9

Total funding

340

1.9.1

Retail deposits

350

1.9.2

Unsecured wholesale deposits

360

1.9.3

Secured funding

370

1.10

10

Total funding

380

1.10.1

Retail deposits

390

1.10.2

Unsecured wholesale deposits

400

1.10.3

Secured funding

410

1.11

11

Total funding

420

1.11.1

Retail deposits

430

1.11.2

Unsecured wholesale deposits

440

1.11.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 450 | 1.12 | 12 | Total funding | | | | | | | | | | | | |
| 460 | 1.12.1 | Retail deposits | | | | | | | | | | | | |
| 470 | 1.12.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 480 | 1.12.3 | Secured funding | | | | | | | | | | | | |
| 490 | 1.13 | 13 | Total funding | | | | | | | | | | | | |
| 500 | 1.13.1 | Retail deposits | | | | | | | | | | | | |
| 510 | 1.13.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 520 | 1.13.3 | Secured funding | | | | | | | | | | | | |
| 530 | 1.14 | 14 | Total funding | | | | | | | | | | | | |
| 540 | 1.14.1 | Retail deposits | | | | | | | | | | | | |
| 550 | 1.14.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 560 | 1.14.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

450

1.12

12

Total funding

460

1.12.1

Retail deposits

470

1.12.2

Unsecured wholesale deposits

480

1.12.3

Secured funding

490

1.13

13

Total funding

500

1.13.1

Retail deposits

510

1.13.2

Unsecured wholesale deposits

520

1.13.3

Secured funding

530

1.14

14

Total funding

540

1.14.1

Retail deposits

550

1.14.2

Unsecured wholesale deposits

560

1.14.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 450 | 1.12 | 12 | Total funding | | | | | | | | | | | | |
| 460 | 1.12.1 | Retail deposits | | | | | | | | | | | | |
| 470 | 1.12.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 480 | 1.12.3 | Secured funding | | | | | | | | | | | | |
| 490 | 1.13 | 13 | Total funding | | | | | | | | | | | | |
| 500 | 1.13.1 | Retail deposits | | | | | | | | | | | | |
| 510 | 1.13.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 520 | 1.13.3 | Secured funding | | | | | | | | | | | | |
| 530 | 1.14 | 14 | Total funding | | | | | | | | | | | | |
| 540 | 1.14.1 | Retail deposits | | | | | | | | | | | | |
| 550 | 1.14.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 560 | 1.14.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

450

1.12

12

Total funding

460

1.12.1

Retail deposits

470

1.12.2

Unsecured wholesale deposits

480

1.12.3

Secured funding

490

1.13

13

Total funding

500

1.13.1

Retail deposits

510

1.13.2

Unsecured wholesale deposits

520

1.13.3

Secured funding

530

1.14

14

Total funding

540

1.14.1

Retail deposits

550

1.14.2

Unsecured wholesale deposits

560

1.14.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 450 | 1.12 | 12 | Total funding | | | | | | | | | |
| 460 | 1.12.1 | Retail deposits | | | | | | | | | |
| 470 | 1.12.2 | Unsecured wholesale deposits | | | | | | | | | |
| 480 | 1.12.3 | Secured funding | | | | | | | | | |
| 490 | 1.13 | 13 | Total funding | | | | | | | | | |
| 500 | 1.13.1 | Retail deposits | | | | | | | | | |
| 510 | 1.13.2 | Unsecured wholesale deposits | | | | | | | | | |
| 520 | 1.13.3 | Secured funding | | | | | | | | | |
| 530 | 1.14 | 14 | Total funding | | | | | | | | | |
| 540 | 1.14.1 | Retail deposits | | | | | | | | | |
| 550 | 1.14.2 | Unsecured wholesale deposits | | | | | | | | | |
| 560 | 1.14.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

450

1.12

12

Total funding

460

1.12.1

Retail deposits

470

1.12.2

Unsecured wholesale deposits

480

1.12.3

Secured funding

490

1.13

13

Total funding

500

1.13.1

Retail deposits

510

1.13.2

Unsecured wholesale deposits

520

1.13.3

Secured funding

530

1.14

14

Total funding

540

1.14.1

Retail deposits

550

1.14.2

Unsecured wholesale deposits

560

1.14.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 570 | 1.15 | 15 | Total funding | | | | | | | | | | | | |
| 580 | 1.15.1 | Retail deposits | | | | | | | | | | | | |
| 590 | 1.15.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 600 | 1.15.3 | Secured funding | | | | | | | | | | | | |
| 610 | 1.16 | 16 | Total funding | | | | | | | | | | | | |
| 620 | 1.16.1 | Retail deposits | | | | | | | | | | | | |
| 630 | 1.16.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 640 | 1.16.3 | Secured funding | | | | | | | | | | | | |
| 650 | 1.17 | 17 | Total funding | | | | | | | | | | | | |
| 660 | 1.17.1 | Retail deposits | | | | | | | | | | | | |
| 670 | 1.17.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 680 | 1.17.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

570

1.15

15

Total funding

580

1.15.1

Retail deposits

590

1.15.2

Unsecured wholesale deposits

600

1.15.3

Secured funding

610

1.16

16

Total funding

620

1.16.1

Retail deposits

630

1.16.2

Unsecured wholesale deposits

640

1.16.3

Secured funding

650

1.17

17

Total funding

660

1.17.1

Retail deposits

670

1.17.2

Unsecured wholesale deposits

680

1.17.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 570 | 1.15 | 15 | Total funding | | | | | | | | | | | | |
| 580 | 1.15.1 | Retail deposits | | | | | | | | | | | | |
| 590 | 1.15.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 600 | 1.15.3 | Secured funding | | | | | | | | | | | | |
| 610 | 1.16 | 16 | Total funding | | | | | | | | | | | | |
| 620 | 1.16.1 | Retail deposits | | | | | | | | | | | | |
| 630 | 1.16.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 640 | 1.16.3 | Secured funding | | | | | | | | | | | | |
| 650 | 1.17 | 17 | Total funding | | | | | | | | | | | | |
| 660 | 1.17.1 | Retail deposits | | | | | | | | | | | | |
| 670 | 1.17.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 680 | 1.17.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

570

1.15

15

Total funding

580

1.15.1

Retail deposits

590

1.15.2

Unsecured wholesale deposits

600

1.15.3

Secured funding

610

1.16

16

Total funding

620

1.16.1

Retail deposits

630

1.16.2

Unsecured wholesale deposits

640

1.16.3

Secured funding

650

1.17

17

Total funding

660

1.17.1

Retail deposits

670

1.17.2

Unsecured wholesale deposits

680

1.17.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 570 | 1.15 | 15 | Total funding | | | | | | | | | |
| 580 | 1.15.1 | Retail deposits | | | | | | | | | |
| 590 | 1.15.2 | Unsecured wholesale deposits | | | | | | | | | |
| 600 | 1.15.3 | Secured funding | | | | | | | | | |
| 610 | 1.16 | 16 | Total funding | | | | | | | | | |
| 620 | 1.16.1 | Retail deposits | | | | | | | | | |
| 630 | 1.16.2 | Unsecured wholesale deposits | | | | | | | | | |
| 640 | 1.16.3 | Secured funding | | | | | | | | | |
| 650 | 1.17 | 17 | Total funding | | | | | | | | | |
| 660 | 1.17.1 | Retail deposits | | | | | | | | | |
| 670 | 1.17.2 | Unsecured wholesale deposits | | | | | | | | | |
| 680 | 1.17.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

