# L_2016064EN.01000101.xml

| 10.3.2016 | EN | Official Journal of the European Union | L 64/1 |
| --- | --- | --- | --- |

10.3.2016

EN

Official Journal of the European Union

L 64/1

---

COMMISSION IMPLEMENTING REGULATION (EU) 2016/322

of 10 February 2016

amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement

(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),

Whereas:

| (1) | Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with the requirements of Regulation (EU) No 575/2013 in general, and with the provisions on the liquidity coverage requirement expressed as a ratio (LCR) which takes the form of a ratio, in particular. Given that the regulatory framework established by Regulation (EU) No 575/2013 on the LCR was amended by Commission Delegated Regulation (EU) 2015/61 (3), Implementing Regulation (EU) No 680/2014 should be updated accordingly to reflect these amendments in the regulatory framework of the LCR for credit institutions. The updates reflect, among others, the changed nature of reporting the LCR, from a mere monitoring tool in the period preceding the adoption of Delegated Regulation (EU) 2015/61, and with a view to feeding input to the design of the latter Regulation, into a proper supervisory review tool after the finalisation of that Regulation. |
| --- | --- |

(1)

Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with the requirements of Regulation (EU) No 575/2013 in general, and with the provisions on the liquidity coverage requirement expressed as a ratio (LCR) which takes the form of a ratio, in particular. Given that the regulatory framework established by Regulation (EU) No 575/2013 on the LCR was amended by Commission Delegated Regulation (EU) 2015/61 (3), Implementing Regulation (EU) No 680/2014 should be updated accordingly to reflect these amendments in the regulatory framework of the LCR for credit institutions. The updates reflect, among others, the changed nature of reporting the LCR, from a mere monitoring tool in the period preceding the adoption of Delegated Regulation (EU) 2015/61, and with a view to feeding input to the design of the latter Regulation, into a proper supervisory review tool after the finalisation of that Regulation.

| (2) | Implementing Regulation (EU) No 680/2014 should also be updated to provide further precision with regard to the instructions and definitions used for the purposes of institutions' supervisory reporting and to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation. |
| --- | --- |

(2)

Implementing Regulation (EU) No 680/2014 should also be updated to provide further precision with regard to the instructions and definitions used for the purposes of institutions' supervisory reporting and to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation.

| (3) | As Delegated Regulation (EU) 2015/61 specifies the LCR for credit institutions only, the provisions of Implementing Regulation (EU) No 680/2014 on the LCR still apply for all remaining institutions except credit institutions. |
| --- | --- |

(3)

As Delegated Regulation (EU) 2015/61 specifies the LCR for credit institutions only, the provisions of Implementing Regulation (EU) No 680/2014 on the LCR still apply for all remaining institutions except credit institutions.

| (4) | It is necessary to design new templates and corresponding instructions for credit institutions, given the specifications of the LCR in Delegated Regulation (EU) 2015/61, which enhances the use of such templates for supervisory purposes. In other words, the update of the templates and instructions is required in order to include all the elements necessary for the calculation of the ratio. Furthermore, this update is appropriate given that the actual items to be reported under the updated templates substantially and effectively reflect the items originally reported under the original templates, requiring only that their reporting is done in a more detailed manner and with a structure and format corresponding to the specification of the LCR in Delegated Regulation (EU) 2015/61. |
| --- | --- |

(4)

It is necessary to design new templates and corresponding instructions for credit institutions, given the specifications of the LCR in Delegated Regulation (EU) 2015/61, which enhances the use of such templates for supervisory purposes. In other words, the update of the templates and instructions is required in order to include all the elements necessary for the calculation of the ratio. Furthermore, this update is appropriate given that the actual items to be reported under the updated templates substantially and effectively reflect the items originally reported under the original templates, requiring only that their reporting is done in a more detailed manner and with a structure and format corresponding to the specification of the LCR in Delegated Regulation (EU) 2015/61.

| (5) | Supervisory reporting, in general, and supervisory reporting relating to the LCR in particular, are necessary to enable competent authorities to verify compliance of institutions with the requirements of Regulation (EU) No 575/2013, and in this particular case, in relation to the LCR. As it is necessary to verify overall actual compliance with the LCR, the templates of supervisory reporting of the LCR should include items which directly relate to the calculation of the LCR itself, as well as other items (the so-called ‘memorandum items’) which are closely related to the LCR and which serve to ensure a correct understanding of the LCR in the context of an institution's wider liquidity profile. |
| --- | --- |

(5)

Supervisory reporting, in general, and supervisory reporting relating to the LCR in particular, are necessary to enable competent authorities to verify compliance of institutions with the requirements of Regulation (EU) No 575/2013, and in this particular case, in relation to the LCR. As it is necessary to verify overall actual compliance with the LCR, the templates of supervisory reporting of the LCR should include items which directly relate to the calculation of the LCR itself, as well as other items (the so-called ‘memorandum items’) which are closely related to the LCR and which serve to ensure a correct understanding of the LCR in the context of an institution's wider liquidity profile.

| (6) | To provide a sufficient period of time for supervisors and institutions to prepare for the application of the new reporting templates and instructions, the implementation date for the first application of the latter should be deferred by 6 months from the date of publication of this Regulation. |
| --- | --- |

(6)

To provide a sufficient period of time for supervisors and institutions to prepare for the application of the new reporting templates and instructions, the implementation date for the first application of the latter should be deferred by 6 months from the date of publication of this Regulation.

| (7) | The European Banking Authority has conducted open public consultations, has 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 (4). |
| --- | --- |

(7)

The European Banking Authority has conducted open public consultations, has 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 (4).

| (8) | Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly, |
| --- | --- |

(8)

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) | Article 15 is replaced by the following:

  ‘Article 15
  Format and frequency of reporting on liquidity coverage requirement

  1.   In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:






  (a) | credit institutions shall submit the information specified in Annex XXII according to the instructions in Annex XXIII with a monthly frequency; |
| --- | --- | --- |

(1)

Article 15 is replaced by the following:

‘Article 15

Format and frequency of reporting on liquidity coverage requirement

1.   In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:

(a)

credit institutions shall submit the information specified in Annex XXII according to the instructions in Annex XXIII with a monthly frequency;

| (b) | all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency. |
| --- | --- |

(b)

all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

2.   The information set out in Annexes XII and XXII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.’;

| (2) | Annexes XXII and XXIII are added as set out, respectively, in Annexes I and II to this Regulation; |
| --- | --- |

(2)

Annexes XXII and XXIII are added as set out, respectively, in Annexes I and II to this Regulation;

| (3) | In Article 18, the following subparagraph is added:
  ‘For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.’. |
| --- | --- |

(3)

In Article 18, the following subparagraph is added:

‘For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.’.

Article 2

Entry into force

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

Official Journal of the European Union

It shall apply from 10 September 2016.

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

Done at Brussels, 10 February 2016.

For the Commission

The President

Jean-Claude JUNCKER

---

(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 (OJ L 191, 28.6.2014, p. 1).

2

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

3

(4)  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).

4

---

ANNEX I

‘ANNEX XXII

REPORTING ON LIQUIDITY

| LIQUIDITY TEMPLATES |
| --- |
| Template number | Template code | Name of the template/group of templates |
| LIQUIDITY COVERAGE TEMPLATES |
| | PART I — LIQUID ASSETS |
| 72 | C 72.00 | LIQUIDITY COVERAGE — LIQUID ASSETS |
| | PART II — OUTFLOWS |
| 73 | C 73.00 | LIQUIDITY COVERAGE — OUTFLOWS |
| | PART III — INFLOWS |
| 74 | C 74.00 | LIQUIDITY COVERAGE — INFLOWS |
| | PART IV — COLLATERAL SWAPS |
| 75 | C 75.00 | LIQUIDITY COVERAGE — COLLATERAL SWAPS |
| | PART V — CALCULATIONS |
| 76 | C 76.00 | LIQUIDITY COVERAGE — CALCULATIONS |

LIQUIDITY TEMPLATES

Template number

Template code

Name of the template/group of templates

LIQUIDITY COVERAGE TEMPLATES

PART I — LIQUID ASSETS

72

C 72.00

LIQUIDITY COVERAGE — LIQUID ASSETS

PART II — OUTFLOWS

73

C 73.00

LIQUIDITY COVERAGE — OUTFLOWS

PART III — INFLOWS

74

C 74.00

LIQUIDITY COVERAGE — INFLOWS

PART IV — COLLATERAL SWAPS

75

C 75.00

LIQUIDITY COVERAGE — COLLATERAL SWAPS

PART V — CALCULATIONS

76

C 76.00

LIQUIDITY COVERAGE — CALCULATIONS

C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

Currency

| Row | ID | Item | Amount/Market value | Standard weight | Applicable weight | Value according to Article 9 |
| --- | --- | --- | --- | --- | --- | --- |
| 010 | 020 | 030 | 040 |
| 010 | 1 | TOTAL UNADJUSTED LIQUID ASSETS | | | | |
| 020 | 1.1 | Total unadjusted level 1 assets | | | | |
| 030 | 1.1.1 | Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds | | | | |
| 040 | 1.1.1.1 | Coins and banknotes | | 1,00 | | |
| 050 | 1.1.1.2 | Withdrawable central bank reserves | | 1,00 | | |
| 060 | 1.1.1.3 | Central bank assets | | 1,00 | | |
| 070 | 1.1.1.4 | Central government assets | | 1,00 | | |
| 080 | 1.1.1.5 | Regional government/local authorities assets | | 1,00 | | |
| 090 | 1.1.1.6 | Public Sector Entity assets | | 1,00 | | |
| 100 | 1.1.1.7 | Recognisable domestic and foreign currency central government and central bank assets | | 1,00 | | |
| 110 | 1.1.1.8 | Credit institution (protected by Member State government, promotional lender) assets | | 1,00 | | |
| 120 | 1.1.1.9 | Multilateral development bank and international organisations assets | | 1,00 | | |
| 130 | 1.1.1.10 | Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure | | 1,00 | | |
| 140 | 1.1.1.11 | Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds | | 0,95 | | |
| 150 | 1.1.1.12 | Alternative Liquidity Approaches: Central bank credit facility | | 1,00 | | |
| 160 | 1.1.1.13 | Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution | | | | |
| 170 | 1.1.1.14 | Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1 | | 0,80 | | |
| 180 | 1.1.2 | Total unadjusted LEVEL 1 extremely high quality covered bonds | | | | |
| 190 | 1.1.2.1 | Extremely high quality covered bonds | | 0,93 | | |
| 200 | 1.1.2.2 | Qualifying CIU shares/units: underlying is extremely high quality covered bonds | | 0,88 | | |
| 210 | 1.1.2.3 | Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution | | | | |
| 220 | 1.2 | Total unadjusted level 2 assets | | | | |
| 230 | 1.2.1 | Total unadjusted LEVEL 2A assets | | | | |
| 240 | 1.2.1.1 | Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %) | | 0,85 | | |
| 250 | 1.2.1.2 | Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %) | | 0,85 | | |
| 260 | 1.2.1.3 | High quality covered bonds (CQS2) | | 0,85 | | |
| 270 | 1.2.1.4 | High quality covered bonds (Third Country, CQS1) | | 0,85 | | |
| 280 | 1.2.1.5 | Corporate debt securities (CQS1) | | 0,85 | | |
| 290 | 1.2.1.6 | Qualifying CIU shares/units: underlying is Level 2A assets | | 0,80 | | |
| 300 | 1.2.1.7 | Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution | | | | |
| 310 | 1.2.2 | Total unadjusted LEVEL 2B assets | | | | |
| 320 | 1.2.2.1 | Asset-backed securities (residential, CQS1) | | 0,75 | | |
| 330 | 1.2.2.2 | Asset-backed securities (auto, CQS1) | | 0,75 | | |
| 340 | 1.2.2.3 | High quality covered bonds (RW35 %) | | 0,70 | | |
| 350 | 1.2.2.4 | Asset-backed securities (commercial or individuals, Member State, CQS1) | | 0,65 | | |
| 360 | 1.2.2.5 | Corporate debt securities (CQS2/3) | | 0,50 | | |
| 370 | 1.2.2.6 | Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) | | 0,50 | | |
| 380 | 1.2.2.7 | Shares (major stock index) | | 0,50 | | |
| 390 | 1.2.2.8 | Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) | | 0,50 | | |
| 400 | 1.2.2.9 | Restricted-use central bank committed liquidity facilities | | 1,00 | | |
| 410 | 1.2.2.10 | Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) | | 0,70 | | |
| 420 | 1.2.2.11 | Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) | | 0,65 | | |
| 430 | 1.2.2.12 | Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) | | 0,60 | | |
| 440 | 1.2.2.13 | Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) | | 0,45 | | |
| 450 | 1.2.2.14 | Deposits by network member with central institution (no obligated investment) | | 0,75 | | |
| 460 | 1.2.2.15 | Liquidity funding available to network member from central institution (non-specified collateralisation) | | 0,75 | | |
| 470 | 1.2.2.16 | Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution | | | | |
| MEMORANDUM ITEMS |
| 480 | 2 | Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons | | | | |
| 490 | 3 | Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB) | | | | |
| 500 | 4 | Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets) | | | | |
| 510 | 5 | Deposits by network member with central institution (obligated investment in Level 2A assets) | | | | |
| 520 | 6 | Deposits by network member with central institution (obligated investment in Level 2B assets) | | | | |
| 530 | 7 | Adjustments made to assets due to net liquidity outflows from early close-out of hedges | | | | |
| 540 | 8 | Adjustments made to assets due to net liquidity inflows from early close-out of hedges | | | | |
| 550 | 9 | Member State-sponsored guaranteed bank assets subject to grandfathering | | | | |
| 560 | 10 | Member State-sponsored impaired asset management agencies subject to transitional provision | | | | |
| 570 | 11 | Securitisations backed by residential loans subject to transitional provision | | | | |
| 580 | 12 | Level 1/2A/2B assets excluded due to currency reasons | | | | |
| 590 | 13 | Level 1/2A/2B assets excluded for operational reasons except for currency reasons | | | | |
| 600 | 14 | Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) | | | | |
| 610 | 15 | Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) | | | | |

Row

ID

Item

Amount/Market value

Standard weight

Applicable weight

Value according to Article 9

010

020

030

040

010

1

TOTAL UNADJUSTED LIQUID ASSETS

020

1.1

Total unadjusted level 1 assets

030

1.1.1

Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

040

1.1.1.1

Coins and banknotes

1,00

050

1.1.1.2

Withdrawable central bank reserves

1,00

060

1.1.1.3

Central bank assets

1,00

070

1.1.1.4

Central government assets

1,00

080

1.1.1.5

Regional government/local authorities assets

1,00

090

1.1.1.6

Public Sector Entity assets

1,00

100

1.1.1.7

Recognisable domestic and foreign currency central government and central bank assets

1,00

110

1.1.1.8

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

1,00

120

1.1.1.9

Multilateral development bank and international organisations assets

1,00

130

1.1.1.10

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

1,00

140

1.1.1.11

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

0,95

150

1.1.1.12

Alternative Liquidity Approaches: Central bank credit facility

1,00

160

1.1.1.13

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

170

1.1.1.14

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

0,80

180

1.1.2

Total unadjusted LEVEL 1 extremely high quality covered bonds

190

1.1.2.1

Extremely high quality covered bonds

0,93

200

1.1.2.2

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

0,88

210

1.1.2.3

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

220

1.2

Total unadjusted level 2 assets

230

1.2.1

Total unadjusted LEVEL 2A assets

240

1.2.1.1

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

0,85

250

1.2.1.2

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

0,85

260

1.2.1.3

High quality covered bonds (CQS2)

0,85

270

1.2.1.4

High quality covered bonds (Third Country, CQS1)

0,85

280

1.2.1.5

Corporate debt securities (CQS1)

0,85

290

1.2.1.6

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

0,80

300

1.2.1.7

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

310

1.2.2

Total unadjusted LEVEL 2B assets

320

1.2.2.1

Asset-backed securities (residential, CQS1)

0,75

330

1.2.2.2

Asset-backed securities (auto, CQS1)

0,75

340

1.2.2.3

High quality covered bonds (RW35 %)

0,70

350

1.2.2.4

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

0,65

360

1.2.2.5

Corporate debt securities (CQS2/3)

0,50

370

1.2.2.6

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

0,50

380

1.2.2.7

Shares (major stock index)

0,50

390

1.2.2.8

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

0,50

400

1.2.2.9

Restricted-use central bank committed liquidity facilities

1,00

410

1.2.2.10

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

0,70

420

1.2.2.11

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

0,65

430

1.2.2.12

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

0,60

440

1.2.2.13

Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

0,45

450

1.2.2.14

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

0,75

460

1.2.2.15

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

0,75

470

1.2.2.16

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

MEMORANDUM ITEMS

480

2

Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons

490

3

Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB)

500

4

Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets)

510

5

Deposits by network member with central institution (obligated investment in Level 2A assets)

520

6

Deposits by network member with central institution (obligated investment in Level 2B assets)

530

7

Adjustments made to assets due to net liquidity outflows from early close-out of hedges

540

8

Adjustments made to assets due to net liquidity inflows from early close-out of hedges

550

9

Member State-sponsored guaranteed bank assets subject to grandfathering

560

10

Member State-sponsored impaired asset management agencies subject to transitional provision

570

11

Securitisations backed by residential loans subject to transitional provision

580

12

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

590

13

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

600

14

Level 1 Non-interest bearing assets (held by credit institutions for religious reasons)

610

15

Level 2A Non-interest bearing assets (held by credit institutions for religious reasons)

C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS

Currency

| | Amount | Market value of collateral extended | Value of collateral extended according to Article 9 | Standard Weight | Applicable Weight | Outflow |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 010 | 1 | OUTFLOWS | | | | | | |
| 020 | 1.1 | Outflows from unsecured transactions/deposits | | | | | | |
| 030 | 1.1.1 | Retail deposits | | | | | | |
| 040 | 1.1.1.1 | deposits where the payout has been agreed within the following 30 days | | | | 1,00 | | |
| 050 | 1.1.1.2 | deposits subject to higher outflows | | | | | | |
| 060 | 1.1.1.2.1 | category 1 | | | | 0,10-0,15 | | |
| 070 | 1.1.1.2.2 | category 2 | | | | 0,15-0,20 | | |
| 080 | 1.1.1.3 | stable deposits | | | | 0,05 | | |
| 090 | 1.1.1.4 | derogated stable deposits | | | | 0,03 | | |
| 100 | 1.1.1.5 | deposits in third countries where a higher outflow is applied | | | | | | |
| 110 | 1.1.1.6 | other retail deposits | | | | 0,10 | | |
| 120 | 1.1.2 | Operational deposits | | | | | | |
| 130 | 1.1.2.1 | maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | | | | | | |
| 140 | 1.1.2.1.1 | covered by DGS | | | | 0,05 | | |
| 150 | 1.1.2.1.2 | not covered by DGS | | | | 0,25 | | |
| 160 | 1.1.2.2 | maintained in the context of IPS or a cooperative network | | | | | | |
| 170 | 1.1.2.2.1 | not treated as liquid assets for the depositing institution | | | | 0,25 | | |
| 180 | 1.1.2.2.2 | treated as liquid assets for the depositing credit institution | | | | 1,00 | | |
| 190 | 1.1.2.3 | maintained in the context of an established operational relationship (other) with non-financial customers | | | | 0,25 | | |
| 200 | 1.1.2.4 | maintained to obtain cash clearing and central credit institution services within a network | | | | 0,25 | | |
| 210 | 1.1.3 | Non-operational deposits | | | | | | |
| 220 | 1.1.3.1 | correspondent banking and provisions of prime brokerage deposits | | | | 1,00 | | |
| 230 | 1.1.3.2 | deposits by-financial customers | | | | 1,00 | | |
| 240 | 1.1.3.3 | deposits by other customers | | | | | | |
| 250 | 1.1.3.3.1 | covered by DGS | | | | 0,20 | | |
| 260 | 1.1.3.3.2 | not covered by DGS | | | | 0,40 | | |
| 270 | 1.1.4 | Additional outflows | | | | | | |
| 280 | 1.1.4.1 | collateral other than Level 1 assets collateral posted for derivatives | | | | 0,20 | | |
| 290 | 1.1.4.2 | Level 1 EHQ Covered Bonds assets collateral posted for derivatives | | | | 0,10 | | |
| 300 | 1.1.4.3 | material outflows due to deterioration of own credit quality | | | | 1,00 | | |
| 310 | 1.1.4.4 | impact of an adverse market scenario on derivatives, financing transactions and other contracts | | | | | | |
| 320 | 1.1.4.4.1 | hlba approach | | | | 1,00 | | |
| 330 | 1.1.4.4.2 | amao approach | | | | 1,00 | | |
| 340 | 1.1.4.5 | outflows from derivatives | | | | 1,00 | | |
| 350 | 1.1.4.6 | short positions | | | | | | |
| 360 | 1.1.4.6.1 | covered by collateralized SFT | | | | 0,00 | | |
| 370 | 1.1.4.6.2 | other | | | | 1,00 | | |
| 380 | 1.1.4.7 | callable excess collateral | | | | 1,00 | | |
| 390 | 1.1.4.8 | due collateral | | | | 1,00 | | |
| 400 | 1.1.4.9 | liquid asset collateral exchangable for non-liquid asset collateral | | | | 1,00 | | |
| 410 | 1.1.4.10 | loss of funding on structured financing activites | | | | | | |
| 420 | 1.1.4.10.1 | structured financing instruments | | | | 1,00 | | |
| 430 | 1.1.4.10.2 | financing facilites | | | | 1,00 | | |
| 440 | 1.1.4.11 | assets borrowed on an unsecured basis | | | | 1,00 | | |
| 450 | 1.1.4.12 | internal netting of client's positions | | | | 0,50 | | |
| 460 | 1.1.5 | Committed facilities | | | | | | |
| 470 | 1.1.5.1 | credit facilities | | | | | | |
| 480 | 1.1.5.1.1 | to retail customers | | | | 0,05 | | |
| 490 | 1.1.5.1.2 | to non-financial customers other than retail customers | | | | 0,10 | | |
| 500 | 1.1.5.1.3 | to credit institutions | | | | | | |
| 510 | 1.1.5.1.3.1 | for funding promotional loans of retail customers | | | | 0,05 | | |
| 520 | 1.1.5.1.3.2 | for funding promotional loans of non-financial customers | | | | 0,10 | | |
| 530 | 1.1.5.1.3.3 | other | | | | 0,40 | | |
| 540 | 1.1.5.1.4 | to regulated financial institutions other than credit institutions | | | | 0,40 | | |
| 550 | 1.1.5.1.5 | within a group or an IPS if subject to preferential treatment | | | | | | |
| 560 | 1.1.5.1.6 | within IPS or cooperative network if treated as liquid asset by the depositing institution | | | | 0,75 | | |
| 570 | 1.1.5.1.7 | to other financial customers | | | | 1,00 | | |
| 580 | 1.1.5.2 | liquidity facilities | | | | | | |
| 590 | 1.1.5.2.1 | to retail customers | | | | 0,05 | | |
| 600 | 1.1.5.2.2 | to non-financial customers other than retail customers | | | | 0,30 | | |
| 610 | 1.1.5.2.3 | to personal investment companies | | | | 0,40 | | |
| 620 | 1.1.5.2.4 | to SSPEs | | | | | | |
| 630 | 1.1.5.2.4.1 | to purchase assets other than securities from non-financial customers | | | | 0,10 | | |
| 640 | 1.1.5.2.4.2 | other | | | | 1,00 | | |
| 650 | 1.1.5.2.5 | to credit institutions | | | | | | |
| 660 | 1.1.5.2.5.1 | for funding promotional loans of retail customers | | | | 0,05 | | |
| 670 | 1.1.5.2.5.2 | for funding promotional loans of non-financial customers | | | | 0,30 | | |
| 680 | 1.1.5.2.5.3 | other | | | | 0,40 | | |
| 690 | 1.1.5.2.6 | within a group or an IPS if subject to preferential treatment | | | | | | |
| 700 | 1.1.5.2.7 | within IPS or cooperative network if treated as liquid asset by the depositing institution | | | | 0,75 | | |
| 710 | 1.1.5.2.8 | to other financial customers | | | | 1,00 | | |
| 720 | 1.1.6 | Other products and services | | | | | | |
| 730 | 1.1.6.1 | other off-balance sheet and contingent funding obligations | | | | | | |
| 740 | 1.1.6.2 | undrawn loans and advances to wholesale counterparties | | | | | | |
| 750 | 1.1.6.3 | mortgages that have been agreed but not yet drawn down | | | | | | |
| 760 | 1.1.6.4 | credit cards | | | | | | |
| 770 | 1.1.6.5 | overdrafts | | | | | | |
| 780 | 1.1.6.6 | planned outflows related to renewal or extension of new retail or wholesale loans | | | | | | |
| 790 | 1.1.6.6.1 | the excess of funding to non-financial customers | | | | | | |
| 800 | 1.1.6.6.1.1 | the excess of funding to retail customers | | | | | | |
| 810 | 1.1.6.6.1.2 | the excess of funding to non financial corporates | | | | | | |
| 820 | 1.1.6.6.1.3 | the excess of funding to sovereigns, MLDBs and PSEs | | | | | | |
| 830 | 1.1.6.6.1.4 | the excess of funding to other legal entities | | | | | | |
| 840 | 1.1.6.6.2 | other | | | | | | |
| 850 | 1.1.6.7 | planned derivatives payables | | | | | | |
| 860 | 1.1.6.8 | trade finance off-balance sheet related products | | | | | | |
| 870 | 1.1.6.9 | others | | | | | | |
| 880 | 1.1.7 | Other liabilities | | | | | | |
| 890 | 1.1.7.1 | liabilities resulting from-operating expenses | | | | 0,00 | | |
| 900 | 1.1.7.2 | in the form of debt securities if not treated as retail deposits | | | | 1,00 | | |
| 910 | 1.1.7.3 | others | | | | 1,00 | | |
| 920 | 1.2 | Outflows from secured lending and capital market-driven transactions | | | | | | |
| 930 | 1.2.1 | Counterparty is central bank | | | | | | |
| 940 | 1.2.1.1 | level 1 excl. EHQ Covered Bonds collateral | | | | 0,00 | | |
| 950 | 1.2.1.2 | level 1 EHQ Covered Bonds collateral | | | | 0,00 | | |
| 960 | 1.2.1.3 | level 2A collateral | | | | 0,00 | | |
| 970 | 1.2.1.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | | | | 0,00 | | |
| 980 | 1.2.1.5 | level 2B covered bonds | | | | 0,00 | | |
| 990 | 1.2.1.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | | | | 0,00 | | |
| 1000 | 1.2.1.7 | other Level 2B assets collateral | | | | 0,00 | | |
| 1010 | 1.2.1.8 | non-liquid assets collateral | | | | 0,00 | | |
| 1020 | 1.2.2 | Counterparty is non-central bank | | | | | | |
| 1030 | 1.2.2.1 | level 1 excl. EHQ Covered Bonds collateral | | | | 0,00 | | |
| 1040 | 1.2.2.2 | level 1 EHQ Covered Bonds collateral | | | | 0,07 | | |
| 1050 | 1.2.2.3 | level 2A collateral | | | | 0,15 | | |
| 1060 | 1.2.2.4 | level 2B asset-backed securities (residential or automobile, CQS1) collateral | | | | 0,25 | | |
| 1070 | 1.2.2.5 | level 2B covered bonds | | | | 0,30 | | |
| 1080 | 1.2.2.6 | level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral | | | | 0,35 | | |
| 1090 | 1.2.2.7 | other Level 2B assets collateral | | | | 0,50 | | |
| 1100 | 1.2.2.8 | non-liquid assets collateral | | | | | | |
| 1110 | 1.2.2.8.1 | counterparty is central govt, PSE<=RW20 %, MDB | | | | 0,25 | | |
| 1120 | 1.2.2.8.2 | other counterparty | | | | 1,00 | | |
| 1130 | 1.3 | Total outflows from collateral swaps | | | | | | |
| MEMORANDUM ITEMS |
| 1140 | 2 | Retail bonds with a residual maturity of less than 30 days | | | | | | |
| 1150 | 3 | Retail deposits exempted from the calculation of outflows | | | | | | |
| 1160 | 4 | Not assessed retail deposits | | | | | | |
| 1170 | 5 | Liquidity outflows to be netted by interdependent inflows | | | | | | |
| | 6 | Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship | | | | | | |
| 1180 | 6.1 | provided by credit institutions | | | | | | |
| 1190 | 6.2 | provided by financial customers other than credit institutions | | | | | | |
| 1200 | 6.3 | provided by sovereigns, central banks, MDBs and PSEs | | | | | | |
| 1210 | 6.4 | provided by other customers | | | | | | |
| | 7 | Non-operational deposits maintained by financial customers and other customers | | | | | | |
| 1220 | 7.1 | provided by credit institutions | | | | | | |
| 1230 | 7.2 | provided by financial customers other than credit institutions | | | | | | |
| 1240 | 7.3 | provided by sovereigns, central banks, MDBs and PSEs | | | | | | |
| 1250 | 7.4 | provided by other customers | | | | | | |
| 1260 | 8 | Funding commitments to non-financial customers | | | | | | |
| 1270 | 9 | Level 1 excl. EHQ covered bonds collateral posted for derivatives | | | | | | |
| 1280 | 10 | SFTS monitoring | | | | | | |
| | 11 | Intra group or IPS outflows | | | | | | |
| 1290 | 11.1 | of which: to financial customers | | | | | | |
| 1300 | 11.2 | of which: to non-financial customers | | | | | | |
| 1310 | 11.3 | of which: secured | | | | | | |
| 1320 | 11.4 | of which: credit facilities without preferential treatment | | | | | | |
| 1330 | 11.5 | of which: liquidity facilites without preferential treatment | | | | | | |
| 1340 | 11.6 | of which: operational deposits | | | | | | |
| 1350 | 11.7 | of which: non-operational deposits | | | | | | |
| 1360 | 11.8 | of which: liabilities in the form of debt securities if not treated as retail deposits | | | | | | |
| 1370 | 12 | FX outflows | | | | | | |
| 1380 | 13 | Third countries outflows — transfer restrictions or non-convertible currencies | | | | | | |
| 1390 | 14 | Additional balances required to be installed in central bank reserves | | | | | | |