570

1.15

15

Total funding

580

1.15.1

Retail deposits

590

1.15.2

Unsecured wholesale deposits

600

1.15.3

Secured funding

610

1.16

16

Total funding

620

1.16.1

Retail deposits

630

1.16.2

Unsecured wholesale deposits

640

1.16.3

Secured funding

650

1.17

17

Total funding

660

1.17.1

Retail deposits

670

1.17.2

Unsecured wholesale deposits

680

1.17.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 690 | 1.18 | 18 | Total funding | | | | | | | | | | | | |
| 700 | 1.18.1 | Retail deposits | | | | | | | | | | | | |
| 710 | 1.18.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 720 | 1.18.3 | Secured funding | | | | | | | | | | | | |
| 730 | 1.19 | 19 | Total funding | | | | | | | | | | | | |
| 740 | 1.19.1 | Retail deposits | | | | | | | | | | | | |
| 750 | 1.19.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 760 | 1.19.3 | Secured funding | | | | | | | | | | | | |
| 770 | 1.20 | 20 | Total funding | | | | | | | | | | | | |
| 780 | 1.20.1 | Retail deposits | | | | | | | | | | | | |
| 790 | 1.20.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 800 | 1.20.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

690

1.18

18

Total funding

700

1.18.1

Retail deposits

710

1.18.2

Unsecured wholesale deposits

720

1.18.3

Secured funding

730

1.19

19

Total funding

740

1.19.1

Retail deposits

750

1.19.2

Unsecured wholesale deposits

760

1.19.3

Secured funding

770

1.20

20

Total funding

780

1.20.1

Retail deposits

790

1.20.2

Unsecured wholesale deposits

800

1.20.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 690 | 1.18 | 18 | Total funding | | | | | | | | | | | | |
| 700 | 1.18.1 | Retail deposits | | | | | | | | | | | | |
| 710 | 1.18.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 720 | 1.18.3 | Secured funding | | | | | | | | | | | | |
| 730 | 1.19 | 19 | Total funding | | | | | | | | | | | | |
| 740 | 1.19.1 | Retail deposits | | | | | | | | | | | | |
| 750 | 1.19.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 760 | 1.19.3 | Secured funding | | | | | | | | | | | | |
| 770 | 1.20 | 20 | Total funding | | | | | | | | | | | | |
| 780 | 1.20.1 | Retail deposits | | | | | | | | | | | | |
| 790 | 1.20.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 800 | 1.20.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

690

1.18

18

Total funding

700

1.18.1

Retail deposits

710

1.18.2

Unsecured wholesale deposits

720

1.18.3

Secured funding

730

1.19

19

Total funding

740

1.19.1

Retail deposits

750

1.19.2

Unsecured wholesale deposits

760

1.19.3

Secured funding

770

1.20

20

Total funding

780

1.20.1

Retail deposits

790

1.20.2

Unsecured wholesale deposits

800

1.20.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 690 | 1.18 | 18 | Total funding | | | | | | | | | |
| 700 | 1.18.1 | Retail deposits | | | | | | | | | |
| 710 | 1.18.2 | Unsecured wholesale deposits | | | | | | | | | |
| 720 | 1.18.3 | Secured funding | | | | | | | | | |
| 730 | 1.19 | 19 | Total funding | | | | | | | | | |
| 740 | 1.19.1 | Retail deposits | | | | | | | | | |
| 750 | 1.19.2 | Unsecured wholesale deposits | | | | | | | | | |
| 760 | 1.19.3 | Secured funding | | | | | | | | | |
| 770 | 1.20 | 20 | Total funding | | | | | | | | | |
| 780 | 1.20.1 | Retail deposits | | | | | | | | | |
| 790 | 1.20.2 | Unsecured wholesale deposits | | | | | | | | | |
| 800 | 1.20.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

690

1.18

18

Total funding

700

1.18.1

Retail deposits

710

1.18.2

Unsecured wholesale deposits

720

1.18.3

Secured funding

730

1.19

19

Total funding

740

1.19.1

Retail deposits

750

1.19.2

Unsecured wholesale deposits

760

1.19.3

Secured funding

770

1.20

20

Total funding

780

1.20.1

Retail deposits

790

1.20.2

Unsecured wholesale deposits

800

1.20.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 810 | 1.21 | 21 | Total funding | | | | | | | | | | | | |
| 820 | 1.21.1 | Retail deposits | | | | | | | | | | | | |
| 830 | 1.21.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 840 | 1.21.3 | Secured funding | | | | | | | | | | | | |
| 850 | 1.22 | 22 | Total funding | | | | | | | | | | | | |
| 860 | 1.22.1 | Retail deposits | | | | | | | | | | | | |
| 870 | 1.22.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 880 | 1.22.3 | Secured funding | | | | | | | | | | | | |
| 890 | 1.23 | 23 | Total funding | | | | | | | | | | | | |
| 900 | 1.23.1 | Retail deposits | | | | | | | | | | | | |
| 910 | 1.23.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 920 | 1.23.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

810

1.21

21

Total funding

820

1.21.1

Retail deposits

830

1.21.2

Unsecured wholesale deposits

840

1.21.3

Secured funding

850

1.22

22

Total funding

860

1.22.1

Retail deposits

870

1.22.2

Unsecured wholesale deposits

880

1.22.3

Secured funding

890

1.23

23

Total funding

900

1.23.1

Retail deposits

910

1.23.2

Unsecured wholesale deposits

920

1.23.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 810 | 1.21 | 21 | Total funding | | | | | | | | | | | | |
| 820 | 1.21.1 | Retail deposits | | | | | | | | | | | | |
| 830 | 1.21.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 840 | 1.21.3 | Secured funding | | | | | | | | | | | | |
| 850 | 1.22 | 22 | Total funding | | | | | | | | | | | | |
| 860 | 1.22.1 | Retail deposits | | | | | | | | | | | | |
| 870 | 1.22.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 880 | 1.22.3 | Secured funding | | | | | | | | | | | | |
| 890 | 1.23 | 23 | Total funding | | | | | | | | | | | | |
| 900 | 1.23.1 | Retail deposits | | | | | | | | | | | | |
| 910 | 1.23.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 920 | 1.23.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

810

1.21

21

Total funding

820

1.21.1

Retail deposits

830

1.21.2

Unsecured wholesale deposits

840

1.21.3

Secured funding

850

1.22

22

Total funding

860

1.22.1

Retail deposits

870

1.22.2

Unsecured wholesale deposits

880

1.22.3

Secured funding

890

1.23

23

Total funding

900

1.23.1

Retail deposits

910

1.23.2

Unsecured wholesale deposits

920

1.23.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 810 | 1.21 | 21 | Total funding | | | | | | | | | |
| 820 | 1.21.1 | Retail deposits | | | | | | | | | |
| 830 | 1.21.2 | Unsecured wholesale deposits | | | | | | | | | |
| 840 | 1.21.3 | Secured funding | | | | | | | | | |
| 850 | 1.22 | 22 | Total funding | | | | | | | | | |
| 860 | 1.22.1 | Retail deposits | | | | | | | | | |
| 870 | 1.22.2 | Unsecured wholesale deposits | | | | | | | | | |
| 880 | 1.22.3 | Secured funding | | | | | | | | | |
| 890 | 1.23 | 23 | Total funding | | | | | | | | | |
| 900 | 1.23.1 | Retail deposits | | | | | | | | | |
| 910 | 1.23.2 | Unsecured wholesale deposits | | | | | | | | | |
| 920 | 1.23.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

810

1.21

21

Total funding

820

1.21.1

Retail deposits

830

1.21.2

Unsecured wholesale deposits

840

1.21.3

Secured funding

850

1.22

22

Total funding

860

1.22.1

Retail deposits

870

1.22.2

Unsecured wholesale deposits

880

1.22.3

Secured funding

890

1.23

23

Total funding

900

1.23.1

Retail deposits

910

1.23.2

Unsecured wholesale deposits

920

1.23.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 930 | 1.24 | 24 | Total funding | | | | | | | | | | | | |
| 940 | 1.24.1 | Retail deposits | | | | | | | | | | | | |
| 950 | 1.24.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 960 | 1.24.3 | Secured funding | | | | | | | | | | | | |
| 970 | 1.25 | 25 | Total funding | | | | | | | | | | | | |
| 980 | 1.25.1 | Retail deposits | | | | | | | | | | | | |
| 990 | 1.25.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1000 | 1.25.3 | Secured funding | | | | | | | | | | | | |
| 1010 | 1.26 | 26 | Total funding | | | | | | | | | | | | |
| 1020 | 1.26.1 | Retail deposits | | | | | | | | | | | | |
| 1030 | 1.26.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1040 | 1.26.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

930

1.24

24

Total funding

940

1.24.1

Retail deposits

950

1.24.2

Unsecured wholesale deposits

960

1.24.3

Secured funding

970

1.25

25

Total funding

980

1.25.1

Retail deposits

990

1.25.2

Unsecured wholesale deposits

1000

1.25.3

Secured funding

1010

1.26

26

Total funding

1020

1.26.1

Retail deposits

1030

1.26.2

Unsecured wholesale deposits

1040

1.26.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 930 | 1.24 | 24 | Total funding | | | | | | | | | | | | |
| 940 | 1.24.1 | Retail deposits | | | | | | | | | | | | |
| 950 | 1.24.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 960 | 1.24.3 | Secured funding | | | | | | | | | | | | |
| 970 | 1.25 | 25 | Total funding | | | | | | | | | | | | |
| 980 | 1.25.1 | Retail deposits | | | | | | | | | | | | |
| 990 | 1.25.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1000 | 1.25.3 | Secured funding | | | | | | | | | | | | |
| 1010 | 1.26 | 26 | Total funding | | | | | | | | | | | | |
| 1020 | 1.26.1 | Retail deposits | | | | | | | | | | | | |
| 1030 | 1.26.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1040 | 1.26.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

930

1.24

24

Total funding

940

1.24.1

Retail deposits

950

1.24.2

Unsecured wholesale deposits

960

1.24.3

Secured funding

970

1.25

25

Total funding

980

1.25.1

Retail deposits

990

1.25.2

Unsecured wholesale deposits

1000

1.25.3

Secured funding

1010

1.26

26

Total funding

1020

1.26.1

Retail deposits

1030

1.26.2

Unsecured wholesale deposits

1040

1.26.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 930 | 1.24 | 24 | Total funding | | | | | | | | | |
| 940 | 1.24.1 | Retail deposits | | | | | | | | | |
| 950 | 1.24.2 | Unsecured wholesale deposits | | | | | | | | | |
| 960 | 1.24.3 | Secured funding | | | | | | | | | |
| 970 | 1.25 | 25 | Total funding | | | | | | | | | |
| 980 | 1.25.1 | Retail deposits | | | | | | | | | |
| 990 | 1.25.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1000 | 1.25.3 | Secured funding | | | | | | | | | |
| 1010 | 1.26 | 26 | Total funding | | | | | | | | | |
| 1020 | 1.26.1 | Retail deposits | | | | | | | | | |
| 1030 | 1.26.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1040 | 1.26.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

930

1.24

24

Total funding

940

1.24.1

Retail deposits

950

1.24.2

Unsecured wholesale deposits

960

1.24.3

Secured funding

970

1.25

25

Total funding

980

1.25.1

Retail deposits

990

1.25.2

Unsecured wholesale deposits

1000

1.25.3

Secured funding

1010

1.26

26

Total funding

1020

1.26.1

Retail deposits

1030

1.26.2

Unsecured wholesale deposits

1040

1.26.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 1050 | 1.27 | 27 | Total funding | | | | | | | | | | | | |
| 1060 | 1.27.1 | Retail deposits | | | | | | | | | | | | |
| 1070 | 1.27.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1080 | 1.27.3 | Secured funding | | | | | | | | | | | | |
| 1090 | 1.28 | 28 | Total funding | | | | | | | | | | | | |
| 1100 | 1.28.1 | Retail deposits | | | | | | | | | | | | |
| 1110 | 1.28.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1120 | 1.28.3 | Secured funding | | | | | | | | | | | | |
| 1130 | 1.29 | 29 | Total funding | | | | | | | | | | | | |
| 1140 | 1.29.1 | Retail deposits | | | | | | | | | | | | |
| 1150 | 1.29.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1160 | 1.29.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

1050

1.27

27

Total funding

1060

1.27.1

Retail deposits

1070

1.27.2

Unsecured wholesale deposits

1080

1.27.3

Secured funding

1090

1.28

28

Total funding

1100

1.28.1

Retail deposits

1110

1.28.2

Unsecured wholesale deposits

1120

1.28.3

Secured funding

1130

1.29

29

Total funding

1140

1.29.1

Retail deposits

1150

1.29.2

Unsecured wholesale deposits

1160

1.29.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 1050 | 1.27 | 27 | Total funding | | | | | | | | | | | | |
| 1060 | 1.27.1 | Retail deposits | | | | | | | | | | | | |
| 1070 | 1.27.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1080 | 1.27.3 | Secured funding | | | | | | | | | | | | |
| 1090 | 1.28 | 28 | Total funding | | | | | | | | | | | | |
| 1100 | 1.28.1 | Retail deposits | | | | | | | | | | | | |
| 1110 | 1.28.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1120 | 1.28.3 | Secured funding | | | | | | | | | | | | |
| 1130 | 1.29 | 29 | Total funding | | | | | | | | | | | | |
| 1140 | 1.29.1 | Retail deposits | | | | | | | | | | | | |
| 1150 | 1.29.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1160 | 1.29.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