Amount

Market value of collateral extended

Value of collateral extended according to Article 9

Standard Weight

Applicable Weight

Outflow

Row

ID

Item

010

020

030

040

050

060

010

1

OUTFLOWS

020

1.1

Outflows from unsecured transactions/deposits

030

1.1.1

Retail deposits

040

1.1.1.1

deposits where the payout has been agreed within the following 30 days

1,00

050

1.1.1.2

deposits subject to higher outflows

060

1.1.1.2.1

category 1

0,10-0,15

070

1.1.1.2.2

category 2

0,15-0,20

080

1.1.1.3

stable deposits

0,05

090

1.1.1.4

derogated stable deposits

0,03

100

1.1.1.5

deposits in third countries where a higher outflow is applied

110

1.1.1.6

other retail deposits

0,10

120

1.1.2

Operational deposits

130

1.1.2.1

maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

140

1.1.2.1.1

covered by DGS

0,05

150

1.1.2.1.2

not covered by DGS

0,25

160

1.1.2.2

maintained in the context of IPS or a cooperative network

170

1.1.2.2.1

not treated as liquid assets for the depositing institution

0,25

180

1.1.2.2.2

treated as liquid assets for the depositing credit institution

1,00

190

1.1.2.3

maintained in the context of an established operational relationship (other) with non-financial customers

0,25

200

1.1.2.4

maintained to obtain cash clearing and central credit institution services within a network

0,25

210

1.1.3

Non-operational deposits

220

1.1.3.1

correspondent banking and provisions of prime brokerage deposits

1,00

230

1.1.3.2

deposits by-financial customers

1,00

240

1.1.3.3

deposits by other customers

250

1.1.3.3.1

covered by DGS

0,20

260

1.1.3.3.2

not covered by DGS

0,40

270

1.1.4

Additional outflows

280

1.1.4.1

collateral other than Level 1 assets collateral posted for derivatives

0,20

290

1.1.4.2

Level 1 EHQ Covered Bonds assets collateral posted for derivatives

0,10

300

1.1.4.3

material outflows due to deterioration of own credit quality

1,00

310

1.1.4.4

impact of an adverse market scenario on derivatives, financing transactions and other contracts

320

1.1.4.4.1

hlba approach

1,00

330

1.1.4.4.2

amao approach

1,00

340

1.1.4.5

outflows from derivatives

1,00

350

1.1.4.6

short positions

360

1.1.4.6.1

covered by collateralized SFT

0,00

370

1.1.4.6.2

other

1,00

380

1.1.4.7

callable excess collateral

1,00

390

1.1.4.8

due collateral

1,00

400

1.1.4.9

liquid asset collateral exchangable for non-liquid asset collateral

1,00

410

1.1.4.10

loss of funding on structured financing activites

420

1.1.4.10.1

structured financing instruments

1,00

430

1.1.4.10.2

financing facilites

1,00

440

1.1.4.11

assets borrowed on an unsecured basis

1,00

450

1.1.4.12

internal netting of client's positions

0,50

460

1.1.5

Committed facilities

470

1.1.5.1

credit facilities

480

1.1.5.1.1

to retail customers

0,05

490

1.1.5.1.2

to non-financial customers other than retail customers

0,10

500

1.1.5.1.3

to credit institutions

510

1.1.5.1.3.1

for funding promotional loans of retail customers

0,05

520

1.1.5.1.3.2

for funding promotional loans of non-financial customers

0,10

530

1.1.5.1.3.3

other

0,40

540

1.1.5.1.4

to regulated financial institutions other than credit institutions

0,40

550

1.1.5.1.5

within a group or an IPS if subject to preferential treatment

560

1.1.5.1.6

within IPS or cooperative network if treated as liquid asset by the depositing institution

0,75

570

1.1.5.1.7

to other financial customers

1,00

580

1.1.5.2

liquidity facilities

590

1.1.5.2.1

to retail customers

0,05

600

1.1.5.2.2

to non-financial customers other than retail customers

0,30

610

1.1.5.2.3

to personal investment companies

0,40

620

1.1.5.2.4

to SSPEs

630

1.1.5.2.4.1

to purchase assets other than securities from non-financial customers

0,10

640

1.1.5.2.4.2

other

1,00

650

1.1.5.2.5

to credit institutions

660

1.1.5.2.5.1

for funding promotional loans of retail customers

0,05

670

1.1.5.2.5.2

for funding promotional loans of non-financial customers

0,30

680

1.1.5.2.5.3

other

0,40

690

1.1.5.2.6

within a group or an IPS if subject to preferential treatment

700

1.1.5.2.7

within IPS or cooperative network if treated as liquid asset by the depositing institution

0,75

710

1.1.5.2.8

to other financial customers

1,00

720

1.1.6

Other products and services

730

1.1.6.1

other off-balance sheet and contingent funding obligations

740

1.1.6.2

undrawn loans and advances to wholesale counterparties

750

1.1.6.3

mortgages that have been agreed but not yet drawn down

760

1.1.6.4

credit cards

770

1.1.6.5

overdrafts

780

1.1.6.6

planned outflows related to renewal or extension of new retail or wholesale loans

790

1.1.6.6.1

the excess of funding to non-financial customers

800

1.1.6.6.1.1

the excess of funding to retail customers

810

1.1.6.6.1.2

the excess of funding to non financial corporates

820

1.1.6.6.1.3

the excess of funding to sovereigns, MLDBs and PSEs

830

1.1.6.6.1.4

the excess of funding to other legal entities

840

1.1.6.6.2

other

850

1.1.6.7

planned derivatives payables

860

1.1.6.8

trade finance off-balance sheet related products

870

1.1.6.9

others

880

1.1.7

Other liabilities

890

1.1.7.1

liabilities resulting from-operating expenses

0,00

900

1.1.7.2

in the form of debt securities if not treated as retail deposits

1,00

910

1.1.7.3

others

1,00

920

1.2

Outflows from secured lending and capital market-driven transactions

930

1.2.1

Counterparty is central bank

940

1.2.1.1

level 1 excl. EHQ Covered Bonds collateral

0,00

950

1.2.1.2

level 1 EHQ Covered Bonds collateral

0,00

960

1.2.1.3

level 2A collateral

0,00

970

1.2.1.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

0,00

980

1.2.1.5

level 2B covered bonds

0,00

990

1.2.1.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

0,00

1000

1.2.1.7

other Level 2B assets collateral

0,00

1010

1.2.1.8

non-liquid assets collateral

0,00

1020

1.2.2

Counterparty is non-central bank

1030

1.2.2.1

level 1 excl. EHQ Covered Bonds collateral

0,00

1040

1.2.2.2

level 1 EHQ Covered Bonds collateral

0,07

1050

1.2.2.3

level 2A collateral

0,15

1060

1.2.2.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

0,25

1070

1.2.2.5

level 2B covered bonds

0,30

1080

1.2.2.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

0,35

1090

1.2.2.7

other Level 2B assets collateral

0,50

1100

1.2.2.8

non-liquid assets collateral

1110

1.2.2.8.1

counterparty is central govt, PSE<=RW20 %, MDB

0,25

1120

1.2.2.8.2

other counterparty

1,00

1130

1.3

Total outflows from collateral swaps

MEMORANDUM ITEMS

1140

2

Retail bonds with a residual maturity of less than 30 days

1150

3

Retail deposits exempted from the calculation of outflows

1160

4

Not assessed retail deposits

1170

5

Liquidity outflows to be netted by interdependent inflows

6

Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

1180

6.1

provided by credit institutions

1190

6.2

provided by financial customers other than credit institutions

1200

6.3

provided by sovereigns, central banks, MDBs and PSEs

1210

6.4

provided by other customers

7

Non-operational deposits maintained by financial customers and other customers

1220

7.1

provided by credit institutions

1230

7.2

provided by financial customers other than credit institutions

1240

7.3

provided by sovereigns, central banks, MDBs and PSEs

1250

7.4

provided by other customers

1260

8

Funding commitments to non-financial customers

1270

9

Level 1 excl. EHQ covered bonds collateral posted for derivatives

1280

10

SFTS monitoring

11

Intra group or IPS outflows

1290

11.1

of which: to financial customers

1300

11.2

of which: to non-financial customers

1310

11.3

of which: secured

1320

11.4

of which: credit facilities without preferential treatment

1330

11.5

of which: liquidity facilites without preferential treatment

1340

11.6

of which: operational deposits

1350

11.7

of which: non-operational deposits

1360

11.8

of which: liabilities in the form of debt securities if not treated as retail deposits

1370

12

FX outflows

1380

13

Third countries outflows — transfer restrictions or non-convertible currencies

1390

14

Additional balances required to be installed in central bank reserves

C 74.00 — LIQUIDITY COVERAGE — INFLOWS

Currency

| | Amount | Market value of collateral received |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 010 | 1 | TOTAL INFLOWS | | | | | |
| 020 | 1.1 | Inflows from unsecured transactions/deposits | | | | | |
| 030 | 1.1.1 | monies due from non-financial customers (except for central banks) | | | | | |
| 040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | | | | | |
| 050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | | | | | |
| 060 | 1.1.1.2.1 | monies due from retail customers | | | | | |
| 070 | 1.1.1.2.2 | monies due from non-financial corporates | | | | | |
| 080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | | | | | |
| 090 | 1.1.1.2.4 | monies due from other legal entities | | | | | |

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

010

1

TOTAL INFLOWS

020

1.1

Inflows from unsecured transactions/deposits

030

1.1.1

monies due from non-financial customers (except for central banks)

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

060

1.1.1.2.1

monies due from retail customers

070

1.1.1.2.2

monies due from non-financial corporates

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

090

1.1.1.2.4

monies due from other legal entities

| | | Standard Weight | Applicable Weight |
| --- | --- | --- | --- |
| Exempted from the cap on inflows |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 010 | 1 | TOTAL INFLOWS | | | | | |
| 020 | 1.1 | Inflows from unsecured transactions/deposits | | | | | |
| 030 | 1.1.1 | monies due from non-financial customers (except for central banks) | | | | | |
| 040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | | 1,00 | | | |
| 050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | | | | | |
| 060 | 1.1.1.2.1 | monies due from retail customers | | 0,50 | | | |
| 070 | 1.1.1.2.2 | monies due from non-financial corporates | | 0,50 | | | |
| 080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | | 0,50 | | | |
| 090 | 1.1.1.2.4 | monies due from other legal entities | | 0,50 | | | |

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

010

1

TOTAL INFLOWS

020

1.1

Inflows from unsecured transactions/deposits

030

1.1.1

monies due from non-financial customers (except for central banks)

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

1,00

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

060

1.1.1.2.1

monies due from retail customers

0,50

070

1.1.1.2.2

monies due from non-financial corporates

0,50

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

0,50

090

1.1.1.2.4

monies due from other legal entities

0,50

| | Value of collateral received according to Article 9 | Inflow |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 010 | 1 | TOTAL INFLOWS | | | | | | |
| 020 | 1.1 | Inflows from unsecured transactions/deposits | | | | | | |
| 030 | 1.1.1 | monies due from non-financial customers (except for central banks) | | | | | | |
| 040 | 1.1.1.1 | monies due from non-financial customers (except for central banks) not corresponding to principal repayment | | | | | | |
| 050 | 1.1.1.2 | other monies due from non-financial customers (except for central banks) | | | | | | |
| 060 | 1.1.1.2.1 | monies due from retail customers | | | | | | |
| 070 | 1.1.1.2.2 | monies due from non-financial corporates | | | | | | |
| 080 | 1.1.1.2.3 | monies due from sovereigns, multilateral development banks and public sector entities | | | | | | |
| 090 | 1.1.1.2.4 | monies due from other legal entities | | | | | | |

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

010

1

TOTAL INFLOWS

020

1.1

Inflows from unsecured transactions/deposits

030

1.1.1

monies due from non-financial customers (except for central banks)

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

060

1.1.1.2.1

monies due from retail customers

070

1.1.1.2.2

monies due from non-financial corporates

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

090

1.1.1.2.4

monies due from other legal entities

| | Amount | Market value of collateral received |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 100 | 1.1.2 | monies due from central banks and financial customers | | | | | |
| 110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | | | | | |
| 120 | 1.1.2.1.1 | monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate | | | | | |
| 130 | 1.1.2.1.2 | monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate | | | | | |
| 140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | | | | | |
| 150 | 1.1.2.2.1 | monies due from central banks | | | | | |
| 160 | 1.1.2.2.2 | monies due from financial customers | | | | | |
| 170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 | | | | | |

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

100

1.1.2

monies due from central banks and financial customers

110

1.1.2.1

monies due from financial customers being classified as operational deposits

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

150

1.1.2.2.1

monies due from central banks

160

1.1.2.2.2

monies due from financial customers

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

| | | Standard Weight | Applicable Weight |
| --- | --- | --- | --- |
| Exempted from the cap on inflows |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 100 | 1.1.2 | monies due from central banks and financial customers | | | | | |
| 110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | | | | | |
| 120 | 1.1.2.1.1 | monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate | | | | | |
| 130 | 1.1.2.1.2 | monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate | | 0,05 | | | |
| 140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | | | | | |
| 150 | 1.1.2.2.1 | monies due from central banks | | 1,00 | | | |
| 160 | 1.1.2.2.2 | monies due from financial customers | | 1,00 | | | |
| 170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 | | 1,00 | | | |

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

100

1.1.2

monies due from central banks and financial customers

110

1.1.2.1

monies due from financial customers being classified as operational deposits

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

0,05

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

150

1.1.2.2.1

monies due from central banks

1,00

160

1.1.2.2.2

monies due from financial customers

1,00

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

1,00

| | Value of collateral received according to Article 9 | Inflow |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 100 | 1.1.2 | monies due from central banks and financial customers | | | | | | |
| 110 | 1.1.2.1 | monies due from financial customers being classified as operational deposits | | | | | | |
| 120 | 1.1.2.1.1 | monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate | | | | | | |
| 130 | 1.1.2.1.2 | monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate | | | | | | |
| 140 | 1.1.2.2 | monies due from central banks and financial customers not being classified as operational deposits | | | | | | |
| 150 | 1.1.2.2.1 | monies due from central banks | | | | | | |
| 160 | 1.1.2.2.2 | monies due from financial customers | | | | | | |
| 170 | 1.1.3 | inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 | | | | | | |

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

100

1.1.2

monies due from central banks and financial customers

110

1.1.2.1

monies due from financial customers being classified as operational deposits

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

150

1.1.2.2.1

monies due from central banks

160

1.1.2.2.2

monies due from financial customers

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

| | Amount | Market value of collateral received |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 180 | 1.1.4 | monies due from trade financing transactions | | | | | |
| 190 | 1.1.5 | monies due from securities maturing within 30 days | | | | | |
| 200 | 1.1.6 | assets with an undefined contractual end date | | | | | |
| 210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | | | | | |
| 220 | 1.1.8 | inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets | | | | | |
| 230 | 1.1.9 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | | | | | |
| 240 | 1.1.10 | inflows from derivatives | | | | | |
| 250 | 1.1.11 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | | | | | |
| 260 | 1.1.12 | other inflows | | | | | |

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

180

1.1.4

monies due from trade financing transactions

190

1.1.5

monies due from securities maturing within 30 days

200

1.1.6

assets with an undefined contractual end date

210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

240

1.1.10

inflows from derivatives

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

260

1.1.12

other inflows

| | | Standard Weight | Applicable Weight |
| --- | --- | --- | --- |
| Exempted from the cap on inflows |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 180 | 1.1.4 | monies due from trade financing transactions | | 1,00 | | | |
| 190 | 1.1.5 | monies due from securities maturing within 30 days | | 1,00 | | | |
| 200 | 1.1.6 | assets with an undefined contractual end date | | 0,20 | | | |
| 210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | | 1,00 | | | |
| 220 | 1.1.8 | inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets | | 1,00 | | | |
| 230 | 1.1.9 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | | 1,00 | | | |
| 240 | 1.1.10 | inflows from derivatives | | 1,00 | | | |
| 250 | 1.1.11 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | | | | | |
| 260 | 1.1.12 | other inflows | | 1,00 | | | |

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

180

1.1.4

monies due from trade financing transactions

1,00

190

1.1.5

monies due from securities maturing within 30 days

1,00

200

1.1.6

assets with an undefined contractual end date

0,20

210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

1,00

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

1,00

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

1,00

240

1.1.10

inflows from derivatives

1,00

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

260

1.1.12

other inflows

1,00

| | Value of collateral received according to Article 9 | Inflow |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 180 | 1.1.4 | monies due from trade financing transactions | | | | | | |
| 190 | 1.1.5 | monies due from securities maturing within 30 days | | | | | | |
| 200 | 1.1.6 | assets with an undefined contractual end date | | | | | | |
| 210 | 1.1.7 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | | | | | | |
| 220 | 1.1.8 | inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets | | | | | | |
| 230 | 1.1.9 | inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets | | | | | | |
| 240 | 1.1.10 | inflows from derivatives | | | | | | |
| 250 | 1.1.11 | inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate | | | | | | |
| 260 | 1.1.12 | other inflows | | | | | | |

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

180

1.1.4

monies due from trade financing transactions

190

1.1.5

monies due from securities maturing within 30 days

200

1.1.6

assets with an undefined contractual end date

210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

240

1.1.10

inflows from derivatives

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

260

1.1.12

other inflows

| | Amount | Market value of collateral received |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 270 | 1.2 | Inflows from secured lending and capital market-driven transactions | | | | | |
| 280 | 1.2.1 | collateral that qualifies as a liquid asset | | | | | |
| 290 | 1.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | | | | | |
| 300 | 1.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | | | | | |
| 310 | 1.2.1.3 | Level 2A collateral | | | | | |
| 320 | 1.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | | | | | |
| 330 | 1.2.1.5 | Level 2B high quality covered bonds collateral | | | | | |
| 340 | 1.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | | | | | |
| 350 | 1.2.1.7 | Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 | | | | | |
| 360 | 1.2.2 | collateral is used to cover a short position | | | | | |
| 370 | 1.2.3 | collateral that does not qualify as a liquid asset | | | | | |

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

270

1.2

Inflows from secured lending and capital market-driven transactions

280

1.2.1

collateral that qualifies as a liquid asset

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

310

1.2.1.3

Level 2A collateral

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

330

1.2.1.5

Level 2B high quality covered bonds collateral

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

360

1.2.2

collateral is used to cover a short position

370

1.2.3

collateral that does not qualify as a liquid asset

| | | Standard Weight | Applicable Weight |
| --- | --- | --- | --- |
| Exempted from the cap on inflows |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 270 | 1.2 | Inflows from secured lending and capital market-driven transactions | | | | | |
| 280 | 1.2.1 | collateral that qualifies as a liquid asset | | | | | |
| 290 | 1.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | | 1,00 | | | |
| 300 | 1.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | | 0,93 | | | |
| 310 | 1.2.1.3 | Level 2A collateral | | 0,85 | | | |
| 320 | 1.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | | 0,75 | | | |
| 330 | 1.2.1.5 | Level 2B high quality covered bonds collateral | | 0,70 | | | |
| 340 | 1.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | | 0,65 | | | |
| 350 | 1.2.1.7 | Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 | | 0,50 | | | |
| 360 | 1.2.2 | collateral is used to cover a short position | | | | | |
| 370 | 1.2.3 | collateral that does not qualify as a liquid asset | | | | | |