1050

1.27

27

Total funding

1060

1.27.1

Retail deposits

1070

1.27.2

Unsecured wholesale deposits

1080

1.27.3

Secured funding

1090

1.28

28

Total funding

1100

1.28.1

Retail deposits

1110

1.28.2

Unsecured wholesale deposits

1120

1.28.3

Secured funding

1130

1.29

29

Total funding

1140

1.29.1

Retail deposits

1150

1.29.2

Unsecured wholesale deposits

1160

1.29.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 1050 | 1.27 | 27 | Total funding | | | | | | | | | |
| 1060 | 1.27.1 | Retail deposits | | | | | | | | | |
| 1070 | 1.27.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1080 | 1.27.3 | Secured funding | | | | | | | | | |
| 1090 | 1.28 | 28 | Total funding | | | | | | | | | |
| 1100 | 1.28.1 | Retail deposits | | | | | | | | | |
| 1110 | 1.28.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1120 | 1.28.3 | Secured funding | | | | | | | | | |
| 1130 | 1.29 | 29 | Total funding | | | | | | | | | |
| 1140 | 1.29.1 | Retail deposits | | | | | | | | | |
| 1150 | 1.29.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1160 | 1.29.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

1050

1.27

27

Total funding

1060

1.27.1

Retail deposits

1070

1.27.2

Unsecured wholesale deposits

1080

1.27.3

Secured funding

1090

1.28

28

Total funding

1100

1.28.1

Retail deposits

1110

1.28.2

Unsecured wholesale deposits

1120

1.28.3

Secured funding

1130

1.29

29

Total funding

1140

1.29.1

Retail deposits

1150

1.29.2

Unsecured wholesale deposits

1160

1.29.3

Secured funding

| Roll-over of funding |
| --- |
| | Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 1170 | 1.30 | 30 | Total funding | | | | | | | | | | | | |
| 1180 | 1.30.1 | Retail deposits | | | | | | | | | | | | |
| 1190 | 1.30.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1200 | 1.30.3 | Secured funding | | | | | | | | | | | | |
| 1210 | 1.31 | 31 | Total funding | | | | | | | | | | | | |
| 1220 | 1.31.1 | Retail deposits | | | | | | | | | | | | |
| 1230 | 1.31.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1240 | 1.31.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

Overnight

> 1 day ≤ 7 days

>7days ≤ 14 days

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

010

020

030

040

050

060

070

080

090

100

110

120

1170

1.30

30

Total funding

1180

1.30.1

Retail deposits

1190

1.30.2

Unsecured wholesale deposits

1200

1.30.3

Secured funding

1210

1.31

31

Total funding

1220

1.31.1

Retail deposits

1230

1.31.2

Unsecured wholesale deposits

1240

1.31.3

Secured funding

| Roll-over of funding |
| --- |
| | >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months |
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net |
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 1170 | 1.30 | 30 | Total funding | | | | | | | | | | | | |
| 1180 | 1.30.1 | Retail deposits | | | | | | | | | | | | |
| 1190 | 1.30.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1200 | 1.30.3 | Secured funding | | | | | | | | | | | | |
| 1210 | 1.31 | 31 | Total funding | | | | | | | | | | | | |
| 1220 | 1.31.1 | Retail deposits | | | | | | | | | | | | |
| 1230 | 1.31.2 | Unsecured wholesale deposits | | | | | | | | | | | | |
| 1240 | 1.31.3 | Secured funding | | | | | | | | | | | | |

Roll-over of funding

>14 days ≤ 1 month

>1 Month ≤ 3 Months

>3 Months ≤ 6 Months

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Maturing

Roll over

New Funds

Net

Row

ID

Day

Item

130

140

150

160

170

180

190

200

210

220

230

240

1170

1.30

30

Total funding

1180

1.30.1

Retail deposits

1190

1.30.2

Unsecured wholesale deposits

1200

1.30.3

Secured funding

1210

1.31

31

Total funding

1220

1.31.1

Retail deposits

1230

1.31.2

Unsecured wholesale deposits

1240

1.31.3

Secured funding

| Roll-over of funding |
| --- |
| | >6 Months | Total net cashflows | Average Term (days) |
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile |
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 1170 | 1.30 | 30 | Total funding | | | | | | | | | |
| 1180 | 1.30.1 | Retail deposits | | | | | | | | | |
| 1190 | 1.30.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1200 | 1.30.3 | Secured funding | | | | | | | | | |
| 1210 | 1.31 | 31 | Total funding | | | | | | | | | |
| 1220 | 1.31.1 | Retail deposits | | | | | | | | | |
| 1230 | 1.31.2 | Unsecured wholesale deposits | | | | | | | | | |
| 1240 | 1.31.3 | Secured funding | | | | | | | | | |

Roll-over of funding

>6 Months

Total net cashflows

Average Term (days)

Maturing

Roll over

New Funds

Net

Maturing Funds Term

Roll-over Funds Term

New Funds Term

Total Funding Profile

Row

ID

Day

Item

250

260

270

280

290

300

310

320

330

1170

1.30

30

Total funding

1180

1.30.1

Retail deposits

1190

1.30.2

Unsecured wholesale deposits

1200

1.30.3

Secured funding

1210

1.31

31

Total funding

1220

1.31.1

Retail deposits

1230

1.31.2

Unsecured wholesale deposits

1240

1.31.3

Secured funding

‘ANNEX XIX

INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1.   Additional Monitoring Tools

1.1.   General remarks

| 1. | The summary templates contained in Annex XVIII is designed to monitor an institution's liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding. |
| --- | --- |

1.

1.2.   Concentration of funding by counterparty (C 67.00)

| 1. | This template seeks to collect information about the reporting institutions' concentration of funding by counterparty. |
| --- | --- |

1.

| 2. | For the purpose of completing this template:






  (a) | Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EC) No 575/2013 [CRR] from which funding obtained from each counterparty exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. Thus, the counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and so on. |
| --- | --- | --- |

2.

(a)

Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EC) No 575/2013 [CRR] from which funding obtained from each counterparty exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. Thus, the counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and so on.

| (b) | Institutions shall report the total of all other remaining liabilities in section 2. |
| --- | --- |

(b)

Institutions shall report the total of all other remaining liabilities in section 2.

| (c) | The totals of section 1 and section 2 shall equal an institution's total liabilities as per its balance sheet reported under the financial reporting framework (FINREP). |
| --- | --- |

(c)

The totals of section 1 and section 2 shall equal an institution's total liabilities as per its balance sheet reported under the financial reporting framework (FINREP).

| 3. | For each counterparty, institutions shall record the following components:






  (a) | counterparty name; |
| --- | --- | --- |

3.

(a)

counterparty name;

| (b) | LEI code; |
| --- | --- |

(b)

LEI code;

| (c) | counterparty sector; |
| --- | --- |

(c)

counterparty sector;

| (d) | residence of the counterparty; |
| --- | --- |

(d)

residence of the counterparty;

| (e) | product type; |
| --- | --- |

(e)

product type;

| (f) | amount received; |
| --- | --- |

(f)

amount received;

| (g) | weighted average initial maturity; and |
| --- | --- |

(g)

weighted average initial maturity; and

| (h) | weighted average residual maturity |
| --- | --- |

(h)

weighted average residual maturity

These components are explained in more detail in the table below.

| 4. | Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Separate information shall be reported to the competent authority explaining the breakdown of funding received for the top 5 products by product type. |
| --- | --- |

4.

| 5. | Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities (i.e. is the custodian bank) it should consider that amount for reporting the concentration of counterparties. When there is no information available on the holder of securities the corresponding amount does not have to be reported. |
| --- | --- |

5.

| 6. | Instructions concerning specific columns:






  Column | Legal references and instructions |
| --- | --- | --- |
| 010 | Counterparty Name

  The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in order of size of funding obtained.
  The counterparty name recorded shall be the legal entity title of the company from which the funding is derived including any company type references such as SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany). |
| 020 | LEI Code

  The legal entity identifier code of the counterparty. |
| 030 | Counterparty Sector

  One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:
  (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.
  For groups of connected clients, no sector shall be reported. |
| 040 | Residence of Counterparty

  ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's “Balance of Payments Vademecum”).
  For groups of connected clients, no country shall be reported. |
| 050 | Product Type

  Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received (or in which the largest proportion of funding was received for mixed product types) using the following codes indicated in bold: | UWF (unsecured wholesale funding obtained from financial customers including interbank money) |

6.

Column

Legal references and instructions

010

Counterparty Name

The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in order of size of funding obtained.

The counterparty name recorded shall be the legal entity title of the company from which the funding is derived including any company type references such as SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany).

020

LEI Code

The legal entity identifier code of the counterparty.

030

Counterparty Sector

One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:

(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.

For groups of connected clients, no sector shall be reported.

040

Residence of Counterparty

ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's “Balance of Payments Vademecum”).

For groups of connected clients, no country shall be reported.

050

Product Type

Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received (or in which the largest proportion of funding was received for mixed product types) using the following codes indicated in bold:

UWF (unsecured wholesale funding obtained from financial customers including interbank money)

| | UWNF (unsecured wholesale funding obtained from non-financial customers) |
| --- | --- |

UWNF (unsecured wholesale funding obtained from non-financial customers)

| | REPO (funding obtained from repurchase agreements as defined in Article 4(1) (82) of CRR) |
| --- | --- |

REPO (funding obtained from repurchase agreements as defined in Article 4(1) (82) of CRR)

| | CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of CRR OR Article 52(4) of Directive 2009/65/EC) |
| --- | --- |

CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of CRR OR Article 52(4) of Directive 2009/65/EC)

| | ABS (funding obtained from asset backed security issuance including asset backed commercial paper) |
| --- | --- |

ABS (funding obtained from asset backed security issuance including asset backed commercial paper)

| | IGCP (funding obtained from intragroup counterparties) |
| --- | --- |

IGCP (funding obtained from intragroup counterparties)

060

Amount Received

The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060.

070

Weighted average initial maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average initial maturity (in days) for that funding shall be recorded in column 070.

Weighted average initial maturity is the average initial maturity (in days) of the funding received from that counterparty based on the size of different amounts of funding received to total funding received.

For example:

| 1. | EUR 1 billion received from counterparty A with an initial maturity of 180 days. |
| --- | --- |

1.

EUR 1 billion received from counterparty A with an initial maturity of 180 days.

| 2. | EUR 0,5 billion received from counterparty A with an initial maturity of 360 days. |
| --- | --- |

2.

EUR 0,5 billion received from counterparty A with an initial maturity of 360 days.

Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 days

Weighted average initial maturity = 240 days

080

Weighted average residual maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity (in days) for that funding shall be recorded in column 080.

Weighted average residual maturity is the average maturity (in days) of the funding received from that counterparty left based on the size of different amounts of funding received to total funding received.

For example:

| 1. | EUR 1 billion received from counterparty A with 60 days residual maturity left. |
| --- | --- |

1.

EUR 1 billion received from counterparty A with 60 days residual maturity left.

| 2. | EUR 0.5 billion received from counterparty A with 180 days residual maturity left. |
| --- | --- |

2.

EUR 0.5 billion received from counterparty A with 180 days residual maturity left.

Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 days

Weighted average residual maturity = 100 days

1.3.   Concentration of funding by product type (C 68.00)

| 1. | This template seeks to collect information about the reporting institutions' concentration of funding by product type, broken down into the following funding types:






  1. | Retail funding;






  (a) | Sight deposits; |
| --- | --- | --- | --- |

1.

1.

Retail funding;

(a)

Sight deposits;

| (b) | Fixed term deposits less or equal than 30 days |
| --- | --- |

(b)

Fixed term deposits less or equal than 30 days

| (c) | Fixed term deposits greater than 30 days;






  (i) | With a penalty for early withdrawal significantly greater than the loss of interest; |
| --- | --- | --- |

(c)

Fixed term deposits greater than 30 days;

(i)

With a penalty for early withdrawal significantly greater than the loss of interest;

| (ii) | Without a penalty for early withdrawal which is significantly greater than the loss of interest; |
| --- | --- |

(ii)

Without a penalty for early withdrawal which is significantly greater than the loss of interest;

| (d) | Savings accounts;






  (i) | With a notice period for withdrawal greater than 30 days; |
| --- | --- | --- |

(d)

Savings accounts;

(i)

With a notice period for withdrawal greater than 30 days;

| (ii) | Without a notice period for withdrawal which is greater than 30 days; |
| --- | --- |

(ii)

Without a notice period for withdrawal which is greater than 30 days;

| 2. | Wholesale funding;






  (a) | Unsecured wholesale funding;






  (i) | of which financial customers |
| --- | --- | --- | --- |

2.

Wholesale funding;

(a)

Unsecured wholesale funding;

(i)

of which financial customers

| (ii) | of which non-financial customers |
| --- | --- |

(ii)

of which non-financial customers

| (iii) | of which from intra-group entities |
| --- | --- |

(iii)

of which from intra-group entities

| (b) | Secured wholesale funding;






  (i) | of which repurchase agreements |
| --- | --- | --- |

(b)

Secured wholesale funding;

(i)

of which repurchase agreements

| (ii) | of which covered bond issuance |
| --- | --- |

(ii)

of which covered bond issuance

| (iii) | of which asset backed security issuance |
| --- | --- |

(iii)

of which asset backed security issuance

| (iv) | of which from intra-group entities |
| --- | --- |

(iv)

of which from intra-group entities

| 2. | For the purpose of completing this template institutions shall report the total amount of funding received from each product category, which exceeds a threshold of 1 % of total liabilities. |
| --- | --- |

2.

| 3. | For each product type, institutions shall record the following components:






  (a) | total amount received; |
| --- | --- | --- |

3.