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

270

1.2

Inflows from secured lending and capital market-driven transactions

280

1.2.1

collateral that qualifies as a liquid asset

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

1,00

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

0,93

310

1.2.1.3

Level 2A collateral

0,85

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

0,75

330

1.2.1.5

Level 2B high quality covered bonds collateral

0,70

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

0,65

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

0,50

360

1.2.2

collateral is used to cover a short position

370

1.2.3

collateral that does not qualify as a liquid asset

| | Value of collateral received according to Article 9 | Inflow |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 270 | 1.2 | Inflows from secured lending and capital market-driven transactions | | | | | | |
| 280 | 1.2.1 | collateral that qualifies as a liquid asset | | | | | | |
| 290 | 1.2.1.1 | Level 1 collateral excluding extremely high quality covered bonds | | | | | | |
| 300 | 1.2.1.2 | Level 1 collateral which is extremely high quality covered bonds | | | | | | |
| 310 | 1.2.1.3 | Level 2A collateral | | | | | | |
| 320 | 1.2.1.4 | Level 2B asset backed securities (residential or auto) collateral | | | | | | |
| 330 | 1.2.1.5 | Level 2B high quality covered bonds collateral | | | | | | |
| 340 | 1.2.1.6 | Level 2B asset backed securities (commercial or individuals) collateral | | | | | | |
| 350 | 1.2.1.7 | Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 | | | | | | |
| 360 | 1.2.2 | collateral is used to cover a short position | | | | | | |
| 370 | 1.2.3 | collateral that does not qualify as a liquid asset | | | | | | |

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

270

1.2

Inflows from secured lending and capital market-driven transactions

280

1.2.1

collateral that qualifies as a liquid asset

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

310

1.2.1.3

Level 2A collateral

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

330

1.2.1.5

Level 2B high quality covered bonds collateral

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

360

1.2.2

collateral is used to cover a short position

370

1.2.3

collateral that does not qualify as a liquid asset

| | Amount | Market value of collateral received |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 380 | 1.2.3.1 | margin loans: collateral is non-liquid | | | | | |
| 390 | 1.2.3.2 | collateral is non-liquid equity | | | | | |
| 400 | 1.2.3.3 | all other non-liquid collateral | | | | | |
| 410 | 1.3 | Total inflows from collateral swaps | | | | | |
| 420 | 1.4 | (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | | | | | |
| 430 | 1.5 | (Excess inflows from a related specialised credit institution) | | | | | |
| MEMORANDUM ITEMS |
| 440 | 2 | Interdependent inflows | | | | | |
| 450 | 3 | FX inflows | | | | | |
| 460 | 4 | Inflows within a group or an institutional protection scheme | | | | | |
| 470 | 4.1 | Monies due from non-financial customers (except for central banks) | | | | | |

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

380

1.2.3.1

margin loans: collateral is non-liquid

390

1.2.3.2

collateral is non-liquid equity

400

1.2.3.3

all other non-liquid collateral

410

1.3

Total inflows from collateral swaps

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

430

1.5

(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS

440

2

Interdependent inflows

450

3

FX inflows

460

4

Inflows within a group or an institutional protection scheme

470

4.1

Monies due from non-financial customers (except for central banks)

| | | Standard Weight | Applicable Weight |
| --- | --- | --- | --- |
| Exempted from the cap on inflows |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 380 | 1.2.3.1 | margin loans: collateral is non-liquid | | 0,50 | | | |
| 390 | 1.2.3.2 | collateral is non-liquid equity | | 1,00 | | | |
| 400 | 1.2.3.3 | all other non-liquid collateral | | 1,00 | | | |
| 410 | 1.3 | Total inflows from collateral swaps | | | | | |
| 420 | 1.4 | (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | | | | | |
| 430 | 1.5 | (Excess inflows from a related specialised credit institution) | | | | | |
| MEMORANDUM ITEMS |
| 440 | 2 | Interdependent inflows | | | | | |
| 450 | 3 | FX inflows | | | | | |
| 460 | 4 | Inflows within a group or an institutional protection scheme | | | | | |
| 470 | 4.1 | Monies due from non-financial customers (except for central banks) | | | | | |

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

380

1.2.3.1

margin loans: collateral is non-liquid

0,50

390

1.2.3.2

collateral is non-liquid equity

1,00

400

1.2.3.3

all other non-liquid collateral

1,00

410

1.3

Total inflows from collateral swaps

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

430

1.5

(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS

440

2

Interdependent inflows

450

3

FX inflows

460

4

Inflows within a group or an institutional protection scheme

470

4.1

Monies due from non-financial customers (except for central banks)

| | Value of collateral received according to Article 9 | Inflow |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 380 | 1.2.3.1 | margin loans: collateral is non-liquid | | | | | | |
| 390 | 1.2.3.2 | collateral is non-liquid equity | | | | | | |
| 400 | 1.2.3.3 | all other non-liquid collateral | | | | | | |
| 410 | 1.3 | Total inflows from collateral swaps | | | | | | |
| 420 | 1.4 | (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | | | | | | |
| 430 | 1.5 | (Excess inflows from a related specialised credit institution) | | | | | | |
| MEMORANDUM ITEMS |
| 440 | 2 | Interdependent inflows | | | | | | |
| 450 | 3 | FX inflows | | | | | | |
| 460 | 4 | Inflows within a group or an institutional protection scheme | | | | | | |
| 470 | 4.1 | Monies due from non-financial customers (except for central banks) | | | | | | |

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

380

1.2.3.1

margin loans: collateral is non-liquid

390

1.2.3.2

collateral is non-liquid equity

400

1.2.3.3

all other non-liquid collateral

410

1.3

Total inflows from collateral swaps

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

430

1.5

(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS

440

2

Interdependent inflows

450

3

FX inflows

460

4

Inflows within a group or an institutional protection scheme

470

4.1

Monies due from non-financial customers (except for central banks)

| | Amount | Market value of collateral received |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 |
| 480 | 4.2 | Monies due from financial customers | | | | | |
| 490 | 4.3 | Secured transactions | | | | | |
| 500 | 4.4 | Monies due from maturing securities within 30 days | | | | | |
| 510 | 4.5 | Any other inflows within a group or an institutional protection scheme | | | | | |
| 520 | 4.6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate | | | | | |

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

480

4.2

Monies due from financial customers

490

4.3

Secured transactions

500

4.4

Monies due from maturing securities within 30 days

510

4.5

Any other inflows within a group or an institutional protection scheme

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

| | | Standard Weight | Applicable Weight |
| --- | --- | --- | --- |
| Exempted from the cap on inflows |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 060 | 070 | 080 | 090 | 100 |
| 480 | 4.2 | Monies due from financial customers | | | | | |
| 490 | 4.3 | Secured transactions | | | | | |
| 500 | 4.4 | Monies due from maturing securities within 30 days | | | | | |
| 510 | 4.5 | Any other inflows within a group or an institutional protection scheme | | | | | |
| 520 | 4.6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate | | | | | |

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

480

4.2

Monies due from financial customers

490

4.3

Secured transactions

500

4.4

Monies due from maturing securities within 30 days

510

4.5

Any other inflows within a group or an institutional protection scheme

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

| | Value of collateral received according to Article 9 | Inflow |
| --- | --- | --- |
| Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows | Subject to the 75 % cap on inflows | Subject to the 90 % cap on inflows | Exempted from the cap on inflows |
| Row | ID | Item | 110 | 120 | 130 | 140 | 150 | 160 |
| 480 | 4.2 | Monies due from financial customers | | | | | | |
| 490 | 4.3 | Secured transactions | | | | | | |
| 500 | 4.4 | Monies due from maturing securities within 30 days | | | | | | |
| 510 | 4.5 | Any other inflows within a group or an institutional protection scheme | | | | | | |
| 520 | 4.6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate | | | | | | |

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

480

4.2

Monies due from financial customers

490

4.3

Secured transactions

500

4.4

Monies due from maturing securities within 30 days

510

4.5

Any other inflows within a group or an institutional protection scheme

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS

Currency

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 010 | 1 | TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES | | | | | | |
| 020 | 1.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | | | | | | |
| 030 | 1.1.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 040 | 1.1.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 050 | 1.1.3 | Level 2A assets | | | | | | |
| 060 | 1.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 070 | 1.1.5 | Level 2B: high quality covered bonds | | | | | | |
| 080 | 1.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 090 | 1.1.7 | Other Level 2B | | | | | | |
| 100 | 1.1.8 | Non-liquid assets | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

010

1

TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

040

1.1.2

Level 1: extremely high quality covered bonds

050

1.1.3

Level 2A assets

060

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

070

1.1.5

Level 2B: high quality covered bonds

080

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

090

1.1.7

Other Level 2B

100

1.1.8

Non-liquid assets

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 010 | 1 | TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES | | | | | | |
| 020 | 1.1 | Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: | | | | | | |
| 030 | 1.1.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 040 | 1.1.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 050 | 1.1.3 | Level 2A assets | | | | | | |
| 060 | 1.1.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 070 | 1.1.5 | Level 2B: high quality covered bonds | | | | | | |
| 080 | 1.1.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 090 | 1.1.7 | Other Level 2B | | | | | | |
| 100 | 1.1.8 | Non-liquid assets | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

010

1

TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

040

1.1.2

Level 1: extremely high quality covered bonds

050

1.1.3

Level 2A assets

060

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

070

1.1.5

Level 2B: high quality covered bonds

080

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

090

1.1.7

Other Level 2B

100

1.1.8

Non-liquid assets

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 110 | 1.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | | | | | | |
| 120 | 1.2.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 130 | 1.2.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 140 | 1.2.3 | Level 2A assets | | | | | | |
| 150 | 1.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 160 | 1.2.5 | Level 2B: high quality covered bonds | | | | | | |
| 170 | 1.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 180 | 1.2.7 | Other Level 2B | | | | | | |
| 190 | 1.2.8 | Non-liquid assets | | | | | | |
| 200 | 1.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | | | | | | |
| 210 | 1.3.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 220 | 1.3.2 | Level 1: extremely high quality covered bonds | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

110

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

120

1.2.1

Level 1 assets (excl. EHQ covered bonds)

130

1.2.2

Level 1: extremely high quality covered bonds

140

1.2.3

Level 2A assets

150

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

160

1.2.5

Level 2B: high quality covered bonds

170

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

180

1.2.7

Other Level 2B

190

1.2.8

Non-liquid assets

200

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

210

1.3.1

Level 1 assets (excl. EHQ covered bonds)

220

1.3.2

Level 1: extremely high quality covered bonds

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 110 | 1.2 | Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: | | | | | | |
| 120 | 1.2.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 130 | 1.2.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 140 | 1.2.3 | Level 2A assets | | | | | | |
| 150 | 1.2.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 160 | 1.2.5 | Level 2B: high quality covered bonds | | | | | | |
| 170 | 1.2.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 180 | 1.2.7 | Other Level 2B | | | | | | |
| 190 | 1.2.8 | Non-liquid assets | | | | | | |
| 200 | 1.3 | Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: | | | | | | |
| 210 | 1.3.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 220 | 1.3.2 | Level 1: extremely high quality covered bonds | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

110

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

120

1.2.1

Level 1 assets (excl. EHQ covered bonds)

130

1.2.2

Level 1: extremely high quality covered bonds

140

1.2.3

Level 2A assets

150

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

160

1.2.5

Level 2B: high quality covered bonds

170

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

180

1.2.7

Other Level 2B

190

1.2.8

Non-liquid assets

200

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

210

1.3.1

Level 1 assets (excl. EHQ covered bonds)

220

1.3.2

Level 1: extremely high quality covered bonds

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 230 | 1.3.3 | Level 2A assets | | | | | | |
| 240 | 1.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 250 | 1.3.5 | Level 2B: high quality covered bonds | | | | | | |
| 260 | 1.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 270 | 1.3.7 | Other Level 2B | | | | | | |
| 280 | 1.3.8 | Non-liquid assets | | | | | | |
| 290 | 1.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | | | | | | |
| 300 | 1.4.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 310 | 1.4.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 320 | 1.4.3 | Level 2A assets | | | | | | |
| 330 | 1.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 340 | 1.4.5 | Level 2B: high quality covered bonds | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

230

1.3.3

Level 2A assets

240

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

250

1.3.5

Level 2B: high quality covered bonds

260

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

270

1.3.7

Other Level 2B

280

1.3.8

Non-liquid assets

290

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

300

1.4.1

Level 1 assets (excl. EHQ covered bonds)

310

1.4.2

Level 1: extremely high quality covered bonds

320

1.4.3

Level 2A assets

330

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

340

1.4.5

Level 2B: high quality covered bonds

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 230 | 1.3.3 | Level 2A assets | | | | | | |
| 240 | 1.3.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 250 | 1.3.5 | Level 2B: high quality covered bonds | | | | | | |
| 260 | 1.3.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 270 | 1.3.7 | Other Level 2B | | | | | | |
| 280 | 1.3.8 | Non-liquid assets | | | | | | |
| 290 | 1.4 | Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: | | | | | | |
| 300 | 1.4.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 310 | 1.4.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 320 | 1.4.3 | Level 2A assets | | | | | | |
| 330 | 1.4.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 340 | 1.4.5 | Level 2B: high quality covered bonds | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

230

1.3.3

Level 2A assets

240

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

250

1.3.5

Level 2B: high quality covered bonds

260

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

270

1.3.7

Other Level 2B

280

1.3.8

Non-liquid assets

290

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

300

1.4.1

Level 1 assets (excl. EHQ covered bonds)

310

1.4.2

Level 1: extremely high quality covered bonds

320

1.4.3

Level 2A assets

330

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

340

1.4.5

Level 2B: high quality covered bonds

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 350 | 1.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 360 | 1.4.7 | Other Level 2B | | | | | | |
| 370 | 1.4.8 | Non-liquid assets | | | | | | |
| 380 | 1.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | | | | | | |
| 390 | 1.5.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 400 | 1.5.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 410 | 1.5.3 | Level 2A assets | | | | | | |
| 420 | 1.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 430 | 1.5.5 | Level 2B: high quality covered bonds | | | | | | |
| 440 | 1.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 450 | 1.5.7 | Other Level 2B | | | | | | |
| 460 | 1.5.8 | Non-liquid assets | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

350

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

360

1.4.7

Other Level 2B

370

1.4.8

Non-liquid assets

380

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

390

1.5.1

Level 1 assets (excl. EHQ covered bonds)

400

1.5.2

Level 1: extremely high quality covered bonds

410

1.5.3

Level 2A assets

420

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

430

1.5.5

Level 2B: high quality covered bonds

440

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

450

1.5.7

Other Level 2B

460

1.5.8

Non-liquid assets

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 350 | 1.4.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 360 | 1.4.7 | Other Level 2B | | | | | | |
| 370 | 1.4.8 | Non-liquid assets | | | | | | |
| 380 | 1.5 | Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: | | | | | | |
| 390 | 1.5.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 400 | 1.5.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 410 | 1.5.3 | Level 2A assets | | | | | | |
| 420 | 1.5.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 430 | 1.5.5 | Level 2B: high quality covered bonds | | | | | | |
| 440 | 1.5.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 450 | 1.5.7 | Other Level 2B | | | | | | |
| 460 | 1.5.8 | Non-liquid assets | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

350

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

360

1.4.7

Other Level 2B

370

1.4.8

Non-liquid assets

380

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

390

1.5.1

Level 1 assets (excl. EHQ covered bonds)

400

1.5.2

Level 1: extremely high quality covered bonds

410

1.5.3

Level 2A assets

420

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

430

1.5.5

Level 2B: high quality covered bonds

440

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

450

1.5.7

Other Level 2B

460

1.5.8

Non-liquid assets

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 470 | 1.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | | | | | | |
| 480 | 1.6.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 490 | 1.6.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 500 | 1.6.3 | Level 2A assets | | | | | | |
| 510 | 1.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 520 | 1.6.5 | Level 2B: high quality covered bonds | | | | | | |
| 530 | 1.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 540 | 1.6.7 | Other Level 2B | | | | | | |
| 550 | 1.6.8 | Non-liquid assets | | | | | | |
| 560 | 1.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | | | | | | |
| 570 | 1.7.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

470

1.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

480

1.6.1

Level 1 assets (excl. EHQ covered bonds)

490

1.6.2

Level 1: extremely high quality covered bonds

500

1.6.3

Level 2A assets

510

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

520

1.6.5

Level 2B: high quality covered bonds

530

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

540

1.6.7

Other Level 2B

550

1.6.8

Non-liquid assets

560

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

570

1.7.1

Level 1 assets (excl. EHQ covered bonds)

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 470 | 1.6 | Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: | | | | | | |
| 480 | 1.6.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 490 | 1.6.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 500 | 1.6.3 | Level 2A assets | | | | | | |
| 510 | 1.6.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 520 | 1.6.5 | Level 2B: high quality covered bonds | | | | | | |
| 530 | 1.6.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 540 | 1.6.7 | Other Level 2B | | | | | | |
| 550 | 1.6.8 | Non-liquid assets | | | | | | |
| 560 | 1.7 | Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: | | | | | | |
| 570 | 1.7.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

470

1.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

480

1.6.1

Level 1 assets (excl. EHQ covered bonds)

490

1.6.2

Level 1: extremely high quality covered bonds

500

1.6.3

Level 2A assets

510

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

520

1.6.5

Level 2B: high quality covered bonds

530

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

540

1.6.7

Other Level 2B

550

1.6.8

Non-liquid assets

560

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

570

1.7.1

Level 1 assets (excl. EHQ covered bonds)

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 580 | 1.7.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 590 | 1.7.3 | Level 2A assets | | | | | | |
| 600 | 1.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 610 | 1.7.5 | Level 2B: high quality covered bonds | | | | | | |
| 620 | 1.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 630 | 1.7.7 | Other Level 2B | | | | | | |
| 640 | 1.7.8 | Non-liquid assets | | | | | | |
| 650 | 1.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | | | | | | |
| 660 | 1.8.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 670 | 1.8.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 680 | 1.8.3 | Level 2A assets | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

580

1.7.2

Level 1: extremely high quality covered bonds

590

1.7.3

Level 2A assets

600

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

610

1.7.5

Level 2B: high quality covered bonds

620

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

630

1.7.7

Other Level 2B

640

1.7.8

Non-liquid assets

650

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

660

1.8.1

Level 1 assets (excl. EHQ covered bonds)

670

1.8.2

Level 1: extremely high quality covered bonds

680

1.8.3

Level 2A assets

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 580 | 1.7.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 590 | 1.7.3 | Level 2A assets | | | | | | |
| 600 | 1.7.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 610 | 1.7.5 | Level 2B: high quality covered bonds | | | | | | |
| 620 | 1.7.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 630 | 1.7.7 | Other Level 2B | | | | | | |
| 640 | 1.7.8 | Non-liquid assets | | | | | | |
| 650 | 1.8 | Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: | | | | | | |
| 660 | 1.8.1 | Level 1 assets (excl. EHQ covered bonds) | | | | | | |
| 670 | 1.8.2 | Level 1: extremely high quality covered bonds | | | | | | |
| 680 | 1.8.3 | Level 2A assets | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

580

1.7.2

Level 1: extremely high quality covered bonds

590

1.7.3

Level 2A assets

600

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

610

1.7.5

Level 2B: high quality covered bonds

620

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

630

1.7.7

Other Level 2B

640

1.7.8

Non-liquid assets

650

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

660

1.8.1

Level 1 assets (excl. EHQ covered bonds)

670

1.8.2

Level 1: extremely high quality covered bonds

680

1.8.3

Level 2A assets

| | Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed | Outflows | Inflows subject to the 75 % cap on inflows |
| --- | --- | --- | --- | --- | --- | --- |
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 690 | 1.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 700 | 1.8.5 | Level 2B: high quality covered bonds | | | | | | |
| 710 | 1.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 720 | 1.8.7 | Other Level 2B | | | | | | |
| 730 | 1.8.8 | Non-liquid assets | | | | | | |
| MEMORANDUM ITEMS |
| 740 | 2 | Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions | | | | | | |
| 750 | 3 | Total collateral swaps with intragroup counterparties | | | | | | |
| 760 | 4 | Total collateral swaps with central bank counterparties | | | | | | |

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

690

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

700

1.8.5

Level 2B: high quality covered bonds

710

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

720

1.8.7

Other Level 2B

730

1.8.8

Non-liquid assets

MEMORANDUM ITEMS

740

2

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

750

3

Total collateral swaps with intragroup counterparties

760

4

Total collateral swaps with central bank counterparties

| | Inflows subject to the 90 % cap on inflows | Inflows exempted from the cap on inflows | Collateralised derivatives only |
| --- | --- | --- | --- |
| Market value of collateral lent | Liquidity value of collateral lent | Market value of collateral borrowed | Liquidity value of collateral borrowed |
| Row | ID | Item | 070 | 080 | 090 | 100 | 110 | 120 |
| 690 | 1.8.4 | Level 2B: asset-backed securities (residential or automobile, CQS1) | | | | | | |
| 700 | 1.8.5 | Level 2B: high quality covered bonds | | | | | | |
| 710 | 1.8.6 | Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) | | | | | | |
| 720 | 1.8.7 | Other Level 2B | | | | | | |
| 730 | 1.8.8 | Non-liquid assets | | | | | | |
| MEMORANDUM ITEMS |
| 740 | 2 | Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions | | | | | | |
| 750 | 3 | Total collateral swaps with intragroup counterparties | | | | | | |
| 760 | 4 | Total collateral swaps with central bank counterparties | | | | | | |

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

690

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

700

1.8.5

Level 2B: high quality covered bonds

710

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

720

1.8.7

Other Level 2B

730

1.8.8

Non-liquid assets

MEMORANDUM ITEMS

740

2

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

750

3

Total collateral swaps with intragroup counterparties

760

4

Total collateral swaps with central bank counterparties

C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS

Currency

| | Value/Percentage |
| --- | --- |
| Row | ID | Item | 010 |
| CALCULATIONS |
| Numerator, denominator, ratio |
| 010 | 1 | Liquidity buffer | |
| 020 | 2 | Net liquidity outflow | |
| 030 | 3 | Liquidity coverage ratio (%) | |
| Numerator calculations |
| 040 | 4 | L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted | |
| 050 | 5 | L1 excl. EHQCB collateral 30 day outflows | |
| 060 | 6 | L1 excl. EHQCB collateral 30 day inflows | |
| 070 | 7 | Secured cash 30 day ouflows | |
| 080 | 8 | Secured cash 30 day inflows | |
| 090 | 9 | L1 excl. EHQCB “adjusted amount before cap application” | |
| 100 | 10 | L1 EHQCB value according to Article 9: unadjusted | |
| 110 | 11 | L1 EHQCB collateral 30 day outflows | |
| 120 | 12 | L1 EHQCB collateral 30 day inflows | |
| 130 | 13 | L1 EHQCB “adjusted amount before cap application” | |
| 140 | 14 | L1 EHQCB “adjusted amount after cap application” | |
| 150 | 15 | L1 EHQCB “excess liquid assets amount” | |
| 160 | 16 | L2A according to Article 9: unadjusted | |
| 170 | 17 | L2A collateral 30 day outflows | |
| 180 | 18 | L2A collateral 30 day inflows | |
| 190 | 19 | L2A “adjusted amount before cap application” | |
| 200 | 20 | L2A “adjusted amount after cap application” | |
| 210 | 21 | L2A “excess liquid assets amount” | |
| 220 | 22 | L2B according to Article 9: unadjusted | |
| 230 | 23 | L2B collateral 30 day outflows | |
| 240 | 24 | L2B collateral 30 day inflows | |
| 250 | 25 | L2B “adjusted amount before cap application” | |
| 260 | 26 | L2B “adjusted amount after cap application” | |
| 270 | 27 | L2B “excess liquid assets amount” | |
| 280 | 28 | Excess liquid asset amount | |
| 290 | 29 | Liquidity buffer | |
| Denominator calculations |
| 300 | 30 | Total Outflows | |
| 310 | 31 | Fully Exempt Inflows | |
| 320 | 32 | Inflows Subject to 90 % Cap | |
| 330 | 33 | Inflows Subject to 75 % Cap | |
| 340 | 34 | Reduction for Fully Exempt Inflows | |
| 350 | 35 | Reduction for Inflows Subject to 90 % Cap | |
| 360 | 36 | Reduction for Inflows Subject to 75 % Cap | |
| 370 | 37 | Net liquidity outflow | |
| Pillar 2 |
| 380 | 38 | Pillar 2 requirement as set out in Article 105 CRD’ | |

Value/Percentage

Row

ID

Item

010

CALCULATIONS

Numerator, denominator, ratio

010

1

Liquidity buffer

020

2

Net liquidity outflow

030

3

Liquidity coverage ratio (%)

Numerator calculations

040

4

L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted

050

5

L1 excl. EHQCB collateral 30 day outflows

060

6

L1 excl. EHQCB collateral 30 day inflows

070

7

Secured cash 30 day ouflows

080

8

Secured cash 30 day inflows

090

9

L1 excl. EHQCB “adjusted amount before cap application”

100

10

L1 EHQCB value according to Article 9: unadjusted

110

11

L1 EHQCB collateral 30 day outflows

120

12

L1 EHQCB collateral 30 day inflows

130

13

L1 EHQCB “adjusted amount before cap application”

140

14

L1 EHQCB “adjusted amount after cap application”

150

15

L1 EHQCB “excess liquid assets amount”

160

16

L2A according to Article 9: unadjusted

170

17

L2A collateral 30 day outflows

180

18

L2A collateral 30 day inflows

190

19

L2A “adjusted amount before cap application”

200

20

L2A “adjusted amount after cap application”

210

21

L2A “excess liquid assets amount”

220

22

L2B according to Article 9: unadjusted

230

23

L2B collateral 30 day outflows

240

24

L2B collateral 30 day inflows

250

25

L2B “adjusted amount before cap application”

260

26

L2B “adjusted amount after cap application”

270

27

L2B “excess liquid assets amount”

280

28

Excess liquid asset amount

290

29

Liquidity buffer

Denominator calculations

300

30

Total Outflows

310

31

Fully Exempt Inflows

320

32

Inflows Subject to 90 % Cap

330

33

Inflows Subject to 75 % Cap

340

34

Reduction for Fully Exempt Inflows

350

35

Reduction for Inflows Subject to 90 % Cap

360

36

Reduction for Inflows Subject to 75 % Cap

370

37

Net liquidity outflow

Pillar 2

380

38

Pillar 2 requirement as set out in Article 105 CRD’

---

ANNEX II

‘ANNEX XXIII

REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)

1.   Liquid assets

1.1.   General remarks

| 1. | This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey. |
| --- | --- |

1.

| 2. | Assets reported shall comply with the requirements set out in Title II of the Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

2.

| 3. | By derogation to paragraph 2, credit institutions shall not apply currency restrictions defined in Article 8(6), 10(1)(d) and 12(1)(c) of the Commission Delegated Regulation (EU) 2015/61 when completing the template on a significant currency basis, as required in Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions. |
| --- | --- |

3.

| 4. | Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

4.

| 5. | When referring to Article 9 of Commission Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges defined in Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2. |
| --- | --- |

5.

| 6. | Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word “weighted” is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word “weight” in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value according to Article 9 of Commission Delegated Regulation (EU) 2015/61 respectively. |
| --- | --- |

6.

| 7. | Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2. |
| --- | --- |

7.

| 8. | Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. |
| --- | --- |

8.

1.2.   Specific remarks

1.2.1.   Specific requirements regarding CIUs

| 9. | For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13., credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with the principles defined in Article 15(4) of the Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

9.

1.2.2.   Specific requirements regarding grandfathering and transitional provisions

| 10. | Credit institutions shall report items as referred to in Article 35, Article 36 and Article 37 of the Commission Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these article shall also be reported in the “Memorandum” section for reference. |
| --- | --- |

10.

1.2.3.   Specific requirements for reporting by Central Institutions

| 11. | Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits (Article 27(3) of the Commission Delegated Regulation (EU) 2015/61). |
| --- | --- |

11.

1.2.4.   Specific requirements regarding settlement and forward starting transactions

| 12. | All assets complying with Articles 7, 8 and 9 of the Commission Delegated Regulation (EU) 2015/61 which are in the stock of the credit institution on the reference date shall be reported in the relevant row in Template C72 even if they are sold or used in secured forward transactions. Consistently, no liquid assets shall be reported in the template C72.00 of Annex XXIV from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets. |
| --- | --- |

12.

Liquid assets sub template

Instructions concerning specific columns

| Column | Legal references and instructions |
| --- | --- |
| 010 | Amount/Market value

  Credit institutions shall report in Column 010 the market value, or the amount where applicable, of the liquid assets defined in Title II of Commission Delegated Regulation (EU) 2015/61.
  The amount/market value reported in Column 010:






  — | shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation; |

Column

Legal references and instructions

010

Amount/Market value

Credit institutions shall report in Column 010 the market value, or the amount where applicable, of the liquid assets defined in Title II of Commission Delegated Regulation (EU) 2015/61.

The amount/market value reported in Column 010:

—

shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation;

| — | shall not take into account haircuts specified in Title II of the same Regulation; |
| --- | --- |

—

shall not take into account haircuts specified in Title II of the same Regulation;

| — | shall include the proportion of deposits referred to in Article 16(1)(a) of the same Regulation that are holding differing specific assets in the corresponding asset rows; |
| --- | --- |

—

shall include the proportion of deposits referred to in Article 16(1)(a) of the same Regulation that are holding differing specific assets in the corresponding asset rows;

| — | shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation. |
| --- | --- |

—

shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation.

When referring to Article 8(5) of the Commission Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. This does not take into account potential future value changes in the asset.

020

Standard weight

Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of the Commission Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in the value of the liquid assets after applying the appropriate haircuts.

030

Applicable weight

Credit institutions shall report in Column 030 the applicable weight applied to liquid assets defined in Title II of the Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020.

040

Value according to Article 9

Credit institutions shall report in Column 040 the value of the liquid asset in accordance with the definition set out in Article 9 of the Commission Delegated Regulation (EU) 2015/61. This is the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

Instructions concerning specific rows

| Row | Legal references and instructions |
| --- | --- |
| 010 | 1.   TOTAL UNADJUSTED LIQUID ASSETS

  Title II of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report the total amount/Market value of their Liquid assets in c010.
  Credit Institutions shall report the total Value according to Article 9 of their Liquid assets in c040. |
| 020 | 1.1.   Total unadjusted level 1 assets

  Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61
  Assets reported in this section have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61.
  Credit Institutions shall report the total amount/Market value of their Level 1 Liquid assets in c010.
  Credit Institutions shall report the total Value according to Article 9 of their Level 1 Liquid assets in c040. |
| 030 | 1.1.1.   Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

  Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61
  Assets reported in this subsection have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as defined in Article 10(1)(f) of the same Regulation shall not be reported in this subsection.
  Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.
  Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
| 040 | 1.1.1.1.   Coins and banknotes

  Article 10(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Total amount of cash including coins and banknotes/currency. |
| 050 | 1.1.1.2.   Withdrawable central bank reserves

  Articles 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61
  Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State's central bank or in a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013.
  Eligible withdrawable amount is specified by an agreement between the competent authority and the relevant central bank as defined by article 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61. |
| 060 | 1.1.1.3.   Central bank assets

  Articles 10(1)(b)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by the ECB, a Member State's central bank or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. |
| 070 | 1.1.1.4.   Central government assets

  Articles 10(1)(c)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013.
  Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here.
  Assets issued by a Member State-sponsored impaired assets management agencies as referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 are reported here. |
| 080 | 1.1.1.5.   Regional government/local authorities assets

  Articles 10(1)(c)(iii) and (iv) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.
  Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013, and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.
  Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here. |
| 090 | 1.1.1.6.   Public Sector Entity assets

  Article 10(1)(c)(v) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that they are treated as exposures to the central government, regional governments or local authorities of this Member State or third Country, in accordance with paragraphs 4 and 5 of Article 116 of Regulation (EU) No 575/2013.
  Any central government of a third country mentioned above shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.
  Any regional government or local authority of a third country mentioned above shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. |
| 100 | 1.1.1.7.   Recognisable domestic and foreign currency central government and central bank assets

  Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI, provided that the credit institution recognises the assets as Level 1 to cover stressed net liquidity outflows incurred in the same currency in which the asset is denominated.
  Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI and these assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken. |
| 110 | 1.1.1.8.   Credit institution (protected by Member State government, promotional lender) assets

  Articles 10(1)(e)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61
  Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability.
  Assets issued by promotional lender as defined in Article 10(1)(e)(ii) of Commission Delegated Regulation (EU) 2015/61.
  Any regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) or Regulation (EU) No 575/2013. |
| 120 | 1.1.1.9.   Multilateral development bank and international organisations assets

  Article 10(1)(g) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Articles 117(2) and 118 of Regulation (EU) No 575/2013. |
| 130 | 1.1.1.10.   Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

  Article 15(2)(a) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to coins, banknotes and exposures to the ECB, a Member State's or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. |
| 140 | 1.1.1.11.   Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

  Article 15(2)(b) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB and a Member State's or a third country's central bank, and extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. |
| 150 | 1.1.1.12.   Alternative Liquidity Approaches: Central bank credit facility

  Article 19(1)(b) of Commission Delegated Regulation (EU) 2015/61
  Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements defined in Article 19(1)(b)(i) to (iii) of the Commission Delegated Regulation (EU) 2015/61. |
| 160 | 1.1.1.13.   Central credit institutions: Level 1 assets excluding extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

  Article 27(3) of Commission Delegated Regulation (EU) 2015/61
  In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.
  Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.
  These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.
  Assets referred to in this row are level 1 assets excluding extremely high quality covered bonds. |
| 170 | 1.1.1.14.   Alternative Liquidity Approaches: Level 2A assets recognised as Level 1

  Article 19(1)(c) of Commission Delegated Regulation (EU) 2015/61
  Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with Article 19(1)(c) of the Commission Delegated Regulation (EU) 2015/61. These assets shall not be reported in the Level 2A assets section. |
| 180 | 1.1.2.   Total unadjusted Level 1 extremely high quality covered bonds

  Articles 10, 15 and 16 of Commission Delegated Regulation (EU) 2015/61
  Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds defined in Article 10(1)(f) of the same Regulation.
  Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.
  Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
| 190 | 1.1.2.1.   Extremely high quality covered bonds

  Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61
  Assets representing exposures in the form of extremely high quality covered bonds which comply with Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. |
| 200 | 1.1.2.2.   Qualifying CIU shares/units: underlying is extremely high quality covered bonds

  Article 15(2)(c) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. |
| 210 | 1.1.2.3.   Central credit institutions: Level 1 extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

  Article 27(3) of Commission Delegated Regulation (EU) 2015/61
  In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.
  Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.
  These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.
  Assets referred to in this row are level 1 extremely high quality covered bonds. |
| 220 | 1.2.   Total unadjusted level 2 assets

  Articles 11, 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61
  Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61.
  Credit Institutions shall report the total amount/Market value of their Level 2 Liquid assets in c010.
  Credit Institutions shall report the total Value according to Article 9 of their Level 2 Liquid assets in c040. |
| 230 | 1.2.1.   Total unadjusted LEVEL 2A assets

  Articles 11, 15 and 19 of Commission Delegated Regulation (EU) 2015/61
  Assets reported in this sub-section have been explicitly identified as, or treated as Level 2A assets, according to the Commission Delegated Regulation (EU) 2015/61.
  Credit institutions shall report in Column 040 the sum of total market value amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.
  Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
| 240 | 1.2.1.1.   Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %)

  Article 11(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %. |
| 250 | 1.2.1.2.   Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %)

  Article 11(1)(b) of Commission Delegated Regulation (EU) 2015/61
  Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided they are assigned a 20 % risk weight. |
| 260 | 1.2.1.3.   High quality covered bonds (CQS2)

  Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61
  Assets representing exposures in the form of high quality covered bonds which comply with Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013. |
| 270 | 1.2.1.4.   High quality covered bonds (Third Country, CQS1)

  Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61
  Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013. |
| 280 | 1.2.1.5.   Corporate debt securities (CQS1)

  Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61
  Corporate debt securities which comply with Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61. |
| 290 | 1.2.1.6.   Qualifying CIU shares/units: underlying is Level 2A assets

  Article 15(2)(d) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Commission Delegated Regulation (EU) 2015/61. |
| 300 | 1.2.1.7.   Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

  Article 27(3) of Commission Delegated Regulation (EU) 2015/61
  In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.
  Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.
  These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.
  Assets referred to in this row are level 2A assets. |
| 310 | 1.2.2.   Total unadjusted LEVEL 2B assets

  Articles 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61
  Assets reported in this subsection have been explicitly identified as Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61.
  Credit institutions shall report in Column 040 the sum of total market value amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.
  Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. |
| 320 | 1.2.2.1.   Asset-backed securities (residential, CQS1)

  Articles 12(1)(a) and 13(2)(g)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61
  Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with Articles 13(2)(g)(i) and (ii) of the same Regulation.
  Assets which are subject to the transitional provision specified in Article 37 of Commission Delegated Regulation (EU) 2015/61 are reported here. |
| 330 | 1.2.2.2.   Asset-backed securities (auto, CQS1)

  Articles 12(1)(a) and 13(2)(g)(iv) of Commission Delegated Regulation (EU) 2015/61
  Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by auto loans and leases in accordance with Article 13(2)(g)(iv) of the same Regulation. |
| 340 | 1.2.2.3.   High quality covered bonds (RW35 %)

  Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61
  Assets representing exposures in the form of covered bonds issued by credit institutions which comply with Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61 provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013. |
| 350 | 1.2.2.4.   Asset-backed securities (commercial or individuals, Member State, CQS1)

  Articles 12(1)(a) and 13(2)(g)(iii) and (v) of Commission Delegated Regulation (EU) 2015/61
  Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by assets defined in Article 13(2)(g)(iii) and (v) of the same Regulation. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. |
| 360 | 1.2.2.5.   Corporate debt securities (CQS2/3)

  Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61
  Corporate debt securities which comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61 |
| 370 | 1.2.2.6.   Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

  Article 12(3) of Commission Delegated Regulation (EU) 2015/61
  For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of Article 12, provided there is evidence of insufficient availability of non-interest bearing assets meeting these requirements and the non-interest bearing assets in question are adequately liquid in private markets.
  The above mentioned credit institutions shall report corporate debt securities containing non-interest bearing assets, as mentioned above, as long as they meet requirements of point (i) of paragraph 1(b) of Article 12 and have received proper derogation from their competent authority. |
| 380 | 1.2.2.7.   Shares (major stock index)

  Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61
  Shares, which comply with Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution's home Member State.
  Credit institutions shall also report shares complying with Article 12(1)(c) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken. |
| 390 | 1.2.2.8.   Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

  Article 12(1)(f) of Commission Delegated Regulation (EU) 2015/61
  For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment. |
| 400 | 1.2.2.9.   Restricted-use central bank committed liquidity facilities

  Articles 12(1)(d) and 14 of Commission Delegated Regulation (EU) 2015/61
  Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Commission Delegated Regulation (EU) 2015/61. |
| 410 | 1.2.2.10.   Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

  Article 15(2)(e) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of Article 13(2)(g) of Commission Delegated Regulation (EC) No 2015/61. |
| 420 | 1.2.2.11.   Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

  Article 15(2)(f) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61. |
| 430 | 1.2.2.12.   Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

  Article 15(2)(g) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of Article 13(2)(g) of Commission Delegated Regulation (EU) 2015/61. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. |
| 440 | 1.2.2.13.   Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

  Article 15(2)(h) of Commission Delegated Regulation (EU) 2015/61
  Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61, shares that comply with Article 12(1)(c) of the same Regulation or non-interest bearing assets that comply with Article 12(1)(f) of the same Regulation. |
| 450 | 1.2.2.14.   Deposits by network member with central institution (no obligated investment)

  Article 16(1)(b) of Commission Delegated Regulation (EU) 2015/61
  Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract.
  Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category. |
| 460 | 1.2.2.15.   Liquidity funding available to network member from central institution (non-specified collateralisation)

  Article 16(2) of Commission Delegated Regulation (EU) 2015/61
  Undrawn amount of limited liquidity funding that complies with Article 16(2) of Commission Delegated Regulation (EU) 2015/61. |
| 470 | 1.2.2.16.   Central credit institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

  Article 27(3) of Commission Delegated Regulation (EU) 2015/61
  In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.
  Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.
  These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.
  Assets referred to in this row are level 2B assets. |
| MEMORANDUM ITEMS |
| 480 | 2.   Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons

  Article 19(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Where there are insufficient liquid assets in a given currency for credit institutions to meet the LCR the credit institution may cover the deficit of liquid assets in a currency by disregarding the operational requirements on currency consistency set out in Article 8(6) of Commission Delegated Regulation (EU) 2015/61.
  The extra assets shall be reported as normal in their applicable section of template C 72.00 of Annex XXIV and the total amount of assets included due to this Alternative liquidity approach due to not applying currency consistency shall be noted here. |
| 490 | 3.   Deposits by network member with central institution (obligated investment in Level 1 excluding extremely high quality covered bonds assets)

  Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of level 1 assets excluding extremely high quality covered bonds reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
| 500 | 4.   Deposits by network member with central institution (obligated investment in Level 1 extremely high quality covered bonds assets)

  Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of level 1 extremely high quality covered bonds assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
| 510 | 5.   Deposits by network member with central institution (obligated investment in Level 2A assets)

  Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of level 2A assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
| 520 | 6.   Deposits by network member with central institution (obligated investment in Level 2B assets)

  Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of level 2B assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. |
| 530 | 7.   Adjustments made to assets due to net liquidity outflows from early close-out of hedges

  Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash outflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61. |
| 540 | 8.   Adjustments made to assets due to net liquidity inflows from early close-out of hedges

  Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash inflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61. |
| 550 | 9.   Member State-sponsored guaranteed bank assets subject to grandfathering

  Article 35 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. |
| 560 | 10.   Member State-sponsored impaired asset management agencies subject to transitional provision

  Article 36 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of assets referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. |
| 570 | 11.   Securitisations backed by residential loans subject to transitional provision

  Article 37 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report total amount of assets referred to in Article 37 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. |
| 580 | 12.   Level 1/2A/2B assets excluded due to currency reasons

  Articles 8(6), 10(1)(d) and 12(1)(c) of Commission Delegated Regulation (EU) 2015/61
  Institution shall report the portion of assets complying with Article 8(6), 10(1)(d) and Article 12(1)(c) that is not recognisable by institution under the provisions set out in those Articles. |
| 590 | 13.   Level 1/2A/2B assets excluded for operational reasons except for currency reasons

  Article 8 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report assets complying with Article 7 of the Commission Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of the same regulation, provided that they have not been reported in row 580 for currency reasons. |
| 600 | 14.   Level 1 Non-interest bearing assets (held by credit institutions for religious reasons)

  Credit institutions shall report the total amount of Level 1 non-interest bearing assets (held by credit institutions for religious reasons). |
| 610 | 15.   Level 2A Non-interest bearing assets (held by credit institutions for religious reasons)

  Credit institutions shall report the total amount of Level 2A non-interest bearing assets (held by credit institutions for religious reasons). |

Row

Legal references and instructions

010

1.   TOTAL UNADJUSTED LIQUID ASSETS

Title II of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report the total amount/Market value of their Liquid assets in c010.

Credit Institutions shall report the total Value according to Article 9 of their Liquid assets in c040.

020

1.1.   Total unadjusted level 1 assets

Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61

Assets reported in this section have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61.

Credit Institutions shall report the total amount/Market value of their Level 1 Liquid assets in c010.

Credit Institutions shall report the total Value according to Article 9 of their Level 1 Liquid assets in c040.

030

1.1.1.   Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as defined in Article 10(1)(f) of the same Regulation shall not be reported in this subsection.

Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

040

1.1.1.1.   Coins and banknotes

Article 10(1)(a) of Commission Delegated Regulation (EU) 2015/61

Total amount of cash including coins and banknotes/currency.

050

1.1.1.2.   Withdrawable central bank reserves

Articles 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61

Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State's central bank or in a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013.

Eligible withdrawable amount is specified by an agreement between the competent authority and the relevant central bank as defined by article 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61.

060

1.1.1.3.   Central bank assets

Articles 10(1)(b)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the ECB, a Member State's central bank or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013.

070

1.1.1.4.   Central government assets

Articles 10(1)(c)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013.

Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here.

Assets issued by a Member State-sponsored impaired assets management agencies as referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 are reported here.

080

1.1.1.5.   Regional government/local authorities assets

Articles 10(1)(c)(iii) and (iv) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.

Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013, and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.

Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here.

090

1.1.1.6.   Public Sector Entity assets

Article 10(1)(c)(v) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that they are treated as exposures to the central government, regional governments or local authorities of this Member State or third Country, in accordance with paragraphs 4 and 5 of Article 116 of Regulation (EU) No 575/2013.

Any central government of a third country mentioned above shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Any regional government or local authority of a third country mentioned above shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.

100

1.1.1.7.   Recognisable domestic and foreign currency central government and central bank assets

Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI, provided that the credit institution recognises the assets as Level 1 to cover stressed net liquidity outflows incurred in the same currency in which the asset is denominated.

Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI and these assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken.

110

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

Articles 10(1)(e)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61

Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability.

Assets issued by promotional lender as defined in Article 10(1)(e)(ii) of Commission Delegated Regulation (EU) 2015/61.

Any regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) or Regulation (EU) No 575/2013.

120

1.1.1.9.   Multilateral development bank and international organisations assets

Article 10(1)(g) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Articles 117(2) and 118 of Regulation (EU) No 575/2013.

130

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

Article 15(2)(a) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to coins, banknotes and exposures to the ECB, a Member State's or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

140

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

Article 15(2)(b) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB and a Member State's or a third country's central bank, and extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61.

150

1.1.1.12.   Alternative Liquidity Approaches: Central bank credit facility

Article 19(1)(b) of Commission Delegated Regulation (EU) 2015/61

Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements defined in Article 19(1)(b)(i) to (iii) of the Commission Delegated Regulation (EU) 2015/61.

160

1.1.1.13.   Central credit institutions: Level 1 assets excluding extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

Article 27(3) of Commission Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.

Assets referred to in this row are level 1 assets excluding extremely high quality covered bonds.

170

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

Article 19(1)(c) of Commission Delegated Regulation (EU) 2015/61

Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with Article 19(1)(c) of the Commission Delegated Regulation (EU) 2015/61. These assets shall not be reported in the Level 2A assets section.

180

1.1.2.   Total unadjusted Level 1 extremely high quality covered bonds

Articles 10, 15 and 16 of Commission Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds defined in Article 10(1)(f) of the same Regulation.

Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

190

1.1.2.1.   Extremely high quality covered bonds

Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of extremely high quality covered bonds which comply with Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61.

200

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

Article 15(2)(c) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61.

210

1.1.2.3.   Central credit institutions: Level 1 extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

Article 27(3) of Commission Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.

Assets referred to in this row are level 1 extremely high quality covered bonds.

220

1.2.   Total unadjusted level 2 assets

Articles 11, 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61

Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61.

Credit Institutions shall report the total amount/Market value of their Level 2 Liquid assets in c010.

Credit Institutions shall report the total Value according to Article 9 of their Level 2 Liquid assets in c040.

230

1.2.1.   Total unadjusted LEVEL 2A assets

Articles 11, 15 and 19 of Commission Delegated Regulation (EU) 2015/61

Assets reported in this sub-section have been explicitly identified as, or treated as Level 2A assets, according to the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total market value amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

240

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

Article 11(1)(a) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %.

250

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

Article 11(1)(b) of Commission Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided they are assigned a 20 % risk weight.

260

1.2.1.3.   High quality covered bonds (CQS2)

Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of high quality covered bonds which comply with Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013.

270

1.2.1.4.   High quality covered bonds (Third Country, CQS1)

Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013.

280

1.2.1.5.   Corporate debt securities (CQS1)

Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61.

290

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

Article 15(2)(d) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Commission Delegated Regulation (EU) 2015/61.

300

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

Article 27(3) of Commission Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.

Assets referred to in this row are level 2A assets.

310

1.2.2.   Total unadjusted LEVEL 2B assets

Articles 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total market value amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61.

320

1.2.2.1.   Asset-backed securities (residential, CQS1)

Articles 12(1)(a) and 13(2)(g)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with Articles 13(2)(g)(i) and (ii) of the same Regulation.

Assets which are subject to the transitional provision specified in Article 37 of Commission Delegated Regulation (EU) 2015/61 are reported here.

330

1.2.2.2.   Asset-backed securities (auto, CQS1)

Articles 12(1)(a) and 13(2)(g)(iv) of Commission Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by auto loans and leases in accordance with Article 13(2)(g)(iv) of the same Regulation.

340

1.2.2.3.   High quality covered bonds (RW35 %)

Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions which comply with Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61 provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013.

350

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

Articles 12(1)(a) and 13(2)(g)(iii) and (v) of Commission Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by assets defined in Article 13(2)(g)(iii) and (v) of the same Regulation. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

360

1.2.2.5.   Corporate debt securities (CQS2/3)

Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61

370

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

Article 12(3) of Commission Delegated Regulation (EU) 2015/61

For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of Article 12, provided there is evidence of insufficient availability of non-interest bearing assets meeting these requirements and the non-interest bearing assets in question are adequately liquid in private markets.

The above mentioned credit institutions shall report corporate debt securities containing non-interest bearing assets, as mentioned above, as long as they meet requirements of point (i) of paragraph 1(b) of Article 12 and have received proper derogation from their competent authority.

380

1.2.2.7.   Shares (major stock index)

Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61

Shares, which comply with Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution's home Member State.

Credit institutions shall also report shares complying with Article 12(1)(c) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken.

390

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

Article 12(1)(f) of Commission Delegated Regulation (EU) 2015/61

For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment.

400

1.2.2.9.   Restricted-use central bank committed liquidity facilities

Articles 12(1)(d) and 14 of Commission Delegated Regulation (EU) 2015/61

Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Commission Delegated Regulation (EU) 2015/61.