(a)

total amount received;

| (b) | amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country; |
| --- | --- |

(b)

amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country;

| (c) | amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country; |
| --- | --- |

(c)

amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country;

| (d) | weighted average initial maturity; and |
| --- | --- |

(d)

weighted average initial maturity; and

| (e) | weighted average residual maturity. |
| --- | --- |

(e)

weighted average residual maturity.

These components are explained in more detail in the table below.

| 4. | For the purpose of determining those product types from which funding obtained is greater than 1 % of total liabilities threshold, the currency is irrelevant. |
| --- | --- |

4.

| 5. | Instructions concerning specific columns:






  Column | Legal references and instructions |
| --- | --- | --- |
| 010 | Total amount received

  Total amount of funding received for each of the product categories listed in the “Product name” column shall be reported in column 010 of the template in one combined reporting currency. |
| 020 | Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

  Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.
  Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010. |
| 030 | Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

  Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.
  Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010. |
| 040 | Weighted average initial maturity

  For the amount of funding received reported in column 010, from the product categories listed in the “Product name” column, a weighted average initial maturity (in days) for that funding shall be recorded in column 040.
  Weighted average initial maturity is the average initial maturity (in days) of the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product.
  For example:






  1. | EUR 1 billion received from counterparty A as a result of issuing product X with an initial maturity of 180 days. |

5.

Column

Legal references and instructions

010

Total amount received

Total amount of funding received for each of the product categories listed in the “Product name” column shall be reported in column 010 of the template in one combined reporting currency.

020

Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010.

030

Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010.

040

Weighted average initial maturity

For the amount of funding received reported in column 010, from the product categories listed in the “Product name” column, a weighted average initial maturity (in days) for that funding shall be recorded in column 040.

Weighted average initial maturity is the average initial maturity (in days) of the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product.

For example:

1.

EUR 1 billion received from counterparty A as a result of issuing product X with an initial maturity of 180 days.

| 2. | EUR 0,5 billion received from counterparty B as a result of issuing product X with an initial maturity of 360 days. |
| --- | --- |

2.

EUR 0,5 billion received from counterparty B as a result of issuing product X with an initial maturity of 360 days.

Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 days

Weighted average initial maturity = 240 days

050

Weighted average residual maturity

For the amount of funding received reported in column 010, from the product categories listed in the “Product name” column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050.

Weighted average residual maturity is the average maturity (in days) left on the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product.

For example:

| 1. | EUR 1 billion received from counterparty A as a result of issuing product X with 60 days residual maturity left. |
| --- | --- |

1.

EUR 1 billion received from counterparty A as a result of issuing product X with 60 days residual maturity left.

| 2. | EUR 0,5 billion received from counterparty B as a result of issuing product X with 180 days residual maturity left. |
| --- | --- |

2.

EUR 0,5 billion received from counterparty B as a result of issuing product X with 180 days residual maturity left.

Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 days

Weighted average residual maturity = 100 days

1.4.   Prices for Various Lengths of Funding (C 69.00)

| 1. | This template seeks to collect information about the average transaction volume and prices paid by institutions for funding with the following maturities:






  (a) | Overnight (columns 010 and 020) |
| --- | --- | --- |

1.

(a)

Overnight (columns 010 and 020)

| (b) | 1 week (columns 030 and 040) |
| --- | --- |

(b)

1 week (columns 030 and 040)

| (c) | 1 month (columns 050 and 060) |
| --- | --- |

(c)

1 month (columns 050 and 060)

| (d) | 3 months (columns 070 and 080) |
| --- | --- |

(d)

3 months (columns 070 and 080)

| (e) | 6 months (columns 090 and 100) |
| --- | --- |

(e)

6 months (columns 090 and 100)

| (f) | 1 year (columns 110 and 120) |
| --- | --- |

(f)

1 year (columns 110 and 120)

| (g) | 2 years (columns 130 and 140) |
| --- | --- |

(g)

2 years (columns 130 and 140)

| (h) | 5 years (columns 150 and 160) |
| --- | --- |

(h)

5 years (columns 150 and 160)

| (i) | 10 years (columns 170 and 180) |
| --- | --- |

(i)

10 years (columns 170 and 180)

| 2. | For the purpose of determining the maturity of funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three month liability settling in two weeks' time shall be reported in the 3 months maturity (columns 070 and 080). |
| --- | --- |

2.

| 3. | The spread reported in the left hand column of each time bucket shall be one of the following:






  1. | the spread payable by the firm for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction; |
| --- | --- | --- |

3.

1.

the spread payable by the firm for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;

| 2. | the spread payable by the firm at issuance for liabilities greater than one year, were they to be swapped to the relevant benchmark overnight index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction. |
| --- | --- |

2.

the spread payable by the firm at issuance for liabilities greater than one year, were they to be swapped to the relevant benchmark overnight index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.

| 4. | Spread shall be reported in basis points (bp) and calculated on a weighted average basis. For example:






  1. | EUR 1 billion of funding received or offered by counterparty A with a spread 200 bp above the prevailing EURIBOR rate. |
| --- | --- | --- |

4.

1.

EUR 1 billion of funding received or offered by counterparty A with a spread 200 bp above the prevailing EURIBOR rate.

| 2. | EUR 0,5 billion of funding received or offered by counterparty B with a spread 150 bp above the prevailing EURIBOR rate.
  Weighted average spread = (EUR 1 billion/EUR 1,5 billion) * 200 bp + (EUR 0.5 billion/EUR 1,5 billion) * 150 bp
  Weighted average spread = 183 bp |
| --- | --- |

2.

EUR 0,5 billion of funding received or offered by counterparty B with a spread 150 bp above the prevailing EURIBOR rate.

Weighted average spread = (EUR 1 billion/EUR 1,5 billion) * 200 bp + (EUR 0.5 billion/EUR 1,5 billion) * 150 bp

Weighted average spread = 183 bp

| 5. | For the purposes of calculating the average spread payable, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but include any premium or discount and fees payable or receivable, taking as basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread is the liability rate minus the swap rate. |
| --- | --- |

5.

| 6. | The net amount of funding obtained for the funding categories listed in the “Item” column shall be reported in the “volume” column of the applicable time bucket. For example, for the funding in point 4 above, this would be EUR 1 500 000. |
| --- | --- |

6.

| 7. | Where there is nothing to report, spreads shall be left empty. |
| --- | --- |

7.

| 8. | Instructions concerning specific rows:






  Row | Legal references and instructions |
| --- | --- | --- |
| 010 | 1   Total Funding

  Total volume and weighted average spread of all funding obtained for the following lengths:






  (a) | Overnight (columns 010 and 020) |

8.