410

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

Article 15(2)(e) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of Article 13(2)(g) of Commission Delegated Regulation (EC) No 2015/61.

420

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

Article 15(2)(f) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61.

430

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

Article 15(2)(g) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of Article 13(2)(g) of Commission Delegated Regulation (EU) 2015/61. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

440

1.2.2.13.   Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

Article 15(2)(h) of Commission Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61, shares that comply with Article 12(1)(c) of the same Regulation or non-interest bearing assets that comply with Article 12(1)(f) of the same Regulation.

450

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

Article 16(1)(b) of Commission Delegated Regulation (EU) 2015/61

Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract.

Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category.

460

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

Article 16(2) of Commission Delegated Regulation (EU) 2015/61

Undrawn amount of limited liquidity funding that complies with Article 16(2) of Commission Delegated Regulation (EU) 2015/61.

470

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

Article 27(3) of Commission Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here.

Assets referred to in this row are level 2B assets.

MEMORANDUM ITEMS

480

2.   Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons

Article 19(1)(a) of Commission Delegated Regulation (EU) 2015/61

Where there are insufficient liquid assets in a given currency for credit institutions to meet the LCR the credit institution may cover the deficit of liquid assets in a currency by disregarding the operational requirements on currency consistency set out in Article 8(6) of Commission Delegated Regulation (EU) 2015/61.

The extra assets shall be reported as normal in their applicable section of template C 72.00 of Annex XXIV and the total amount of assets included due to this Alternative liquidity approach due to not applying currency consistency shall be noted here.

490

3.   Deposits by network member with central institution (obligated investment in Level 1 excluding extremely high quality covered bonds assets)

Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of level 1 assets excluding extremely high quality covered bonds reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61.

500

4.   Deposits by network member with central institution (obligated investment in Level 1 extremely high quality covered bonds assets)

Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of level 1 extremely high quality covered bonds assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61.

510

5.   Deposits by network member with central institution (obligated investment in Level 2A assets)

Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of level 2A assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61.

520

6.   Deposits by network member with central institution (obligated investment in Level 2B assets)

Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of level 2B assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61.

530

7.   Adjustments made to assets due to net liquidity outflows from early close-out of hedges

Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash outflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61.

540

8.   Adjustments made to assets due to net liquidity inflows from early close-out of hedges

Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash inflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61.

550

9.   Member State-sponsored guaranteed bank assets subject to grandfathering

Article 35 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Commission Delegated Regulation (EU) 2015/61 reported in above sections.

560

10.   Member State-sponsored impaired asset management agencies subject to transitional provision

Article 36 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of assets referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 reported in above sections.

570

11.   Securitisations backed by residential loans subject to transitional provision

Article 37 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of assets referred to in Article 37 of Commission Delegated Regulation (EU) 2015/61 reported in above sections.

580

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

Articles 8(6), 10(1)(d) and 12(1)(c) of Commission Delegated Regulation (EU) 2015/61

Institution shall report the portion of assets complying with Article 8(6), 10(1)(d) and Article 12(1)(c) that is not recognisable by institution under the provisions set out in those Articles.

590

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

Article 8 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report assets complying with Article 7 of the Commission Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of the same regulation, provided that they have not been reported in row 580 for currency reasons.

600

14.   Level 1 Non-interest bearing assets (held by credit institutions for religious reasons)

Credit institutions shall report the total amount of Level 1 non-interest bearing assets (held by credit institutions for religious reasons).

610

15.   Level 2A Non-interest bearing assets (held by credit institutions for religious reasons)

Credit institutions shall report the total amount of Level 2A non-interest bearing assets (held by credit institutions for religious reasons).

REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)

1.   Outflows

1.1.   General remarks

| 1. | This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey. |
| --- | --- |

1.

| 2. | Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

2.

| 3. | Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. |
| --- | --- |

3.

| 4. | In accordance with Article 22(1) of Commission Delegated Regulation (EU) 2015/61, liquidity outflows shall:






  i. | include those categories referred to in Article 22(2) of Commission Delegated Regulation (EU) 2015/61 |
| --- | --- | --- |

4.

i.

include those categories referred to in Article 22(2) of Commission Delegated Regulation (EU) 2015/61

| ii. | be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

ii.

be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Commission Delegated Regulation (EU) 2015/61.

| 5. | Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word “weight” just refers to these. In these instructions the word “weighted” is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). |
| --- | --- |

5.

| 6. | Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. These outflows shall also be separately reported as memorandum items. |
| --- | --- |

6.

| 7. | The liquidity outflows shall be reported only once in the template unless additional outflows according to article 30 of the Commission Delegated Regulation (EU) 2015/61 are applicable or where the item is also a memorandum item. The reporting of the memorandum items does not affect the calculations of liquidity outflows. |
| --- | --- |

7.

| 8. | When reporting in a significant currency, the following shall always apply:






  — | only items and flows denominated in that currency shall be reported; |
| --- | --- | --- |

8.

—

only items and flows denominated in that currency shall be reported;

| — | in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported; |
| --- | --- |

—

in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported;

| — | where the Commission Delegated Regulation (EU) 2015/61 allows netting it may only be applied to flows in that currency; |
| --- | --- |

—

where the Commission Delegated Regulation (EU) 2015/61 allows netting it may only be applied to flows in that currency;

| — | where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency. |
| --- | --- |

—

where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency.

| 9. | The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided here for information. |
| --- | --- |

9.

| 10. | The template contains information about collateralised liquidity flows, referred to as “secured lending and capital-market driven transactions” in Commission Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that regulation. |
| --- | --- |

10.

| 11. | A separate template is provided for collateral swaps, C 75.00 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash- versus-collateral transactions. |
| --- | --- |

11.

1.2.   Specific remarks regarding settlement and forward starting transactions

| 12. | Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.7.3. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than of the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row.
  Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored |
| --- | --- |

12.

Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored

| 13. | Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

13.

| # | Item | Decision | Reporting |
| --- | --- | --- | --- |
| 1 | Forward starting transaction | Yes | # 2 |
| No | # 4 |
| 2 | Forward transaction entered into subsequent to the reporting date; | Yes | Do not report |
| No | # 3 |
| 3 | Forward transaction that start prior to and mature after the 30-day horizon. | Yes | Do not report |
| No | ID 1.1.7.3. |
| 4 | An item requiring additional outflows in accordance with Article 30 of DA? | Yes | # 5 and subsequently # 48 |
| No | # 5 |
| 5 | Retail deposit in accordance with Article 3(8) of DA. | Yes | # 6 |
| No | # 12 |
| 6 | Canceled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution? | Yes | ID 1.1.1.1. |
| No | # 7 |
| 7 | Deposit in accordance with Article 25(4) of DA? | Yes | Do not report |
| No | # 8 |
| 8 | Deposit in accordance with Article 25(5) of DA? | Yes | ID 1.1.1.5. |
| No | # 9 |
| 9 | Deposit in accordance with Article 25(2) of DA? | Yes | Allocate into one relevant item of ID 1.1.1.2. |
| No | # 10 |
| 10 | Deposit in accordance with Article 24(4) of DA? | Yes | ID 1.1.1.4. |
| No | # 11 |
| 11 | Deposit in accordance with Article 24(1) of DA? | Yes | ID 1.1.1.3. |
| No | ID 1.1.1.6. |
| 12 | Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days? | Yes | # 13 |
| No | # 29 |
| 13 | Liability resulting from the institution's own operating expenses? | Yes | ID 1.1.7.1. |
| No | # 14 |
| 14 | Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA? | Yes | Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly) |
| No | # 15 |
| 15 | Liability in form of debt security? | Yes | ID 1.1.7.2. |
| No | # 16 |
| 16 | Deposit received as collateral? | Yes | Allocate across relevant items of ID 1.1.4. |
| No | # 17 |
| 17 | Deposit arising out of a corresponding banking or from the prime brokerage? | Yes | ID1.1.3.1. |
| No | # 18 |
| 18 | Operational deposit in accordance with Article 27 of DA? | Yes | # 19 |
| No | # 24 |
| 19 | Maintained in the context of IPS or a cooperative network? | Yes | # 20 |
| No | # 22 |
| 20 | Treated as liquid assets for the depositing credit institution? | Yes | ID 1.1.2.2.2. |
| No | # 21 |
| 21 | Maintained to obtain cash clearing and central credit institution services within a network? | Yes | ID 1.1.2.4. |
| No | ID 1.1.2.2.1. |
| 22 | Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship? | Yes | Allocate into one relevant item of ID 1.1.2.1. |
| No | # 23 |
| 23 | Maintained in the context of an established operational relationship (other) with non-financial customers? | Yes | ID 1.1.2.3. |
| No | # 24 |
| 24 | Other deposit? | Yes | # 25 |
| No | # 26 |
| 25 | Deposits by financial customers? | Yes | ID 1.1.3.2. |
| No | Allocate into one relevant item of ID 1.1.3.3. |
| 26 | Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps? | Yes | Allocate into one relevant item of ID 1.2. |
| No | # 27 |
| 27 | Liability from collateral swaps? | Yes | Allocate into one relevant item of C75.00 and ID 1.3. where applicable. |
| No | # 28 |
| 28 | Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA? | Yes | ID 1.1.4.5. |
| No | ID1.1.7.3. |
| 29 | Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA? | Yes | #30 |
| No | # 38 |
| 30 | Committed credit facility? | Yes | # 31 |
| No | # 33 |
| 31 | Within IPS or cooperative network treated as liquid asset by the depositing institution? | Yes | ID 1.1.5.1.6. |
| No | # 32 |
| 32 | Within a group or an IPS subject to preferential treatment? | Yes | ID 1.1.5.1.5. |
| No | Allocate into one relevant remaining item of ID 1.1.5.1. |
| 33 | Committed liquidity facility? | Yes | #34 |
| n/a | n/a |
| 34 | Within IPS or cooperative network treated as liquid asset by the depositing institution? | Yes | ID 1.1.5.2.7. |
| No | # 35 |
| 35 | Within a group or an IPS subject to preferential treatment? | Yes | ID 1.1.5.2.6. |
| No | # 36 |
| 36 | To SSPEs? | Yes | Allocate into one relevant item of ID 1.1.5.2.4. |
| No | #37 |
| 37 | To personal investment companies? | Yes | ID 1.1.5.2.3. |
| No | Allocate into one relevant remaining item of ID 1.1.5.2. |
| 38 | Other product or service in accordance with Article 23 of DA? | Yes | # 39 |
| No | Do not report |
| 39 | Trade finance off balance sheet related product? | Yes | ID1.1.6.8. |
| No | # 40 |
| 40 | Contractual commitments to extend funding to non-financial customers in excess of monies due from those customers? | Yes | One of the following IDs: 1.1.6.6.1.1. to 1.1.6.6.1.4. |
| No | # 41 |
| 41 | Undrawn loans and advances to wholesale counterparties? | Yes | ID 1.1.6.2. |
| No | # 42 |
| 42 | Mortgages that have been agreed but not yet drawn down | Yes | ID 1.1.6.3. |
| No | # 43 |
| 43 | Is it other planned outflow related to renewal or extension of new loans? | Yes | ID 1.1.6.6.2. |
| No | # 44 |
| 44 | Credit cards? | Yes | ID 1.1.6.4. |
| No | # 45 |
| 45 | Overdraft? | Yes | ID 1.1.6.5. |
| No | # 46 |
| 46 | Planned derivatives payable? | Yes | ID1.1.6.7. |
| No | # 47 |
| 47 | Other off balance sheet and contingent funding obligation? | Yes | ID1.1.6.1. |
| No | ID 1.1.6.9. |
| 48 | Debt security already reported in item 1.1.7.2 of C 73.00? | Yes | Do not report |
| No | # 49 |
| 49 | Liquidity requirement for derivatives in accordance with article 30.4 of DA already considered in question # 28? | Yes | Do not report |
| No | Allocate across relevant items of ID 1.1.4. |

#

Item

Decision

Reporting

1

Forward starting transaction

Yes

# 2

No

# 4

2

Forward transaction entered into subsequent to the reporting date;

Yes

Do not report

No

# 3

3

Forward transaction that start prior to and mature after the 30-day horizon.

Yes

Do not report

No

ID 1.1.7.3.

4

An item requiring additional outflows in accordance with Article 30 of DA?

Yes

# 5 and subsequently # 48

No

# 5

5

Retail deposit in accordance with Article 3(8) of DA.

Yes

# 6

No

# 12

6

Canceled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution?

Yes

ID 1.1.1.1.

No

# 7

7

Deposit in accordance with Article 25(4) of DA?

Yes

Do not report

No

# 8

8

Deposit in accordance with Article 25(5) of DA?

Yes

ID 1.1.1.5.

No

# 9

9

Deposit in accordance with Article 25(2) of DA?

Yes

Allocate into one relevant item of ID 1.1.1.2.

No

# 10

10

Deposit in accordance with Article 24(4) of DA?

Yes

ID 1.1.1.4.

No

# 11

11

Deposit in accordance with Article 24(1) of DA?

Yes

ID 1.1.1.3.

No

ID 1.1.1.6.

12

Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days?

Yes

# 13

No

# 29

13

Liability resulting from the institution's own operating expenses?

Yes

ID 1.1.7.1.

No

# 14

14

Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA?

Yes

Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly)

No

# 15

15

Liability in form of debt security?

Yes

ID 1.1.7.2.

No

# 16

16

Deposit received as collateral?

Yes

Allocate across relevant items of ID 1.1.4.

No

# 17

17

Deposit arising out of a corresponding banking or from the prime brokerage?

Yes

ID1.1.3.1.

No

# 18

18

Operational deposit in accordance with Article 27 of DA?

Yes

# 19

No

# 24

19

Maintained in the context of IPS or a cooperative network?

Yes

# 20

No

# 22

20

Treated as liquid assets for the depositing credit institution?

Yes

ID 1.1.2.2.2.

No

# 21

21

Maintained to obtain cash clearing and central credit institution services within a network?

Yes

ID 1.1.2.4.

No

ID 1.1.2.2.1.

22

Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship?

Yes

Allocate into one relevant item of ID 1.1.2.1.

No

# 23

23

Maintained in the context of an established operational relationship (other) with non-financial customers?

Yes

ID 1.1.2.3.

No

# 24

24

Other deposit?

Yes

# 25

No

# 26

25

Deposits by financial customers?

Yes

ID 1.1.3.2.

No

Allocate into one relevant item of ID 1.1.3.3.

26

Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps?

Yes

Allocate into one relevant item of ID 1.2.

No

# 27

27

Liability from collateral swaps?

Yes

Allocate into one relevant item of C75.00 and ID 1.3. where applicable.

No

# 28

28

Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA?

Yes

ID 1.1.4.5.

No

ID1.1.7.3.

29

Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA?

Yes

# 30

No

# 38

30

Committed credit facility?

Yes

# 31

No

# 33

31

Within IPS or cooperative network treated as liquid asset by the depositing institution?

Yes

ID 1.1.5.1.6.

No

# 32

32

Within a group or an IPS subject to preferential treatment?

Yes

ID 1.1.5.1.5.

No

Allocate into one relevant remaining item of ID 1.1.5.1.

33

Committed liquidity facility?

Yes

# 34

n/a

n/a

34

Within IPS or cooperative network treated as liquid asset by the depositing institution?

Yes

ID 1.1.5.2.7.

No

# 35

35

Within a group or an IPS subject to preferential treatment?

Yes

ID 1.1.5.2.6.

No

# 36

36

To SSPEs?

Yes

Allocate into one relevant item of ID 1.1.5.2.4.

No

# 37

37

To personal investment companies?

Yes

ID 1.1.5.2.3.

No

Allocate into one relevant remaining item of ID 1.1.5.2.

38

Other product or service in accordance with Article 23 of DA?

Yes

# 39

No

Do not report

39

Trade finance off balance sheet related product?

Yes

ID1.1.6.8.

No

# 40

40

Contractual commitments to extend funding to non-financial customers in excess of monies due from those customers?

Yes

One of the following IDs: 1.1.6.6.1.1. to 1.1.6.6.1.4.

No

# 41

41

Undrawn loans and advances to wholesale counterparties?

Yes

ID 1.1.6.2.

No

# 42

42

Mortgages that have been agreed but not yet drawn down

Yes

ID 1.1.6.3.

No

# 43

43

Is it other planned outflow related to renewal or extension of new loans?

Yes

ID 1.1.6.6.2.

No

# 44

44

Credit cards?

Yes

ID 1.1.6.4.

No

# 45

45

Overdraft?

Yes

ID 1.1.6.5.

No

# 46

46

Planned derivatives payable?

Yes

ID1.1.6.7.

No

# 47

47

Other off balance sheet and contingent funding obligation?

Yes

ID1.1.6.1.

No

ID 1.1.6.9.

48

Debt security already reported in item 1.1.7.2 of C 73.00?

Yes

Do not report

No

# 49

49

Liquidity requirement for derivatives in accordance with article 30.4 of DA already considered in question # 28?

Yes

Do not report

No

Allocate across relevant items of ID 1.1.4.

1.3.   Instructions concerning specific columns

| Column | Legal references and instructions |
| --- | --- |
| 010 | Amount







  1.1. | Unsecured transactions/deposits specific instructions:
  Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61.
  Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26. |

Column

Legal references and instructions

010

Amount

1.1.

Unsecured transactions/deposits specific instructions:

Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61.

Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26.

| 1.2. | Secured lending and capital market-driven transactions specific instructions:
  Credit institutions shall report here the outstanding balance of the liabilities in accordance with Article 22(2) of Commission Delegated Regulation (EU) 2015/61, which represent the cash leg of the secured transaction. |
| --- | --- |

1.2.

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the outstanding balance of the liabilities in accordance with Article 22(2) of Commission Delegated Regulation (EU) 2015/61, which represent the cash leg of the secured transaction.

020

Market value of collateral extended

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges (in accordance with Article 8(5) of Commission Delegated Regulation (EU) 2015/61 and subject to the following conditions:

| — | These extended collateral to be reported only refer to Level 1, 2A and 2B assets that would qualify upon maturity as liquid assets in accordance with Title II. Where collateral is Level 1, 2A or 2B but would not qualify as liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (in accordance with Article 12(1)(c)(i) to (iii) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognized within liquid assets, the surplus amount shall be reported in the non-liquid section; |
| --- | --- |

—

These extended collateral to be reported only refer to Level 1, 2A and 2B assets that would qualify upon maturity as liquid assets in accordance with Title II. Where collateral is Level 1, 2A or 2B but would not qualify as liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (in accordance with Article 12(1)(c)(i) to (iii) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognized within liquid assets, the surplus amount shall be reported in the non-liquid section;

| — | Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting). |
| --- | --- |

—

Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting).

030

Value of collateral extended according to Article 9

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV.

040

Standard Weight

Articles 24 – 31 of Commission Delegated Regulation (EU) 2015/61

The standard weights in Column 040 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only.

050

Applicable Weight

Both unsecured and secured:

Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

060

Outflow

Both unsecured and secured:

Credit institutions shall report here the outflows. This is calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV.

1.4.   Instructions concerning specific rows

| Row | Legal references and instructions |
| --- | --- |
| 010 | 1.   OUTFLOWS

  Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61. |
| 020 | 1.1.   Outflows from unsecured transactions/deposits

  Articles 20 to 31 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report here on outflows in accordance with Articles 21 to 31 with the exception of outflows in accordance with Article 28(3) an (4) of Commission Delegated Regulation (EU) 2015/61. |
| 030 | 1.1.1.   Retail deposits

  Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report here on retail deposits as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61.
  In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Credit institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits. |
| 040 | 1.1.1.1.   deposits where the pay-out has been agreed within the following 30 days

  Article 25(4) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed. |
| 050 | 1.1.1.2.   deposits subject to higher outflows

  Articles 25(2) and (3) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with paragraph 2 and 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here. |
| 060 | 1.1.1.2.1.   Category 1

  Article 25(3) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) or two of the criteria in subparagraphs (b) to (e) of paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category.
  Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (a) of paragraph 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the previous paragraph and weighted by the cited corresponding amounts. |
| 070 | 1.1.1.2.2.   Category 2

  Article 25(3) of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) of paragraph 2 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 and at least another criterion referred to in that paragraph 2 or three or more criteria of the cited paragraph unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category.
  Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here.
  Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (b) of paragraph 3 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred in the previous paragraphs and weighted by the cited corresponding amounts. |
| 080 | 1.1.1.3.   stable deposits

  Article 24 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where:






  — | These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or |

Row

Legal references and instructions

010

1.   OUTFLOWS

Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61.

020

1.1.   Outflows from unsecured transactions/deposits

Articles 20 to 31 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Articles 21 to 31 with the exception of outflows in accordance with Article 28(3) an (4) of Commission Delegated Regulation (EU) 2015/61.

030

1.1.1.   Retail deposits

Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on retail deposits as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61.

In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Credit institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits.

040

1.1.1.1.   deposits where the pay-out has been agreed within the following 30 days

Article 25(4) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed.

050

1.1.1.2.   deposits subject to higher outflows

Articles 25(2) and (3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with paragraph 2 and 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here.

060

1.1.1.2.1.   Category 1

Article 25(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) or two of the criteria in subparagraphs (b) to (e) of paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category.

Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (a) of paragraph 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the previous paragraph and weighted by the cited corresponding amounts.

070

1.1.1.2.2.   Category 2

Article 25(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) of paragraph 2 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 and at least another criterion referred to in that paragraph 2 or three or more criteria of the cited paragraph unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category.

Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here.

Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (b) of paragraph 3 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred in the previous paragraphs and weighted by the cited corresponding amounts.

080

1.1.1.3.   stable deposits

Article 24 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where:

—

These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or

| — | These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category; |
| --- | --- |

—

These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category;

| — | The derogation specified in paragraph 4 of Article 24 is not applicable. |
| --- | --- |

—

The derogation specified in paragraph 4 of Article 24 is not applicable.

090

1.1.1.4.   Derogated stable deposits

Articles 24(4) and (6) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the amounts of retail deposits which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100 000 and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where:

These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or

| — | These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category; |
| --- | --- |

—

These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category;

| — | The derogation envisaged in paragraph 4 of Article 24 is applicable. |
| --- | --- |

—

The derogation envisaged in paragraph 4 of Article 24 is applicable.

100

1.1.1.5.   deposits in third countries where a higher outflow is applied

Article 25(5) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of retail deposits taken in third countries where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country.

110

1.1.1.6.   other retail deposits

Article 25(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other retail deposits than those captured in the previous items.

120

1.1.2.   Operational deposits

Articles 27 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on operational deposits in accordance with article 27 of the Commission Delegated Regulation (EU) 2015/61, with the exception of deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services which are considered as non- operational deposits in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61.

130

1.1.2.1.   maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

Article 27(1)(a), Article 27(2) and Article 27(4) of the Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on deposits maintained by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established relationship (in accordance with Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61) which is critically important to the depositor (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61); funds in excess of those required for the provision of operational services are treated as non-operational deposits (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61).

Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4)) shall be reported.

Credit institutions shall report separately, in accordance with Article 27(2) of the Commission Delegated Regulation (EU) 2015/61, the amount of these deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions.

140

1.1.2.1.1.   covered by DGS (Deposit Guarantee Scheme)

Article 27(1)(a), Article 27(2) and Article 27(4) of the Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits maintained in the context of an established operational relationship that fulfills the criteria set out in Article 27(1)(a) and 27 (4) of the Commission Delegated Regulation (EU) 2015/61 and which is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

150

1.1.2.1.2.   not covered by DGS

Article 27(1)(a), Article 27(2) and Article 27(4) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits in the context of an established operational relationship that fulfills the criteria set out in Article 27(1)(a) and 27 (4) of the Commission Delegated Regulation (EU) 2015/61 and which is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

160

1.1.2.2.   maintained in the context of IPS (Institutional Protection Scheme) or a cooperative network

Article 27(1)(b) and Article 27(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on deposits maintained in the context of a common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, or as a legal or contractually established minimum deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, as set out in Article 27(1)(b) of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report these deposits into different rows depending on whether they are treated as liquid assets by the depositing credit institution or not, in accordance with Article 27(3) of the Commission Delegated Regulation (EU) 2015/61.

170

1.1.2.2.1.   not treated as liquid assets for the depositing institution

Article 27(1)(b) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained in the context of a cooperative network or an institutional protection scheme in accordance with the criteria set out in Article 27(1)(b) of the Commission Delegated Regulation (EU) 2015/61, provided those deposits are not recognized as liquid assets for the depositing credit institution.

180

1.1.2.2.2.   treated as liquid assets for the depositing credit institution

Article 27(1)(b) and Article 27(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report deposits from credit institutions placed at the central credit institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report the amount of these deposits up to the amount of the correspondent liquid assets after haircut, as set out in Article 27(3) of the Commission Delegated Regulation (EU) 2015/61.

190

1.1.2.3.   maintained in the context of an established operational relationship (other) with non-financial customers

Article 27(1)(c), Article 27(4) and Article 27(6) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by a non-financial customer in the context of an established operational relationship other than that mentioned in Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61, and subject to the requirements set out in Article 27(6).

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61) shall be reported.

200

1.1.2.4.   maintained to obtain cash clearing and central credit institution services within a network

Article 27(1)(d) and Article 27(4) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of a network or schemes referred to in Article 16 of the Commission Delegated Regulation (EU) 2015/61, as set out in Article 27(1)(d) of the Commission Delegated Regulation (EU) 2015/61. These cash clearing and central credit institution services only covers such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61); funds in excess of those required for the provision of operational services are treated as non-operational deposits (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61).

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61) shall be reported.

210

1.1.3.   Non-operational deposits

Art 27 (5), Article 28(1) and Article 31(9) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of the Commission Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report separately, with the exception of the liabilities arising out of correspondent banking relationship or from the provision of prime brokerage services in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61, the amount of these non-operational deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions.

220

1.1.3.1.   correspondent banking and provisions of prime brokerage deposits

Article 27(5) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits arising out of correspondent banking relationship or from the provision of prime brokerage as referred to in Article 27(5) of the Commission Delegated Regulation (EU) 2015/61.

230

1.1.3.2.   deposits by financial customers

Article 31(10) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by financial customers to the extent they are not considered as operational deposits in accordance with Article 27 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall include here also funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61.

240

1.1.3.3.   deposits by other customers

Article 28(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) in accordance with Article 28(1) of the Commission Delegated Regulation (EU) 2015/61, to the extent they are not considered as operational deposits in accordance with Article 27.

This section shall also include:

| — | funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission delegated Regulation (EU) 2015/61 provided that they are not from financial customers; and |
| --- | --- |

—

funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission delegated Regulation (EU) 2015/61 provided that they are not from financial customers; and

| — | the excess part of the deposits in accordance with Article 27(6) of the Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

—

the excess part of the deposits in accordance with Article 27(6) of the Commission Delegated Regulation (EU) 2015/61.

These deposits shall be reported in two different rows depending on the amount of the deposit covered or not covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

250

1.1.3.3.1.   covered by DGS

Article 28(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of these deposits maintained by other customers and covered by a Deposit Scheme Guarantee in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1).

260

1.1.3.3.2.   not covered by DGS

Article 28(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of these deposits maintained by other customers and not covered by a Deposit Scheme Guarantee in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1).

270

1.1.4.   Additional outflows

Article 30 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on additional outflows as defined in Article 30 of the Commission Delegated Regulation (EU) 2015/61.

In accordance with Article 30(7) of the Commission Delegated Regulation (EU) 2015/61 deposits received as collateral shall not be considered as liabilities for the purposes of Article 27 or 29 of the Commission Delegated Regulation (EU) 2015/61 but shall be subject to the provisions of paragraphs 1 to 6 of article 30 of the Commission Delegated Regulation (EU) 2015/61 where applicable.

280

1.1.4.1.   collateral other than Level 1 assets posted for derivatives

Article 30(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral other than Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

290

1.1.4.2.   level 1 EHQ Covered Bonds assets collateral posted for derivatives

Article 30(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

300

1.1.4.3.   material outflows due to deterioration of own credit quality

Article 30(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of additional outflows they have calculated and notified to the competent authorities in accordance with Article 30(2) of the Commission Delegated Regulation (EU) 2015/61.

If an amount subject to outflow due to deterioration of own credit quality has been reported elsewhere in a row with less than 100 % weight, then an amount shall also be reported in Row 300 such that the sum of the outflows is 100 % outflow in total for the transaction.

310

1.1.4.4.   impact of an adverse market scenario on derivatives, financing transactions and other contracts

Article 30(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows calculated in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013.

320

1.1.4.4.1.   HLBA (Historical Look-back Approach)approach

Article 30(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount resulting from application of the Historical Look-back Approach in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013.

330

1.1.4.4.2.   AMAO (Advanced Method for Additional Outflows) approach

Article 30(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here the excess amount over the amount in item 1.1.4.4.1. resulting from the application of the Advanced Method for Additional Outflows in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013.

Only credit institutions that have been permitted by the relevant competent authorities to use the internal-model method (IMM) set out in Section 6 of Chapter 6 of Regulation (EU) No 575/2013 shall report this item.

340

1.1.4.5.   outflows from derivatives

Article 30(4) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows expected over 30 calendar days from contracts listed in Annex II of Regulation (EU) No 575/2013 calculated in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61.

For significant currency reporting only, credit institutions shall report outflows which occur only in the respective significant currency. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00).

350

1.1.4.6.   short positions

Article 30(5) and Article 30(11) of Commission Delegated Regulation (EU) 2015/61

The credit institution shall add an additional outflow corresponding to 100 % of the market value of securities or other assets sold short and to be delivered within 30 calendar day period to reflect the requirement that the credit institution needs to collateralise assets borrowed to settle any short sales. No outflow shall be assumed either if the credit institution owns the securities to be delivered, since they have been fully paid for, or has borrowed them at terms requiring their return only after the 30 calendar day period, and the securities do not form part of the institution's liquid assets. If the short position is being covered by an existing collateralised securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar day period and receive a 0 % outflow.

360

1.1.4.6.1.   covered by collateralized SFT (securities financing transactions)

Article 30(5) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short that are covered by collateralized securities financing transactions and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 calendar da period and the securities do not form part of the institutions liquid assets. If the short position is being covered by a collateralized securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar days period and receive a 0 % outflow.

370

1.1.4.6.2.   other

Article 30(5) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralized securities financing transactions and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 calendar day period and the securities do not form part of the institutions liquid assets.

380

1.1.4.7.   callable excess collateral

Article 30(6)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of excess collateral that the institution holds and that can be contractually called at any times by the counterparty.

390

1.1.4.8.   due collateral

Article 30(6)(b) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral that is due to be posted to counterparty within the 30 calendar day period.

400

1.1.4.9.   liquid asset collateral exchangeable for non liquid assets

Article 30(6)(c) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral that qualifies as liquid assets for the purpose of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II without the consent of the institution.

410

1.1.4.10.   loss of funding on structured financing activities

Article 30(8) to 30(10) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs.

Credit institutions that are providers of liquidity facilities associated with financing programs reported here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.

420

1.1.4.10.1.   structured financing instruments

Article 30(8) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the current outstanding amount of own liabilities or liabilities of sponsored conduits or SPVs from asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period.

430

1.1.4.10.2.   financing facilities

Article 30(9) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maturing amount of liabilities from asset- backed commercial papers, conduits, securities investment vehicles and other such financing facilities, in so far they do not enter into the scope of definition of the instruments defined in item 1.1.4.10.1., or the amount of assets that could potentially be returned or the liquidity required in the scope of those instruments.

All funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities maturing or returnable within 30 days. Credit institutions having structured financing facilities that include the issuance of short-term debt instruments, such as asset backed commercial paper, shall report the potential liquidity outflows from these structures. These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the existence of derivatives or derivative-like components contractually written into the documentation associated with the structure that would allow the “return” of assets in a financing arrangement, or that require the original asset transferor to provide liquidity, effectively ending the financing arrangement (“liquidity puts”) within the 30-day period. Where the structured financing activities are conducted through a special purpose entity (such as a special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA requirements, look through to the maturity of the debt instruments issued by the entity and any embedded options in financing arrangements that may potentially trigger the “return” of assets or the need for liquidity, irrespective of whether or not the SPV is consolidated.

440

1.1.4.11.   assets borrowed on an unsecured basis

Article 30(11) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here assets borrowed on an unsecured basis and maturing within the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow. This treatment aims to reflect the fact that securities lent against a fee are likely to be recalled under stressed conditions or that security lenders will seek full collateralization.

Credit institutions shall report the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer.

450

1.1.4.12.   internal netting of client's positions

Article 30(12) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here the market value of client's assets where in relation to prime brokerage services the credit institution has financed the assets of one client by internally netting them against the short sales of another client.

460

1.1.5.   Committed facilities

Article 31 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows as defined in Article 31 of the Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall also report here on committed facilities in accordance with Article 29 of the Commission Delegated Regulation (EU) 2015/61.

Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Commission Delegated Regulation (EU) 2015/61.

470

1.1.5.1.   credit facilities

Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Commission Delegated Regulation (EU) 2015/61.

480

1.1.5.1.1.   to retail customers

Article 31(3) of Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to retail customers as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61.

490

1.1.5.1.2.   to non-financial customers other than retail customers

Article 31(4) of Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to customers that are neither financial customers in accordance with Article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with Article 3(8) of Commission Delegated Regulation (EU) 2015/61 and which have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets.

500

1.1.5.1.3.   to credit institutions

Credit institutions shall report here on committed credit facilities provided to credit institutions.

510

1.1.5.1.3.1.   for funding promotional loans of retail customers

Article 31(9) of Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

520

1.1.5.1.3.2.   for funding promotional loans of non-financial customers

Article 31(9) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

530

1.1.5.1.3.3.   other

Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions other than those reported above.

540

1.1.5.1.4.   to regulated financial institutions other than credit institutions

Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to regulated financial institutions other than credit institutions.

550

1.1.5.1.5.   within a group or an IPS if subject to preferential treatment

Article 29 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Commission Delegated Regulation (EU) 2015/61.

560

1.1.5.1.6.   within an IPS or cooperative network if treated as liquid asset by the depositing institution

Article 31(7) of Commission Delegated Regulation (EU) 2015/61

Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed credit facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2).

570

1.1.5.1.7.   to other financial customers

Article 31(8)(c) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities other than those reported above to other financial customers.

580

1.1.5.2.   liquidity facilities

Article 31(1) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Commission Delegated Regulation (EU) 2015/61.

590

1.1.5.2.1.   to retail customers

Article 31(3) of Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to retail customers as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61.

600

1.1.5.2.2.   to non-financial customers other than retail customers

Article 31(5) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to customers that are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61.

610

1.1.5.2.3.   to personal investment companies

Article 31(5) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amounts that could be drawn from undrawn committed liquidity facilities provided to private investment companies.

620

1.1.5.2.4.   to SSPEs (securitization special purpose vehicle)

Credit institutions shall report here on committed liquidity facilities provided to SSPEs.

630

1.1.5.2.4.1.   to purchase assets other than securities from non-financial customers

Article 31(6) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount of undrawn committed liquidity facilities provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than securities from clients that are not financial customers, to the extent that it exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased.

640

1.1.5.2.4.2.   other

Article 31(8)(b) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This includes arrangements under which the institution is required to buy or swap assets from an SSPE.

650

1.1.5.2.5.   to credit institutions

Credit institutions shall report here on committed liquidity facilities provided to credit institutions.

660

1.1.5.2.5.1.   for funding promotional loans of retail customers

Article 31(9) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

670

1.1.5.2.5.2.   for funding promotional loans of non-financial customers

Article 31(9) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

680

1.1.5.2.5.3.   other

Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn of undrawn committed liquidity facilities provided to credit institutions not mentioned above.

690

1.1.5.2.6.   within a group or an IPS if subject to preferential treatment

Article 29 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities for which they have received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61.

700

1.1.5.2.7.   within an IPS or cooperative network if treated as liquid asset by the depositing institution

Article 31(7) of Commission Delegated Regulation (EU) 2015/61

Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2).

710

1.1.5.2.8.   to other financial customers

Article 31(8)(c) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities other than those reported above to other financial customers.

720

1.1.6.   Other products and services

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here on those products or services referred to in Article 23(1) of the Commission Delegated Regulation (EU) 2015/61.

The amount to be reported shall be the maximum amount that could be drawn from those products or services referred to in Article 23(1) of the Commission Delegated Regulation (EU) 2015/61.

The applicable weight to be reported shall be the weight as determined by the competent authorities in accordance with the procedure set out in Article 23(2) of Commission Delegated Regulation (EU) 2015/61.

730

1.1.6.1.   Other off-balance sheet and contingent funding obligations

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of guarantees and other off-balance sheet and contingent funding obligations referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

740

1.1.6.2.   undrawn loans and advances to wholesale counterparties

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of undrawn loans and advances to wholesale counterparties referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

750

1.1.6.3.   mortgages that have been agreed but not yet drawn down

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn down referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

760

1.1.6.4.   credit cards

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

770

1.1.6.5.   overdrafts

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

780

1.1.6.6.   planned outflows related to renewal or extension of new retail or wholesale loans

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

790

1.1.6.6.1.   Excess of funding to non-financial customers

Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter.

800

1.1.6.6.1.1.   excess of funding to retail customers

Credit institutions shall report here the difference between the contractual commitments to extend funding to retail customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter.

810

1.1.6.6.1.2.   excess of funding to non-financial corporates

Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial corporates customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter.

820

1.1.6.6.1.3.   excess of funding to sovereigns, MLDBs (multilateral development banks) and PSEs (public sector entities)

Credit institutions shall report here the difference between the contractual commitments to extend funding to sovereigns, multilateral development banks and public sector entities and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter.

830

1.1.6.6.1.4.   excess of funding to other legal entities

Credit institutions shall report here the difference between the contractual commitments to extend funding to other legal entities and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter.

840

1.1.6.6.2.   other

Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61 not captured above.

850

1.1.6.7.   planned derivatives payables

Article 23 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of planned derivatives payables referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

860

1.1.6.8.   trade finance off-balance sheet related products

Credit institutions shall report the amount of the products or services related to trade finance referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

870

1.1.6.9.   others

Article 23(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other products or services than those cited above referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

880

1.1.7.   Other liabilities

Article 28(2), Article 28(6) and Article 31(10) of the Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report outflows from other liabilities as provided in Article 28(2), Article 28(6) and Article 31(10) of the Commission Delegated Regulation (EU) 2015/61.

This item shall also include, where necessary, additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank according to Article 10(1)(b) (iii) of Commission Delegated Regulation (EU) 2015/61.

890

1.1.7.1.   liabilities resulting from operating expenses

Article 28(2) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of liabilities resulting from the credit institution's own operating expenses as referred to in Article 28(2) of the Commission Delegated Regulation (EU) 2015/61.

900

1.1.7.2.   in the form of debt securities if not treated as retail deposits

Article 28(6) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of notes, bonds and other debt securities, issued by the credit institution other than that reported as retail deposits as referred to in Article 28(6) of the Commission Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities.

910

1.1.7.3.   Others

Article 31(10) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of any liabilities that come due in the next 30 calendar days other than those referred to in Article 23 to 31 of Commission Delegated Regulation (EU) 2015/61.

920

1.2.   Outflows from secured lending and capital market-driven transactions

Article 28(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013. Collateral swap (which cover collateral-versus- collateral transactions) shall be reported in template C 75.00 of Annex XXIV.

930

1.2.1.   Counterparty is central bank

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank.

940

1.2.1.1.   level 1 excl. EHQ Covered Bonds collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 collateral excluding extremely high quality covered bonds.

950

1.2.1.2.   level 1 EHQ Covered Bonds collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 collateral which is extremely high quality covered bonds.

960

1.2.1.3.   level 2A collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2A collateral, all types.

970

1.2.1.4.   level 2B asset-backed securities (residential or automobile, CQS1) collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (i),(ii) or (iv).

980

1.2.1.5.   level 2B covered bonds

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in Article 12(1)(e).

990

1.2.1.6.   level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are commercial or individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (iii) or (v).

1000

1.2.1.7.   other Level 2B assets collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B collateral not captured above.

1010

1.2.1.8.   non-liquid assets collateral

Article 28(3)(g) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Non liquid assets collateral.

1020

1.2.2.   Counterparty is non-central bank

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank.

1030

1.2.2.1.   level 1 excl. EHQ Covered Bonds collateral

Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61.

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 collateral excluding extremely high quality covered bonds.

1040

1.2.2.2.   level 1 EHQ Covered Bonds collateral

Article 28(3)(b) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 collateral which is extremely high quality covered bonds.

1050

1.2.2.3.   level 2A collateral

Article 28(3)(c) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2A collateral.

1060

1.2.2.4.   level 2B asset-backed securities (residential or automobile, CQS1) collateral

Article 28(3)(d)(i) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (i), (ii) or (iv).

1070

1.2.2.5.   level 2B covered bonds

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in Article 12(1)(e).

1080

1.2.2.6.   level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

Article 28(3)(e) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are commercial or individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (iii) or (v).

1090

1.2.2.7.   other Level 2B assets collateral

Article 28(3)(f) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B collateral not captured above.

1100

1.2.2.8.   non-liquid assets collateral

Article 28(3)(g) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is non liquid assets collateral.

1110

1.2.2.8.1.   counterparty is central govt, PSE<=RW20 %, MDB

Article 28(3)(d) (ii) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the collateral is non-liquid asset and the counterparty is central government, public sector entity with risk weighting equal to or less than 20 %, or multilateral development bank.

1120

1.2.2.8.2.   other counterparty

Article 28(3)(g) (ii) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank, central government, public sector entity with risk weighting less than 20 %, or multilateral development bank and the collateral extended is non liquid asset.

1130

1.3.   Total outflows from collateral swaps

The sum of outflows from C75.00 of Annex XXIV Column 050 shall be reported in Column 060.

MEMORANDUM ITEMS

1140

2.   Retail bonds with a residual maturity of less than 30 days

Article 28(6) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds needs to have been reported also within the corresponding category of retail deposits as indicated in the description of retail deposits (instruction of rows 030-110).

1150

3.   Retail deposits exempted from the calculation of outflows

Article 25(4) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here those categories of deposits exempted from the calculation of outflows if the conditions of Article 25(4)(a) or (b) have been met (i.e. when the depositor is not allowed for withdrawal within 30 calendar days or for early withdrawals within 30 calendar days subject to specific penalty).

1160

4.   Not assessed retail deposits

Article 25(3) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report here those retail deposits where the assessment envisaged in paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 has not been carried out or is not completed.

These deposits need to have been also reported within the category 2 of deposits subject to higher outflow rates as indicated in the instructions of row 070.

1170

5.   Liquidity outflows to be netted by interdependent inflows

Credit institutions shall report the outstanding balance of all liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the interdependent inflows in accordance with Article 26 of Commission Delegated Regulation (EU) 2015/61.

6.   Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken down by the following counterparties:

| — | Credit institutions; |
| --- | --- |

—

Credit institutions;

| — | financial customers other than credit institutions; |
| --- | --- |

—

financial customers other than credit institutions;

| — | sovereigns, central banks, multilateral development banks and public sector entities; |
| --- | --- |

—

sovereigns, central banks, multilateral development banks and public sector entities;

| — | other customers. |
| --- | --- |

—

other customers.

1180

6.1.   provided by credit institutions

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by credit institutions.

1190

6.2.   provided by financial customers other than credit institutions

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by financial customers other than credit institutions.

1200

6.3.   provided by sovereigns, central banks, MDBs and PSEs

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks and public sector entities.

1210

6.4.   provided by other customers

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and customers considered for the retail deposits).

7.   Non-operational deposits maintained by financial customers and other customers

Credit institutions shall report here non-operational deposits referred to in items 1.1.3.2. and 1.1.3.3., broken down by the following counterparties:

| — | Credit institutions; |
| --- | --- |

—

Credit institutions;

| — | financial customers other than credit institutions; |
| --- | --- |

—

financial customers other than credit institutions;

| — | sovereigns, central banks, multilateral development banks and public sector entities; |
| --- | --- |

—

sovereigns, central banks, multilateral development banks and public sector entities;

| — | other customers. |
| --- | --- |

—

other customers.

1220

7.1.   provided by credit institutions

Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.2. provided by credit institutions.

1230

7.2.   provided by financial customers other than credit institutions

Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.2. provided by financial customers other than credit institutions.

1240

7.3.   provided by sovereigns, central banks, MDBs and PSEs

Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.3. provided by sovereigns, central banks, Multilateral Development Banks and Public Sector Entities.

1250

7.4.   provided by other customers

Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.3. provided by other customers (other than those above mentioned and customers considered for the retail deposits).

1260

8.   Funding commitments to non-financial customers

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report the outstanding amount of the contractual commitments to non-financial customers to extend funding within 30 days.

For the purpose of this item contractual commitments shall only comprise those that are not recognized as liquidity outflows.

1270

9.   Level 1 excl. EHQ covered bonds collateral posted for derivatives

Credit institutions shall report the market value of non EHQ covered bonds Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

1280

10.   SFTS monitoring

Credit institutions shall report, in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013, the total amount of collateral posted for the Securities Financing Transactions (“SFTs”) where a change in the relevant exchange rate could trigger outflows of collateral from the institution due to one leg of the SFT being denominated differently from the other.

11.   Intra group or IPS outflows

Credit institutions shall report here all transactions reported in item 1 where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

1290

11.1.   of which: to financial customer

Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 11.

1300

11.2.   of which: to non-financial customers

Credit institutions shall report total amount reported in item 1.1. to non-financial customers within the scope of item 11.

1310

11.3.   of which: secured

Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 11.

1320

11.4.   of which: credit facilities without preferential treatment

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities reported in item 1.1.5.1. to entities within the scope of item 11 for which they have not received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61.

1330

11.5.   of which: liquidity facilities without preferential treatment

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities reported in item 1.1.5.2. to entities within the scope of item 11 for which they have not received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61.

1340

11.6.   of which: operational deposits

Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within the scope of item 11.

1350

11.7.   of which: non-operational deposits

Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.3. from entities within the scope of item 11.

1360

11.8.   of which: liabilities in the form of debt securities if not treated as retail deposits

Credit institutions shall report the amount of the outstanding balance of debt securities reported in item 1.1.7.2. which are held by entities within the scope of item 11.

1370

12.   FX outflows

This item shall only be reported in case of reporting in currencies subject to separate reporting.

For significant currency reporting only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.4.5.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00).

1380

13.   Third countries outflows — transfer restrictions or non- convertible currencies

Credit institutions shall report here liquidity outflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies.

1390

14.   Additional balances required to be installed in central bank reserves

Credit institutions shall report, where necessary, the amount of additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank according to Article 10(1)(b) (iii) of Commission Delegated Regulation (EU) 2015/61.

REPORTING ON LIQUIDITY (PART 3: INFLOWS)

2.   Inflows

2.1.   General remarks

| 1. | This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey. |
| --- | --- |

1.

| 2. | Credit institutions shall submit the template in the currencies specified in Article 4(5) of Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

2.

| 3. | In accordance with Article 32 of Commission Delegated Regulation (EU) 2015/61, liquidity inflows shall:






  i. | comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon. |
| --- | --- | --- |

3.

i.

comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon.

| ii. | be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

ii.

be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Commission Delegated Regulation (EU) 2015/61.

| 4. | Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 4 of the template (lines 460-480). |
| --- | --- |

4.

| 5. | In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset. |
| --- | --- |

5.

| 6. | Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency. |
| --- | --- |

6.

| 7. | Monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to Article 32(3)(h) of Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

7.

| 8. | In accordance with Article 32(7) of Commission Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. |
| --- | --- |

8.

| 9. | In the case of a significant currency identified in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61 where they are denominated in the same currency. |
| --- | --- |

9.

| 10. | The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Commission Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments. |
| --- | --- |

10.

| 11. | In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country. |
| --- | --- |

11.

| 12. | Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word “weight” in the template just refers to these in the appropriate context. The word “weighted” in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding). |
| --- | --- |

12.

| 13. | Some “memorandum items” are included in the associated templates to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. |
| --- | --- |

13.

2.2.   Specific remarks regarding secured lending and capital market-driven transactions

| 1. | The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.00 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions. |
| --- | --- |

1.

| 2. | In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos. |
| --- | --- |

2.

| 3. | Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as a liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows related to Level 1, Level 2A and Level 2B assets (refer to Article 12(1)(c)(i)-(iii)) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61). Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Commission Delegated Regulation (EU) 2015/61 is being followed. |
| --- | --- |

3.

2.3.   Specific remarks regarding settlement and forward starting transactions

Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} (“other inflows”), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a “liquid asset”, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfills the related conditions.

Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} (“other inflows”), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a “liquid asset”, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfills the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} (“other inflows”). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} (“other inflows”).

Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored.

2.4.   Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

| 1. | The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times. |
| --- | --- |

1.

| 2. | For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported. |
| --- | --- |

2.

2.4.1.   Decision tree on rows in template C 74.00 of ANNEX XXIV

| # | Item | Decision | Reporting |
| --- | --- | --- | --- |
| 1 | Inflow meeting the operational criteria as specified in Article 32, such as:






  — | Exposure is not past due (Article 32(1)) |

#

Item

Decision

Reporting

1

Inflow meeting the operational criteria as specified in Article 32, such as:

—

Exposure is not past due (Article 32(1))

| — | Credit institution has no reason to expect non-performance within 30 calendar days (Article 32(1)) |
| --- | --- |

—

Credit institution has no reason to expect non-performance within 30 calendar days (Article 32(1))

| — | Credit institutions shall not take into account inflows from any new obligation entered into (Article 32(7)) |
| --- | --- |

—

Credit institutions shall not take into account inflows from any new obligation entered into (Article 32(7))

| — | No inflows shall be reported in case inflows are already netted against outflows (Article 26) |
| --- | --- |

—

No inflows shall be reported in case inflows are already netted against outflows (Article 26)

| — | Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset (Article 32(6)) |
| --- | --- |

—

Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset (Article 32(6))

No

No Reporting

Yes

# 2

2

Forward starting transaction

Yes

# 3

No

# 5

3

Forward transaction entered into subsequent to the reporting date;

Yes

No Reporting

No

# 4

4

Forward transaction that start prior to and mature after the 30-day horizon

Yes

No Reporting

No

Row 260, ID 1.1.12.