Row

Legal references and instructions

010

1   Total Funding

Total volume and weighted average spread of all funding obtained for the following lengths:

(a)

Overnight (columns 010 and 020)

| (b) | 1 week (columns 030 ad 040) |
| --- | --- |

(b)

1 week (columns 030 ad 040)

| (c) | 1 month (columns 050 and 060) |
| --- | --- |

(c)

1 month (columns 050 and 060)

| (d) | 3 months (columns 070 and 080) |
| --- | --- |

(d)

3 months (columns 070 and 080)

| (e) | 6 months (columns 090 and 100) |
| --- | --- |

(e)

6 months (columns 090 and 100)

| (f) | 1 year (columns 110 and 120) |
| --- | --- |

(f)

1 year (columns 110 and 120)

| (g) | 2 years (columns 130 and 140) |
| --- | --- |

(g)

2 years (columns 130 and 140)

| (h) | 5 years (columns 150 and 160) |
| --- | --- |

(h)

5 years (columns 150 and 160)

| (i) | 10 years (columns 170 and 180) |
| --- | --- |

(i)

10 years (columns 170 and 180)

020

1.1   of which: Retail deposits

Of the total funding reported in item 1, the total volume and weighted average spread of retail deposits obtained.

030

1.2   of which: Unsecured wholesale deposits

Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale deposits obtained

040

1.3   of which: Secured funding

Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained.

050

1.4   of which: Senior unsecured securities

Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained.

060

1.5   of which: Covered bonds

Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.

070

1.6   of which: Asset backed securities including ABCP

Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

1.5.   Roll-over of funding (C 70.00)

| 1. | This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. “roll-over of funding” on a daily basis over a monthly time horizon. |
| --- | --- |

1.

| 2. | Institutions shall report the funding they have maturing in the following time buckets:






  (a) | Overnight (columns 010 to 040) |
| --- | --- | --- |

2.

(a)

Overnight (columns 010 to 040)

| (b) | Between 1 day and 7 days (columns 050 to 080) |
| --- | --- |

(b)

Between 1 day and 7 days (columns 050 to 080)

| (c) | Between 7 days and 14 days (columns 090 to 120) |
| --- | --- |

(c)

Between 7 days and 14 days (columns 090 to 120)

| (d) | Between 14 days and 1 month (columns 130 to 160) |
| --- | --- |

(d)

Between 14 days and 1 month (columns 130 to 160)

| (e) | Between 1 month and 3 months (columns 170 to 200) |
| --- | --- |

(e)

Between 1 month and 3 months (columns 170 to 200)

| (f) | Between 3 months and 6 months (columns 210 to 240) |
| --- | --- |

(f)

Between 3 months and 6 months (columns 210 to 240)

| (g) | Maturing greater than 6 months (columns 250 to 280) |
| --- | --- |

(g)

Maturing greater than 6 months (columns 250 to 280)

| 3. | For each time bucket as described in point 2 above, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the “Roll over” column, new funds obtained shall be reported in the “New Funds” column and the net difference (i.e. new funds + roll over — maturing) shall be reported in the right-hand column. |
| --- | --- |

3.

| 4. | Total net cashflows shall be reported in column 290 and shall equal the sum of all “Net” columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280). |
| --- | --- |

4.

| 5. | The average term of funding (in days) for maturing term funds shall be reported in column 300. |
| --- | --- |

5.

| 6. | The average term of funding (in days) of funds rolled over shall be reported in column 310 |
| --- | --- |

6.

| 7. | The average term of funding (in days) for new term funds shall be reported in column 320. |
| --- | --- |

7.

| 8. | The average term of funding (in days) for the total funding profile shall be reported in column 330. |
| --- | --- |

8.

| 9. | Instructions concerning specific rows:






  Column | Legal references and instructions |
| --- | --- | --- |
| 010 to 040 | Overnight

  The total amount of funding maturing on a daily basis shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall beleft empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 020 of line item 1.1-1.31.
  The total amount of new funding obtained on a daily basis shall be reported in column 030 of line item 1.1-1.31.
  The net difference between maturing daily funding and new daily funding obtained shall be reported in column 040 of line item 1.1-1.31. |
| 050 to 080 | > 1 day ≤ 7 days

  The total amount of funding maturing between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 060 of line item 1.1-1.31.
  The total amount of new funding obtained for a duration between one day and one week shall be reported in column 70 of line item 1.1-1.31.
  The net difference between maturing funding and new funding obtained shall be reported in column 080 of line item 1.1-1.31. |
| 090 to 120 | > 7days ≤ 14 days

  The total amount of funding maturing between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 100 of line item 1.1-1.31.
  The total amount of new funding obtained for a duration between one week and two weeks shall be reported in column 110 of line item 1.1-1.31.
  The net difference between maturing funding and new funding obtained shall be reported in column 120 of line item 1.1-1.31. |
| 130 to 160 | > 14 days ≤ 1 month

  The total amount of funding maturing between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 140 of line item 1.1-1.31.
  The total amount of new funding obtained for a duration between two weeks and one month shall be reported in column 150 of line item 1.1-1.31.
  The net difference between maturing funding and new funding obtained shall be reported in column 160 of line item 1.1-1.31. |
| 170 to 200 | > 1 Month ≤ 3 Months

  The total amount of funding maturing between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 180 of line item 1.1-1.31.
  The total amount of new funding obtained for a duration between one month and three months shall be reported in column 190 of line item 1.1-1.31.
  The net difference between maturing funding and new funding obtained shall be reported in column 200 of line item 1.1-1.31. |
| 210 to 240 | > 3 Months ≤ 6 Months

  The total amount of funding maturing between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 220 of line item 1.1-1.31.
  The total amount of new funding obtained for a duration between three months and six months shall be reported in column 230 of line item 1.1-1.31.
  The net difference between maturing funding and new funding obtained shall be reported in column 240 of line item 1.1-1.31. |
| 250 to 280 | > 6 Months

  The total amount of funding maturing beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.
  The total amount of funding rolled-over on a daily basis shall be reported in column 260 of line item 1.1-1.31.
  The total amount of new funding obtained for a duration beyond six months shall be reported in column 270 of line item 1.1-1.31.
  The net difference between maturing funding and new funding obtained shall be reported in column 280 of line item 1.1-1.31. |
| 290 | Total net cash flows

  The total net cash flows equal to the sum of all “Net” columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280) shall be reported in column 290. |
| 300 to 330 | Average Term (days)

  The weighted average term (in days) of all funds maturing shall be reported in column 300. The weighted average term (in days) of all funds rolled over shall be reported in column 310, the weighted average term (in days) of all new funds shall be reported in column 320 and the weighted average term (in days) for the total funding profile shall be reported in column 330. |

9.

Column

Legal references and instructions

010 to 040

Overnight

The total amount of funding maturing on a daily basis shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall beleft empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 020 of line item 1.1-1.31.

The total amount of new funding obtained on a daily basis shall be reported in column 030 of line item 1.1-1.31.

The net difference between maturing daily funding and new daily funding obtained shall be reported in column 040 of line item 1.1-1.31.

050 to 080

> 1 day ≤ 7 days

The total amount of funding maturing between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 060 of line item 1.1-1.31.