5

Inflows within a group or an institutional protection scheme

Yes

# 6

No

# 7

6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34)

Yes

Row 250, ID 1.1.11.

No

# 7

7

Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))

Yes

# 23

No

# 8

8

Monies due from securities maturing within 30 days (Article 32(2)(a)(i))

Yes

Row 190, ID 1.1.5.

No

# 9

9

Inflows from trade financing transactions (Article 32(2)(a)(ii))

Yes

Row 180, ID 1.1.4.

No

# 10

10

Assets with an undefined contractual end date (Article 32(3)(i))

Yes

# 11

No

# 12

11

Interest and minimum payments from assets with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 days

Yes

# 12

No

Row 200, ID 1.1.6.

12

Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(b))

Yes

Row 210, ID 1.1.7.

No

# 13

13

Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets (Article 32(3)(g))

Yes

Row 220, ID 1.1.8.

No

# 14

14

Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4))

Yes

Row 230, ID 1.1.9.

No

# 15

15

Derivatives cash inflows net by counterparty and collateral (Article 32(5))

Yes

Row 240, ID 1.1.10.

No

# 16

16

Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a))

Yes

Row 170, ID 1.1.3.

No

# 17

17

Monies due from central banks and financial customers (Article 32(2)(a))

Yes

# 21

No

# 18

18

Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2))

Yes

Row 040, ID 1.1.1.1.

No

# 19

19

Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))

Yes

# 20

No

Row 260, ID 1.1.12.

20

Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))

# 20.1

Retail customers

Yes

Row 060, ID 1.1.1.2.1.

No

# 20.2

# 20.2

Non-financial corporates

Yes

Row 070, ID 1.1.1.2.2.

No

# 20.3

# 20.3

Sovereigns, MDBs and PSEs

Yes

Row 080, ID 1.1.1.2.3.

No

Row 090, ID 1.1.1.2.4.

21

Inflows from financial customers being classified as operational deposits (Article 32(3)(d))

Yes

# 22

No

# 23

22

Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d))

Yes

Row 120, ID 1.1.2.1.1.

No

Row 130, ID 1.1.2.1.2.

23

Monies due from central banks (Article 32(2)(a))

Yes

Row 150, ID 1.1.2.2.1.

No

Row 160, ID 1.1.2.2.2.

24

Collateral Swap Transaction (Article 32(3)(e))

Yes

Row 410, ID 1.3 (1)

No

# 25

25

Collateral qualifies as a liquid asset (Article 32(3)(b))

Yes

# 26

No

# 27

26

Secured funding transaction secured by (Article 32(3)(b))

# 26.1

Collateral is used to cover short positions

Yes

Row 360, ID 1.2.2.

No

# 26.2

# 26.2

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 290, ID 1.2.1.1.

No

# 26.3

# 26.3

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 300, ID 1.2.1.2.

No

# 26.4

# 26.4

Level 2A collateral

Yes

Row 310, ID 1.2.1.3.

No

# 26.5

# 26.5

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 320, ID 1.2.1.4.

No

# 26.6

# 26.6

Level 2B high quality covered bonds collateral

Yes

Row 330, ID 1.2.1.5.

No

# 26.7

# 26.7

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 340, ID 1.2.1.6.

No

Row 350, ID 1.2.1.7.

27

Collateral that does not qualify as a liquid asset (Article 32(3)(b))

# 27.1

margin loans: collateral is non-liquid

Yes

Row 380, ID 1.2.3.1.

No

# 27.2

# 27.2

collateral is non-liquid equity

Yes

Row 390, ID 1.2.3.2.

No

Row 400, ID 1.2.3.3.

2.4.2.   Decision tree on columns in template C 74.00 of ANNEX XXIV

| # | Item | Decision | Reporting |
| --- | --- | --- | --- |
| 1 | Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 ('Decision tree on rows in template C 74.00') | No | No Reporting |
| Yes | # 2 |
| 2 | Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) | Yes | # 11 |
| No | # 3 |
| 3 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | Yes | # 4 |
| No | # 6 |
| 4 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | # 4.1 | Part of inflows exempted from the cap on inflows | — | # 5 |
| # 4.2 | Part of inflows not exempted from the cap on inflows | — | # 7 |
| 5 | Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 9 |
| No | # 10 |
| 6 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | Yes | # 7 |
| No | # 8 |
| 7 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | #7.1 | Monies due/maximum amount that can be drawn | — | Column 010 |
| # 7.2 | Applicable Weight | — | Column 080 |
| # 7.3 | Inflow | — | Column 140 |
| 8 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 9 |
| No | # 10 |
| 9 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | # 9.1 | Monies due/maximum amount that can be drawn | — | Column 020 |
| # 9.2 | Applicable Weight | — | Column 090 |
| # 9.3 | Inflow | — | Column 150 |
| 10 | Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) | # 10.1 | Monies due/maximum amount that can be drawn | — | Column 030 |
| # 10.2 | Applicable Weight | — | Column 100 |
| # 10.3 | Inflow | — | Column 160 |
| 11 | Secured funding transaction where the collateral qualify as a liquid asset | Yes | # 12 |
| No | # 3 |
| 12 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | Yes | # 13 |
| No | # 15 |
| 13 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | # 13.1 | Part of inflows exempted from the cap on inflows | — | # 14 |
| # 13.2 | Part of inflows not exempted from the cap on inflows | — | # 16 |
| 14 | Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 18 |
| No | # 19 |
| 15 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | Yes | # 16 |
| No | # 17 |
| 16 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | # 16.1 | Monies due | — | Column 010 |
| # 16.2 | Market value of collateral received | — | Column 040 |
| # 16.3 | Applicable Weight | — | Column 080 |
| # 16.4 | Value of collateral received according to Article 9 | — | Column 110 |
| # 16.5 | Inflow | — | Column 140 |
| 17 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 18 |
| No | # 19 |
| 18 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | # 18.1 | Monies due | — | Column 020 |
| # 18.2 | Market value of collateral received | — | Column 050 |
| # 18.3 | Applicable Weight | — | Column 090 |
| # 18.4 | Value of collateral received according to Article 9 | — | Column 120 |
| # 18.5 | Inflow | — | Column 150 |
| 19 | Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) | # 19.1 | Monies due | — | Column 030 |
| # 19.2 | Market value of collateral received | — | Column 060 |
| # 19.3 | Applicable Weight | — | Column 100 |
| # 19.4 | Value of collateral received according to Article 9 | — | Column 130 |
| # 19.5 | Inflow | — | Column 160 |

#

Item

Decision

Reporting

1

Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 ('Decision tree on rows in template C 74.00')

No

No Reporting

Yes

# 2

2

Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))

Yes

# 11

No

# 3

3

Partial exemption from the cap on inflows (Article 33(2)-(5))

Yes

# 4

No

# 6

4

Partial exemption from the cap on inflows (Article 33(2)-(5))

# 4.1

Part of inflows exempted from the cap on inflows

—

# 5

# 4.2

Part of inflows not exempted from the cap on inflows

—

# 7

5

Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 9

No

# 10

6

Inflow subject to the 75 % cap on inflows (Article 33(1))

Yes

# 7

No

# 8

7

Inflow subject to the 75 % cap on inflows (Article 33(1))

# 7.1

Monies due/maximum amount that can be drawn

—

Column 010

# 7.2

Applicable Weight

—

Column 080

# 7.3

Inflow

—

Column 140

8

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 9

No

# 10

9

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

# 9.1

Monies due/maximum amount that can be drawn

—

Column 020

# 9.2

Applicable Weight

—

Column 090

# 9.3

Inflow

—

Column 150

10

Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))

# 10.1

Monies due/maximum amount that can be drawn

—

Column 030

# 10.2

Applicable Weight

—

Column 100

# 10.3

Inflow

—

Column 160

11

Secured funding transaction where the collateral qualify as a liquid asset

Yes

# 12

No

# 3

12

Partial exemption from the cap on inflows (Article 33(2)-(5))

Yes

# 13

No

# 15

13

Partial exemption from the cap on inflows (Article 33(2)-(5))

# 13.1

Part of inflows exempted from the cap on inflows

—

# 14

# 13.2

Part of inflows not exempted from the cap on inflows

—

# 16

14

Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 18

No

# 19

15

Inflow subject to the 75 % cap on inflows (Article 33(1))

Yes

# 16

No

# 17

16

Inflow subject to the 75 % cap on inflows (Article 33(1))

# 16.1

Monies due

—

Column 010

# 16.2

Market value of collateral received

—

Column 040

# 16.3

Applicable Weight

—

Column 080

# 16.4

Value of collateral received according to Article 9

—

Column 110

# 16.5

Inflow

—

Column 140

17

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 18

No

# 19

18

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

# 18.1

Monies due

—

Column 020

# 18.2

Market value of collateral received

—

Column 050

# 18.3

Applicable Weight

—

Column 090

# 18.4

Value of collateral received according to Article 9

—

Column 120

# 18.5

Inflow

—

Column 150

19

Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))

# 19.1

Monies due

—

Column 030

# 19.2

Market value of collateral received

—

Column 060

# 19.3

Applicable Weight

—

Column 100

# 19.4

Value of collateral received according to Article 9

—

Column 130

# 19.5

Inflow

—

Column 160

2.5.   Inflows sub template

2.5.1.   Instructions concerning specific columns

| Column | Legal references and instructions |
| --- | --- |
| 010 | Amount — Subject to the 75 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. |
| 020 | Amount — Subject to the 90 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. |
| 030 | Amount — Exempted from the cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. |
| 040 | Market value of collateral received — Subject to the 75 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {290}-{350} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. |
| 050 | Market value of collateral received — Subject to the 90 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {290}-{350} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. |
| 060 | Market value of collateral received — Exempted from the cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {290}-{350} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. |
| 070 | Standard Weight

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  The standard weights in Column 070 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only. |
| 080 | Applicable Weight- Subject to the 75 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.
  For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 080 shall be reported as the ratio of Column 140 to Column 010.
  For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 080 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. |
| 090 | Applicable Weight- Subject to the 90 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.
  For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 090 shall be reported as the ratio of Column 150 to Column 020.
  For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 090 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. |
| 100 | Applicable Weight — Exempted from the cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.
  For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060} — {090} and {170} the applicable weight in Column 100 shall be reported as the ratio of Column 160 to Column 030.
  For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 100 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. |
| 110 | Value of collateral received according to Article 9 — Subject to the 75 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {290}-{350} and for row {490}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. |
| 120 | Value of collateral received according to Article 9 — Subject to the 90 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {290}-{350} and for row {490}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. |
| 130 | Value of collateral received according to Article 9 — Exempted from the cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {290}-{350} and for row {490}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.
  Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. |
| 140 | Inflow — Subject to the 75 % cap on inflows

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080.
  For rows {060}-{090}, the following procedure shall be followed:






  — | If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 010 monies due shall be reduced by 50 % and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. |

Column

Legal references and instructions

010

Amount — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

020

Amount — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

030

Amount — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

040

Market value of collateral received — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

050

Market value of collateral received — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

060

Market value of collateral received — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

070

Standard Weight

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

The standard weights in Column 070 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only.

080

Applicable Weight- Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 080 shall be reported as the ratio of Column 140 to Column 010.

For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 080 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61.

090

Applicable Weight- Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 090 shall be reported as the ratio of Column 150 to Column 020.

For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 090 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.

100

Applicable Weight — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060} — {090} and {170} the applicable weight in Column 100 shall be reported as the ratio of Column 160 to Column 030.

For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 100 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.

110

Value of collateral received according to Article 9 — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

120

Value of collateral received according to Article 9 — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

130

Value of collateral received according to Article 9 — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

140

Inflow — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080.

For rows {060}-{090}, the following procedure shall be followed:

—

If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 010 monies due shall be reduced by 50 % and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV.

| — | If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 010, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 010, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV.

| — | If contractual commitments to the customer are greater than 100 % of monies due reported in Column 010, “0” shall be reported in Column 140 and the difference between the contractual commitments and monies due in Column 010 shall be reported as “contingent funding obligations” in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If contractual commitments to the customer are greater than 100 % of monies due reported in Column 010, “0” shall be reported in Column 140 and the difference between the contractual commitments and monies due in Column 010 shall be reported as “contingent funding obligations” in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV.

| — | Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV.

For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 110 from Column 010. If the result is positive, it shall be reported in Column 140; if the result is negative, “0” shall be reported.

150

Inflow — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090.

For rows {060}-{090}, the following procedure shall be followed:

| — | If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 020 monies due shall be reduced by 50 % and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 020 monies due shall be reduced by 50 % and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV.

| — | If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 020, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 020, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV.

| — | If contractual commitments to the customer are greater than 100 % of monies due reported in Column 020, “0” shall be reported in Column 150 and the difference between the contractual commitments and monies due in Column 020 shall be reported as “contingent funding obligations” in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If contractual commitments to the customer are greater than 100 % of monies due reported in Column 020, “0” shall be reported in Column 150 and the difference between the contractual commitments and monies due in Column 020 shall be reported as “contingent funding obligations” in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV.

| — | Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV.

For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 120 from Column 020. If the result is positive, it shall be reported in Column 150; if the result is negative, “0” shall be reported.

160

Inflow — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100.

For rows {060}-{090}, the following procedure shall be followed:

| — | If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 030 monies due shall be reduced by 50 % and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 030 monies due shall be reduced by 50 % and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV.

| — | If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 030, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 030, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV.

| — | If contractual commitments to the customer are greater than 100 % of monies due reported in Column 030, “0” shall be reported in Column 160 and the difference between the contractual commitments and monies due in Column 030 shall be reported as “contingent funding obligations” in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

If contractual commitments to the customer are greater than 100 % of monies due reported in Column 030, “0” shall be reported in Column 160 and the difference between the contractual commitments and monies due in Column 030 shall be reported as “contingent funding obligations” in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV.

| — | Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. |
| --- | --- |

—

Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV.

For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

For rows {290}-{350} and for row {490}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 130 from Column 030. If the result is positive, it shall be reported in Column 160; if the result is negative, “0” shall be reported.

2.5.2.   Instructions concerning specific rows

| Row | Legal references and instructions |
| --- | --- |
| 010 | 1.   TOTAL INFLOWS

  Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61
  Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV






  — | for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn as the sum of assets/monies due/maximum amount than can be drawn from unsecured transactions/deposits and secured lending and capital market-driven transactions; |

Row

Legal references and instructions

010

1.   TOTAL INFLOWS

Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV

—

for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn as the sum of assets/monies due/maximum amount than can be drawn from unsecured transactions/deposits and secured lending and capital market-driven transactions;

| — | for Column 140 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies; and |
| --- | --- |

—

for Column 140 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies; and

| — | for Column 150 and 160 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies and less the excess of inflows from a related specialised credit institution referred to in Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

—

for Column 150 and 160 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies and less the excess of inflows from a related specialised credit institution referred to in Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61.

020

1.1.   Inflows from unsecured transactions/deposits

Articles 32, 33 and 34 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 020 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and

| — | for each Column 140, 150 and 160 total inflows from unsecured transactions/deposits. |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from unsecured transactions/deposits.

030

1.1.1.   monies due from non-financial customers (except for central banks)

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 030 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from non-financial customers (except for central banks) (monies due from non-financial customers not corresponding to principal repayments as well as any other monies due from non-financial customers) and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from non-financial customers (except for central banks) (monies due from non-financial customers not corresponding to principal repayments as well as any other monies due from non-financial customers) and

| — | for each Column 140, 150 and 160 total inflows from non-financial customers (except for central banks) (inflows from non-financial customers not corresponding to principal repayments as well as any other inflows from non-financial customers). |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from non-financial customers (except for central banks) (inflows from non-financial customers not corresponding to principal repayments as well as any other inflows from non-financial customers).

Monies due from secured lending and capital market driven transactions with a non-financial customer that are collateralised by liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013, shall be reported in section 1.2., and shall not be reported in section 1.1.1. Monies due from such transactions that are collateralised by transferable securities that do not qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.2., and shall not be reported in section 1.1.1. Monies due from such transactions with non-financial customers that are collateralised by non-transferable assets that do not qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 shall be reported in the relevant row of section 1.1.1.

Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here.

040

1.1.1.1.   monies due from non-financial customers (except for central banks) not corresponding to principal repayment

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Monies to be received from non-financial customers (except for central banks) not corresponding to principal repayment. These inflows include interest and fees due from non-financial customers (except for central banks).

Monies due from central banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not be reported here.

050

1.1.1.2.   other monies due from non-financial customers (except for central banks)

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 050 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of other monies due from non-financial customers (except for central banks) as the sum of monies due from non-financial customers by counterparty and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of other monies due from non-financial customers (except for central banks) as the sum of monies due from non-financial customers by counterparty and

| — | for each Column 140, 150 and 160 total other inflows from non-financial customers (except for central banks) as the sum of other inflows from non-financial customers by counterparty. |
| --- | --- |

—

for each Column 140, 150 and 160 total other inflows from non-financial customers (except for central banks) as the sum of other inflows from non-financial customers by counterparty.

Monies due from non-financial customers (except for central banks) not corresponding to principal repayment shall be reported in section 1.1.1.1. and shall not be reported here.

Other monies due from central banks shall be reported in section 1.1.2. and shall not be reported here.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

060

1.1.1.2.1.   monies due from retail customers

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Monies due from retail customers.

070

1.1.1.2.2.   monies due from non-financial corporates

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Monies due from non-financial corporates.

080

1.1.1.2.3.   monies due from sovereigns, multilateral development banks and public sector entities

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Monies due from sovereigns, multilateral development banks and public sector entities.

090

1.1.1.2.4.   monies due from other legal entities

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Monies due from other legal entities not included anywhere above.

100

1.1.2.   monies due from central banks and financial customers

Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 100 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and

| — | for each Column 140, 150 and 160 total inflows from central banks and financial customers (operational as well as non-operational deposits). |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from central banks and financial customers (operational as well as non-operational deposits).

Credit institutions shall report here monies due over the next 30 days from central banks and financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon.

Monies due from central banks and financial customers not corresponding to principal repayment shall be reported in the relevant section.

Deposits at the central institution referred to in Article 27(3) of Commission Delegated Regulation (EU) 2015/61 shall not be reported as an inflow.

110

1.1.2.1.   monies due from financial customers being classified as operational deposits

Article 32(2)(a) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 110 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not); and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not); and

| — | for each Column 140, 150 and 160 total inflows from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not). |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not).

Credit institutions shall report here monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61.

120

1.1.2.1.1.   monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61

Monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate.

130

1.1.2.1.2.   monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61

Monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61 where the credit institution is not able to establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be applied.

140

1.1.2.2.   monies due from central banks and financial customers not being classified as operational deposits

Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 140 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and

| — | for each Column 140, 150 and 160 total inflows from central banks and financial customers not being classified as operational deposits. |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from central banks and financial customers not being classified as operational deposits.

Credit institutions shall report here monies due from central banks and financial customers which do not qualify for the treatment as operational deposits as specified in Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61.

150

1.1.2.2.1.   monies due from central banks

Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61

Monies due from central banks.

160

1.1.2.2.2.   monies due from financial customers

Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61

Monies due from financial customers which do not qualify for the treatment as operational deposits as specified in Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

170

1.1.3.   inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61

Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61.

180

1.1.4.   monies due from trade financing transactions

Article 32(2)(a)(ii) of Commission Delegated Regulation (EU) 2015/61

Monies due over the next 30 days from trade financing transactions in accordance with Article 32(2)(a)(ii) of Commission Delegated Regulation (EU) 2015/61.

190

1.1.5.   monies due from securities maturing within 30 days

Article 32(2)(a)(i) of Commission Delegated Regulation (EU) 2015/61

Monies due from securities maturing within 30 days in accordance with Article 32(2)(a)(i) of Commission Delegated Regulation (EU) 2015/61.

200

1.1.6.   assets with an undefined contractual end date

Article 32(3)(i) of Commission Delegated Regulation (EU) 2015/61

Assets with an undefined contractual end date in accordance with Article 32(3)(i) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if the contract allows the credit institution to withdraw and request payment within 30 days. Interest and minimum payments to be debited against the client account within the 30 days shall be included in the amount reported. Interest and minimum payments from assets with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 days shall be considered monies due and shall be reported in the relevant row, following the treatment prescribed by Article 32 for monies due. Credit institutions shall not report other interest that accrues, but that is neither debited against the client account nor giving rise to an actual cash inflow over the 30 days.

210

1.1.7.   monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

Article 32(2)(b) of Commission Delegated Regulation (EU) 2015/61

Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets in accordance with Article 32(2)(b) of Commission Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within the next 30 days, such as cash dividends on major index equity instruments and cash due from such instruments sold but not yet settled, if they are not recognized as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61.

220

1.1.8.   inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

Article 32(3)(g) of Commission Delegated Regulation (EU) 2015/61

Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks in accordance with Article 32(3)(g) of Commission Delegated Regulation (EU) 2015/61 provided that there is no double counting with liquid assets.

Notwithstanding Article 34 of Commission Delegated Regulation (EU) 2015/61, undrawn credit or liquidity facilities and any other commitments received from entities other than central banks shall not be taken into account. Undrawn committed liquidity facilities and any other commitments from the central bank, which are recognised as liquid assets in accordance with Article 14 of Commission Delegated Regulation (EU) 2015/61 shall not be taken into account.

230

1.1.9.   inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

Article 32(4) of Commission Delegated Regulation (EU) 2015/61

Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets in accordance with Article 32(4) of Commission Delegated Regulation (EU) 2015/61.

Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Commission Delegated Regulation (EU) 2015/61.

240

1.1.10.   inflows from derivatives

Article 32(5) of Commission Delegated Regulation (EU) 2015/61

The net amount of receivables expected over the 30 calendar day period from the contracts listed in Annex II of Regulation (EU) No 575/2013.

Credit institutions shall calculate inflows expected over a 30 calendar day period on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of Regulation (EU) No 575/2013.

Net basis shall mean also net of collateral to be received provided that it qualifies as a liquid asset under Title II of Commission Delegated Regulation (EU) 2015/61.

Cash outflows and inflows arising from foreign currency derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement.

For significant currency reporting, foreign currency transaction flows shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency.

250

1.1.11.   inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

Article 34 of Commission Delegated Regulation (EU) 2015/61

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61.

260

1.1.12.   other inflows

Article 32(2) of Commission Delegated Regulation (EU) 2015/61

All other inflows in accordance with Article 32(2) of Commission Delegated Regulation (EU) 2015/61 not reported anywhere else in the template.

270

1.2.   Inflows from secured lending and capital market-driven transactions

Article 32(3)(b), Article 32(3)(c) and Article 32(3)(f) of Commission Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions.

Credit institutions shall report in row 270 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions (disregarding whether the collateral qualifies as a liquid asset or not); and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions (disregarding whether the collateral qualifies as a liquid asset or not); and

| — | for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions (disregarding whether the collateral qualifies as a liquid asset or not). |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions (disregarding whether the collateral qualifies as a liquid asset or not).

280

1.2.1.   collateral that qualifies as a liquid asset

Credit institutions shall report in row 280 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of monies due from secured lending and capital market-driven transactions by type of collateral; |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of monies due from secured lending and capital market-driven transactions by type of collateral;

| — | for each Column 040, 050 and 060 the total market value of collateral received in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of the market values of collateral received in secured lending and capital market-driven transactions by type of collateral; |
| --- | --- |

—

for each Column 040, 050 and 060 the total market value of collateral received in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of the market values of collateral received in secured lending and capital market-driven transactions by type of collateral;

| — | for each Column 110, 120 and 130 the total value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of values of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions by type of collateral; and |
| --- | --- |

—

for each Column 110, 120 and 130 the total value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of values of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions by type of collateral; and

| — | for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of inflows from secured lending and capital market-driven transactions by type of collateral. |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of inflows from secured lending and capital market-driven transactions by type of collateral.

290

1.2.1.1.   Level 1 collateral excluding extremely high quality covered bonds

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 1 collateral excluding extremely high quality covered bonds.

300

1.2.1.2.   Level 1 collateral which is extremely high quality covered bonds

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 1 collateral which is extremely high quality covered bonds.

310

1.2.1.3.   Level 2A collateral

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 2A collateral, all types.

320

1.2.1.4.   Level 2B asset backed securities (residential or auto) collateral

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 2B assets backed securities where the underlying assets are loans as specified in Article 13(2)(g)(i)-(iii), meeting all the relevant requirements of Article 13 of Commission Delegated Regulation (EU) 2015/61.