The total amount of new funding obtained for a duration between one day and one week shall be reported in column 70 of line item 1.1-1.31.

The net difference between maturing funding and new funding obtained shall be reported in column 080 of line item 1.1-1.31.

090 to 120

> 7days ≤ 14 days

The total amount of funding maturing between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 100 of line item 1.1-1.31.

The total amount of new funding obtained for a duration between one week and two weeks shall be reported in column 110 of line item 1.1-1.31.

The net difference between maturing funding and new funding obtained shall be reported in column 120 of line item 1.1-1.31.

130 to 160

> 14 days ≤ 1 month

The total amount of funding maturing between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 140 of line item 1.1-1.31.

The total amount of new funding obtained for a duration between two weeks and one month shall be reported in column 150 of line item 1.1-1.31.

The net difference between maturing funding and new funding obtained shall be reported in column 160 of line item 1.1-1.31.

170 to 200

> 1 Month ≤ 3 Months

The total amount of funding maturing between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 180 of line item 1.1-1.31.

The total amount of new funding obtained for a duration between one month and three months shall be reported in column 190 of line item 1.1-1.31.

The net difference between maturing funding and new funding obtained shall be reported in column 200 of line item 1.1-1.31.

210 to 240

> 3 Months ≤ 6 Months

The total amount of funding maturing between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 220 of line item 1.1-1.31.

The total amount of new funding obtained for a duration between three months and six months shall be reported in column 230 of line item 1.1-1.31.

The net difference between maturing funding and new funding obtained shall be reported in column 240 of line item 1.1-1.31.

250 to 280

> 6 Months

The total amount of funding maturing beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.

The total amount of funding rolled-over on a daily basis shall be reported in column 260 of line item 1.1-1.31.

The total amount of new funding obtained for a duration beyond six months shall be reported in column 270 of line item 1.1-1.31.

The net difference between maturing funding and new funding obtained shall be reported in column 280 of line item 1.1-1.31.

290

Total net cash flows

The total net cash flows equal to the sum of all “Net” columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280) shall be reported in column 290.

300 to 330

Average Term (days)

The weighted average term (in days) of all funds maturing shall be reported in column 300. The weighted average term (in days) of all funds rolled over shall be reported in column 310, the weighted average term (in days) of all new funds shall be reported in column 320 and the weighted average term (in days) for the total funding profile shall be reported in column 330.

‘ANNEX XX

ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013

| ALMM TEMPLATES |
| --- |
| Template number | Template code | Name of the template /group of templates |
| | CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES |
| 71 | C 71.00 | CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY |

ALMM TEMPLATES

Template number

Template code

Name of the template /group of templates

CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES

71

C 71.00

CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY

C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY

| z-axis | Total and significant currencies |
| --- | --- |

z-axis

| Concentration of counterbalancing capacity by issuer/counterparty |
| --- |
| | Issuer/Counterparty Name | LEI code | Issuer/Counterparty Sector | Residence of Issuer/Counterparty | Product Type | Currency | Credit quality step | MtM value/nominal | Collateral value CB-eligible |
| Row | ID | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 |
| 010 | 1. | TOP TEN ISSUERS/COUNTERPARTIES |

Concentration of counterbalancing capacity by issuer/counterparty

Issuer/Counterparty Name

LEI code

Issuer/Counterparty Sector

Residence of Issuer/Counterparty

Product Type

Currency

Credit quality step

MtM value/nominal

Collateral value CB-eligible

Row

ID

010

020

030

040

050

060

070

080

090

010

1.

020

1,01

030

1,02

040

1,03

050

1,04

060

1,05

070

1,06

080

1,07

090

1,08

100

1,09

110

1,10

120

| 2. | ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY |
| --- | --- |

2.

‘ANNEX XXI

INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XXII

Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)

This template seeks to collect information about the reporting institutions' concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose. Counterbalancing capacity represents the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential funding gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.

| Column | Legal references and instructions |
| --- | --- |
| 010 | Issuer/Counterparty Name

  The name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on.
  The issuer/counterparty name recorded shall be the legal entity title of the company which has issued the assets, or has granted the liquidity lines, including any company type references, e.g. SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany) etc. |
| 020 | LEI code

  The legal entity identifier code of the counterparty. |
| 030 | Issuer/Counterparty Sector

  One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:
  (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households.
  For groups of connected clients, no sector shall be reported. |
| 040 | Residence of Issuer/Counterparty

  ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's “Balance of Payments Vademecum”).
  For groups of connected clients, no country shall be reported. |
| 050 | Product Type

  Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold: | SrB (Senior Bond) |

Column

Legal references and instructions

010

Issuer/Counterparty Name

The name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on.

The issuer/counterparty name recorded shall be the legal entity title of the company which has issued the assets, or has granted the liquidity lines, including any company type references, e.g. SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany) etc.

020

LEI code

The legal entity identifier code of the counterparty.

030

Issuer/Counterparty Sector

One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:

(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households.

For groups of connected clients, no sector shall be reported.

040

Residence of Issuer/Counterparty

ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's “Balance of Payments Vademecum”).

For groups of connected clients, no country shall be reported.

050

Product Type

Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold:

SrB (Senior Bond)

| | SubB (Subordinated Bond) |
| --- | --- |

SubB (Subordinated Bond)

| | CP (Commercial Paper) |
| --- | --- |

CP (Commercial Paper)

| | CB (Covered Bonds) |
| --- | --- |

CB (Covered Bonds)

| | US (UCITS-security, i.e. financial instruments representing a share in or a security issued by an Undertaking for Collective Investments of transferable securities) |
| --- | --- |

US (UCITS-security, i.e. financial instruments representing a share in or a security issued by an Undertaking for Collective Investments of transferable securities)

| | ABS (Asset Backed Security) |
| --- | --- |

ABS (Asset Backed Security)

| | CrCl (Credit Claim) |
| --- | --- |

CrCl (Credit Claim)

| | Eq (Equity listed on a recognized exchange, not self-issued or issued by a financial institution) |
| --- | --- |

Eq (Equity listed on a recognized exchange, not self-issued or issued by a financial institution)

| | Gold |
| --- | --- |

Gold

| | LiqL (Undrawn committed liquidity line granted to the institution) |
| --- | --- |

LiqL (Undrawn committed liquidity line granted to the institution)

| | OPT (Other product type) |
| --- | --- |

OPT (Other product type)

060

Currency

Issuers/counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code according to ISO 4217 shall be reported.

070

Credit quality step

Issuers/counterparties recorded in column 010 shall be assigned the appropriate credit quality step according to REGULATION 575/2013, consistent with the items reported in the maturity ladder.

080

MtM value/nominal

The market value or fair value of the assets, or — if applicable — the nominal value of the undrawn liquidity line granted to the institution.

090

Collateral value CB-eligible

The collateral value according to the central bank rules for standing facilities for the specific assets if they are used as collateral against credit received from the central bank.

For assets denominated in a currency included in the ITS issued under Article 416(5) Regulation (EC) No 575/2013 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

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