330

1.2.1.5.   Level 2B high quality covered bonds collateral

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 2B collateral which is high quality bonds.

340

1.2.1.6.   Level 2B asset backed securities (commercial or individuals) collateral

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 2B asset backed securities where the underlying assets are loans as specified in Article 13(2)(g)(iv-v), meeting all the relevant requirements of Article 13 of Commission Delegated Regulation (EU) 2015/61.

350

1.2.1.7.   Level 2B collateral not already captured in section 1.2.1.4., 1.2.1.5. or 1.2.1.6.

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Level 2B collateral not captured above.

360

1.2.2.   collateral is used to cover a short position

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

All collateral which is used to cover a short position. Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting.

370

1.2.3.   collateral that does not qualify as a liquid asset

Credit institutions shall report in row 370 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of monies due from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of monies due from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and

| — | for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of inflows from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral. |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of inflows from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral.

380

1.2.3.1.   margin loans: collateral is non-liquid

Article 32(3)(c) of Commission Delegated Regulation (EU) 2015/61

Margin loans made against non-liquid assets where the assets received are not used to cover short positions as outlined in Article 32(3)(c) of Commission Delegated Regulation (EU) 2015/61.

390

1.2.3.2.   collateral is non-liquid equity

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Collateral is non-liquid equity.

400

1.2.3.3.   all other non-liquid collateral

Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61

Collateral is non-liquid collateral not captured above.

410

1.3.   Total inflows from collateral swaps

Credit institutions shall report here the sum of total inflows from collateral swaps as calculated in template C 75.00 of ANNEX XXIV.

420

1.4.   (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

Article 32(8) of Commission Delegated Regulation (EU) 2015/61

Institutions shall report in the relevant Column 140, 150 and 160 the sum of total weighted inflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies less the sum of total weighted outflows as reported in {C 73.00; r1380, c060} from third countries where there are transfer restrictions or which are denominated in non-convertible currencies. In case this amount is negative, institutions shall report “0”.

430

1.5.   (Excess inflows from a related specialised credit institution)

Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61

Credit institutions reporting on a consolidated basis shall report in the relevant column 140, 150 or 160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33 paragraph (3) and (4) of Commission Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.

MEMORANDUM ITEMS

440

2.   Interdependent inflows

Credit institutions shall report here as a memorandum item the interdependent inflows which have not been included in the calculation of inflows as they have been netted against the outflows. All interdependent inflows that have not been netted against outflows (excess) shall be included in the relevant row of section 1.

Credit institutions shall ensure that there is no double-counting of such items with the outflows template.

450

3.   FX inflows

This memorandum item shall only be reported in case of reporting in currencies subject to separate reporting.

For significant currency reporting only, credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.10.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency.

460

4.   Inflows within a group or an institutional protection scheme

Credit institutions shall report here as memorandum items all transactions reported in section 1 (excluding section 1.1.11.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

Credit institutions shall report in row 460 of C 74.00 of ANNEX XXIV

| — | for each Column 010, 020 and 030 the total amount of monies due/maximum amount that can be drawn within a group or an institutional protection scheme as the sum of monies due/maximum amount that can be drawn within a group or an institutional protection scheme by type of transaction and counterparty; and |
| --- | --- |

—

for each Column 010, 020 and 030 the total amount of monies due/maximum amount that can be drawn within a group or an institutional protection scheme as the sum of monies due/maximum amount that can be drawn within a group or an institutional protection scheme by type of transaction and counterparty; and

| — | for each Column 140, 150 and 160 total inflows within group or an institutional protection scheme as the sum of inflows within a group or an institutional protection scheme by type of transaction and counterparty. |
| --- | --- |

—

for each Column 140, 150 and 160 total inflows within group or an institutional protection scheme as the sum of inflows within a group or an institutional protection scheme by type of transaction and counterparty.

470

4.1.   Monies due from non-financial customers (except for central banks)

Credit institutions shall report here all monies due from non-financial customers reported in section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

480

4.2.   Monies due from financial customers

Credit institutions shall report here all monies due from financial customers reported in section 1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

490

4.3.   Secured transactions

Credit institutions shall report here all monies due from secured lending and capital market driven transaction as well as the total market value of received collateral reported in section 1.2. and the value of the collateral in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (Columns 110-130), where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

500

4.4.   Monies due from maturing securities within 30 days

Credit institutions shall report here all monies due from maturing securities within 30 days reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

510

4.5.   Any other inflows within a group or an institutional protection scheme

Credit institutions shall report here any other inflows within a group or an institutional protection scheme reported in section 1.1.3. to 1.1.12. (excluding section 1.1.5. and 1.1.11.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

520

4.6.   Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61.

REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)

3.   Collateral swaps

3.1.   General remarks

| 1. | Any transaction maturing within 30 days in which non-cash assets are swapped for other non-cash assets, shall be reported in this Template. Items which do not need to be completed by institutions are colored grey. |
| --- | --- |

1.

| 2. | Collateral swaps that mature within 30 days shall lead to an outflow for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent unless the counterparty is a central bank in which case a 0 % outflow shall apply. |
| --- | --- |

2.

| 3. | Collateral swaps that mature within 30 days shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case a 0 % inflow shall apply. |
| --- | --- |

3.

| 4. | For liquid assets the liquidity value is according to Article 9, for non-liquid assets the liquidity value is zero. |
| --- | --- |

4.

| 5. | Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. |
| --- | --- |

5.

| 6. | In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template, with corresponding impact on the excess liquidity value. |
| --- | --- |

6.

| 7. | Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

7.

| 8. | Collateralized derivatives flows within 30 days shall be reported on this Template in Columns 090-120, not in Columns 010-080. |
| --- | --- |

8.

1.2.   Specific remarks

| 9. | Institutions shall only report the Level 1, 2A and 2B assets that qualify as liquid assets in accordance with Title II. For collateral lent, this refers to assets that would qualify upon maturity as liquid assets in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61. |
| --- | --- |

9.

| 10. | Where collateral meets the criteria for Level 1, 2A or 2B in Articles 10-19 of the Commission Delegated Regulation (EU) 2015/61 but does not qualify as liquid asset in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61, it shall be reported as non-liquid. Similarly, where an institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (refer to Article 12(1)(c)(i) to (iii) and Article 10(1)(d)). Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section. |
| --- | --- |

10.

| 11. | Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting). |
| --- | --- |

11.

Collateral swaps sub template

Instructions concerning specific columns

| Column | Legal references and instructions |
| --- | --- |
| 010 | Market value of collateral lent

  The market value of the collateral lent shall be reported in Column 010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
| 020 | Liquidity value of collateral lent

  The liquidity value of the collateral lent shall be reported in Column 020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
| 030 | Market value of collateral borrowed

  The market value of the collateral borrowed shall be reported in Column 030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
| 040 | Liquidity value of collateral borrowed

  The liquidity value of the collateral borrowed shall be reported in Column 040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
| 050 | Outflows

  Where column 040 is greater than column 020 (per transaction), the difference shall be reported in column 050 (outflows), unless the counterparty is a central bank in which case zero outflow shall be reported. |
| 060 | Inflows subject to the 75 % cap on inflows

  Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported.
  Column 060 shall be used where the transaction is subject to the 75 % cap on inflows. |
| 070 | Inflows subject to the 90 % cap on inflows

  Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported.
  Column 070 shall be used where the transaction is subject to the 90 % cap on inflows. |
| 080 | Inflows exempted from the cap on inflows

  Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported.
  Column 080 shall be used where the transaction is exempt from the cap on inflows. |
| 090 | Collateralised derivatives only: Market value of collateral lent

  The market value of the collateral lent shall be reported in Column 090. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
| 100 | Collateralised derivatives only: Liquidity value of collateral lent

  The liquidity value of the collateral lent shall be reported in Column 100. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |
| 110 | Collateralised derivatives only: Market value of collateral borrowed

  The market value of the collateral borrowed shall be reported in Column 110. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. |
| 120 | Collateralised derivatives only: Liquidity value of collateral borrowed

  The liquidity value of the collateral borrowed shall be reported in Column 120. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. |

Column

Legal references and instructions

010

Market value of collateral lent

The market value of the collateral lent shall be reported in Column 010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)].

020

Liquidity value of collateral lent

The liquidity value of the collateral lent shall be reported in Column 020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset.

030

Market value of collateral borrowed

The market value of the collateral borrowed shall be reported in Column 030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)].

040

Liquidity value of collateral borrowed

The liquidity value of the collateral borrowed shall be reported in Column 040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset.

050

Outflows

Where column 040 is greater than column 020 (per transaction), the difference shall be reported in column 050 (outflows), unless the counterparty is a central bank in which case zero outflow shall be reported.

060

Inflows subject to the 75 % cap on inflows

Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported.

Column 060 shall be used where the transaction is subject to the 75 % cap on inflows.

070

Inflows subject to the 90 % cap on inflows

Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported.

Column 070 shall be used where the transaction is subject to the 90 % cap on inflows.

080

Inflows exempted from the cap on inflows

Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported.

Column 080 shall be used where the transaction is exempt from the cap on inflows.

090

Collateralised derivatives only: Market value of collateral lent

The market value of the collateral lent shall be reported in Column 090. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)].

100

Collateralised derivatives only: Liquidity value of collateral lent

The liquidity value of the collateral lent shall be reported in Column 100. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset.

110

Collateralised derivatives only: Market value of collateral borrowed

The market value of the collateral borrowed shall be reported in Column 110. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)].

120

Collateralised derivatives only: Liquidity value of collateral borrowed

The liquidity value of the collateral borrowed shall be reported in Column 120. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset.

Instructions concerning specific rows

| Row | Legal references and instructions |
| --- | --- |
| 010 | 1.   TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives. |
| 020 | 1.1.   Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent. |
| 030 | 1.1.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 040 | 1.1.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 050 | 1.1.3.   Level 2A assets

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed). |
| 060 | 1.1.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 070 | 1.1.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
| 080 | 1.1.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 090 | 1.1.7.   Other Level 2B

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed). |
| 100 | 1.1.8.   Non-liquid assets

  Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed). |
| 110 | 1.2.   Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 extremely high quality covered bonds are lent. |
| 120 | 1.2.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 130 | 1.2.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 140 | 1.2.3.   Level 2A assets

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed). |
| 150 | 1.2.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 160 | 1.2.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
| 170 | 1.2.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 180 | 1.2.7.   Other Level 2B

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed). |
| 190 | 1.2.8.   Non-liquid assets

  Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed). |
| 200 | 1.3.   Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2A assets are lent. |
| 210 | 1.3.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 220 | 1.3.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 230 | 1.3.3.   Level 2A assets

  Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed). |
| 240 | 1.3.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 250 | 1.3.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed). |
| 260 | 1.3.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 270 | 1.3.7.   Other Level 2B

  Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed). |
| 280 | 1.3.8.   Non-liquid assets

  Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed). |
| 290 | 1.4.   Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent. |
| 300 | 1.4.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 310 | 1.4.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 320 | 1.4.3.   Level 2A assets

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed). |
| 330 | 1.4.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 340 | 1.4.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). |
| 350 | 1.4.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 360 | 1.4.7.   Other Level 2B

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed). |
| 370 | 1.4.8.   Non-liquid assets

  Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed). |
| 380 | 1.5.   Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B high quality covered bonds are lent. |
| 390 | 1.5.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 400 | 1.5.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 410 | 1.5.3.   Level 2A assets

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed). |
| 420 | 1.5.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 430 | 1.5.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
| 440 | 1.5.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 450 | 1.5.7.   Other Level 2B

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed). |
| 460 | 1.5.8.   Non-liquid assets

  Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed). |
| 470 | 1.6.   Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent. |
| 480 | 1.6.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 490 | 1.6.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 500 | 1.6.3.   Level 2A assets

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed). |
| 510 | 1.6.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 520 | 1.6.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). |
| 530 | 1.6.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 540 | 1.6.7.   Other Level 2B

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed). |
| 550 | 1.6.8.   Non-liquid assets

  Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed). |
| 560 | 1.7.   Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Other Level 2B assets are lent. |
| 570 | 1.7.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 580 | 1.7.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 590 | 1.7.3.   Level 2A assets

  Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed). |
| 600 | 1.7.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 610 | 1.7.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed). |
| 620 | 1.7.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 630 | 1.7.7.   Other Level 2B

  Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed). |
| 640 | 1.7.8.   Non-liquid assets

  Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed). |
| 650 | 1.8.   Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

  Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61
  Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Non-liquid assets are lent. |
| 660 | 1.8.1.   Level 1 assets (excl. EHQ covered bonds)

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
| 670 | 1.8.2.   Level 1 extremely high quality covered bonds

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed). |
| 680 | 1.8.3.   Level 2A assets

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed). |
| 690 | 1.8.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
| 700 | 1.8.5.   Level 2B high quality covered bonds

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed). |
| 710 | 1.8.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
| 720 | 1.8.7.   Other Level 2B

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed). |
| 730 | 1.8.8.   Non-liquid assets

  Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed). |
| MEMORANDUM ITEMS |
| 740 | 2.   Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

  Institutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied. |
| 750 | 3.   Total collateral swaps with intragroup counterparties

  Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties. |
| 760 | 4.   Total collateral swaps with central bank counterparties

  Institutions shall report here the total collateral swaps with central bank counterparties reported in the above lines a 0 % outflow rate has been applied. |

Row

Legal references and instructions

010

1.   TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives.

020

1.1.   Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

030

1.1.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

040

1.1.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

050

1.1.3.   Level 2A assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed).

060

1.1.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

070

1.1.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

080

1.1.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

090

1.1.7.   Other Level 2B

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed).

100

1.1.8.   Non-liquid assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed).

110

1.2.   Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 extremely high quality covered bonds are lent.

120

1.2.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

130

1.2.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

140

1.2.3.   Level 2A assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed).

150

1.2.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

160

1.2.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

170

1.2.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

180

1.2.7.   Other Level 2B

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed).

190

1.2.8.   Non-liquid assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed).

200

1.3.   Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2A assets are lent.

210

1.3.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

220

1.3.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

230

1.3.3.   Level 2A assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed).

240

1.3.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

250

1.3.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed).

260

1.3.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

270

1.3.7.   Other Level 2B

Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed).

280

1.3.8.   Non-liquid assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed).

290

1.4.   Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent.

300

1.4.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

310

1.4.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

320

1.4.3.   Level 2A assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed).

330

1.4.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

340

1.4.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

350

1.4.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

360

1.4.7.   Other Level 2B

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed).

370

1.4.8.   Non-liquid assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed).

380

1.5.   Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B high quality covered bonds are lent.

390

1.5.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

400

1.5.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

410

1.5.3.   Level 2A assets

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed).

420

1.5.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

430

1.5.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

440

1.5.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

450

1.5.7.   Other Level 2B

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed).

460

1.5.8.   Non-liquid assets

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed).

470

1.6.   Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent.

480

1.6.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

490

1.6.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

500

1.6.3.   Level 2A assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed).

510

1.6.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

520

1.6.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

530

1.6.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

540

1.6.7.   Other Level 2B

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed).

550

1.6.8.   Non-liquid assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed).

560

1.7.   Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Other Level 2B assets are lent.

570

1.7.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

580

1.7.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed).

590

1.7.3.   Level 2A assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed).

600

1.7.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

610

1.7.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed).

620

1.7.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

630

1.7.7.   Other Level 2B

Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed).

640

1.7.8.   Non-liquid assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed).

650

1.8.   Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Non-liquid assets are lent.

660

1.8.1.   Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

670

1.8.2.   Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

680

1.8.3.   Level 2A assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed).

690

1.8.4.   Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

700

1.8.5.   Level 2B high quality covered bonds

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed).

710

1.8.6.   Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

720

1.8.7.   Other Level 2B

Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed).

730

1.8.8.   Non-liquid assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed).

MEMORANDUM ITEMS

740

2.   Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

Institutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied.

750

3.   Total collateral swaps with intragroup counterparties

Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties.

760

4.   Total collateral swaps with central bank counterparties

Institutions shall report here the total collateral swaps with central bank counterparties reported in the above lines a 0 % outflow rate has been applied.

REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)

4.   Calculations

4.1.   General remarks

This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey.

4.2.   Specific remarks

Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040.

Calculations sub template

Instructions concerning specific rows

| Row | Legal references and instructions |
| --- | --- |
| CALCULATIONS |
| Numerator, Denominator, Ratio

  Article 4 of Commission Delegated Regulation (EU) 2015/61
  The Liquidity Coverage Ratio numerator, denominator and ratio.
  Enter all below data into column 010 of given row. |
| 010 | 1.   Liquidity Buffer

  Report figure from {C 76.00; r290; c010}. |
| 020 | 2.   Net Liquidity Outflow

  Report figure from {C 76.00; r370; c010}. |
| 030 | 3.   Liquidity Coverage Ratio (%)

  Report the liquidity coverage ratio calculated as specified in Article 4(1) of Commission Delegated Regulation (EU) 2015/61.
  The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage.
  If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999. |
| Numerator calculations

  Article 17 and ANNEX I of Commission Delegated Regulation (EU) 2015/61
  Formula for the calculation of the Liquidity Buffer.
  Enter all below data into column 010 of given row. |
| 040 | 4.   L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted

  Report figure from {C 72.00; r030; c040}. |
| 050 | 5.   L1 excl. EHQCB collateral 30 day outflows

  Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
| 060 | 6.   L1 excl. EHQCB collateral 30 day inflows

  Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
| 070 | 7.   Secured cash outflows

  Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
| 080 | 8.   Secured cash inflows

  Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
| 090 | 9.   L1 excl. EHQCB “adjusted amount before cap application”

  This is referred to as (a) in Annex I (5)
  Report the adjusted non-covered bond level 1 asset amount before cap application.
  The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date. |
| 100 | 10.   L1 EHQCB value according to Article 9: unadjusted

  Report figure from {C 72.00; r180; c040}. |
| 110 | 11.   L1 EHQCB collateral 30 day outflows

  Report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
| 120 | 12.   L1 EHQCB collateral 30 day inflows

  Report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. |
| 130 | 13.   L1 EHQCB “adjusted amount before cap application”

  This is referred to as (b) in Annex I (5)
  Report the adjusted covered bond level 1 asset amount before cap application.
  The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date. |
| 140 | 14.   L1 EHQCB “adjusted amount after cap application”

  This is referred to as (b′) in Annex I (5)
  Report b′ (the adjusted covered bond level 1asset amount after cap application)
  = MIN(b, a70/30)
  where b = the adjusted covered bond level 1 asset amount before cap application. |
| 150 | 15.   L1 EHQCB “excess liquid assets amount”

  Report the difference between b and b′. b and b′ as referred to in Annex I (5) |
| 160 | 16.   L2A value according to Article 9: unadjusted

  Report figure from {C 72.00; r230; c040}. |
| 170 | 17.   L2A collateral 30 day outflows

  Report outflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
| 180 | 18.   L2A collateral 30 day inflows

  Report inflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
| 190 | 19.   L2A “adjusted amount before cap application”

  This is referred to as (c) in Annex I (5)
  Report the adjusted level 2A asset amount before cap application.
  The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date. |
| 200 | 20.   L2A “adjusted amount after cap application”

  This is referred to as (c′) in Annex I (5)
  Report c′ (the adjusted level 2A asset amount after cap application)
  = MIN(c, (a+b′)40/60, MAX(a70/30-b′, 0))
  where c = the adjusted level 2A asset amount before cap application. |
| 210 | 21.   L2A “excess liquid assets amount”

  Report the difference between c and c′. c and c′ as referred to in Annex I (5). |
| 220 | 22.   L2B value according to Article 9: unadjusted

  Report figure from {C 72.00; r310; c040}. |
| 230 | 23.   L2B collateral 30 day outflows

  Report outflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
| 240 | 24.   L2B collateral 30 day inflows

  Report inflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. |
| 250 | 25.   L2B “adjusted amount before cap application”

  This is referred to as (d) in Annex I (5)
  Report the adjusted level 2B asset amount before cap application.
  The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date. |
| 260 | 26.   L2B “adjusted amount after cap application”

  This is referred to as (d′) in Annex I (5)
  Report d′ (the adjusted level 2B asset amount after cap application)
  = MIN (d, (a+b′+c′)15/85, MAX((a+b′)40/60-c′,0), MAX(70/30a-b′-c′,0))
  Where d = the adjusted level 2B asset amount before cap application). |
| 270 | 27.   L2B “excess liquid assets amount”

  Report the difference between d and d′. d and d′ as referred to in Annex I (5). |
| 280 | 28.   Excess liquid asset amount

  Annex I(4)
  Report the “excess liquid assets amount”: this amount shall be equal to:






  (a) | the adjusted non-covered bond level 1 asset amount; plus |

Row

Legal references and instructions

CALCULATIONS

Numerator, Denominator, Ratio

Article 4 of Commission Delegated Regulation (EU) 2015/61

The Liquidity Coverage Ratio numerator, denominator and ratio.

Enter all below data into column 010 of given row.

010

1.   Liquidity Buffer

Report figure from {C 76.00; r290; c010}.

020

2.   Net Liquidity Outflow

Report figure from {C 76.00; r370; c010}.

030

3.   Liquidity Coverage Ratio (%)

Report the liquidity coverage ratio calculated as specified in Article 4(1) of Commission Delegated Regulation (EU) 2015/61.

The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage.

If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999.

Numerator calculations

Article 17 and ANNEX I of Commission Delegated Regulation (EU) 2015/61

Formula for the calculation of the Liquidity Buffer.

Enter all below data into column 010 of given row.

040

4.   L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted

Report figure from {C 72.00; r030; c040}.

050

5.   L1 excl. EHQCB collateral 30 day outflows

Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date.

060

6.   L1 excl. EHQCB collateral 30 day inflows

Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date.

070

7.   Secured cash outflows

Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date.

080

8.   Secured cash inflows

Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date.

090

9.   L1 excl. EHQCB “adjusted amount before cap application”

This is referred to as (a) in Annex I (5)

Report the adjusted non-covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date.

100

10.   L1 EHQCB value according to Article 9: unadjusted

Report figure from {C 72.00; r180; c040}.

110

11.   L1 EHQCB collateral 30 day outflows

Report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date.

120

12.   L1 EHQCB collateral 30 day inflows

Report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date.

130

13.   L1 EHQCB “adjusted amount before cap application”

This is referred to as (b) in Annex I (5)

Report the adjusted covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date.

140

14.   L1 EHQCB “adjusted amount after cap application”

This is referred to as (b′) in Annex I (5)

Report b′ (the adjusted covered bond level 1asset amount after cap application)

= MIN(b, a70/30)

where b = the adjusted covered bond level 1 asset amount before cap application.

150

15.   L1 EHQCB “excess liquid assets amount”

Report the difference between b and b′. b and b′ as referred to in Annex I (5)

160

16.   L2A value according to Article 9: unadjusted

Report figure from {C 72.00; r230; c040}.

170

17.   L2A collateral 30 day outflows

Report outflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date.

180

18.   L2A collateral 30 day inflows

Report inflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date.

190

19.   L2A “adjusted amount before cap application”

This is referred to as (c) in Annex I (5)

Report the adjusted level 2A asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date.

200

20.   L2A “adjusted amount after cap application”

This is referred to as (c′) in Annex I (5)

Report c′ (the adjusted level 2A asset amount after cap application)

= MIN(c, (a+b′)40/60, MAX(a70/30-b′, 0))

where c = the adjusted level 2A asset amount before cap application.

210

21.   L2A “excess liquid assets amount”

Report the difference between c and c′. c and c′ as referred to in Annex I (5).

220

22.   L2B value according to Article 9: unadjusted

Report figure from {C 72.00; r310; c040}.

230

23.   L2B collateral 30 day outflows

Report outflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date.

240

24.   L2B collateral 30 day inflows

Report inflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date.

250

25.   L2B “adjusted amount before cap application”

This is referred to as (d) in Annex I (5)

Report the adjusted level 2B asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date.

260

26.   L2B “adjusted amount after cap application”

This is referred to as (d′) in Annex I (5)

Report d′ (the adjusted level 2B asset amount after cap application)

= MIN (d, (a+b′+c′)15/85, MAX((a+b′)40/60-c′,0), MAX(70/30a-b′-c′,0))

Where d = the adjusted level 2B asset amount before cap application).

270

27.   L2B “excess liquid assets amount”

Report the difference between d and d′. d and d′ as referred to in Annex I (5).

280

28.   Excess liquid asset amount

Annex I(4)

Report the “excess liquid assets amount”: this amount shall be equal to:

(a)

the adjusted non-covered bond level 1 asset amount; plus

| (b) | the adjusted level 1 covered bond amount; plus |
| --- | --- |

(b)

the adjusted level 1 covered bond amount; plus

| (c) | the adjusted level 2A asset amount; plus |
| --- | --- |

(c)

the adjusted level 2A asset amount; plus

| (d) | the adjusted level 2B asset amount; |
| --- | --- |

(d)

the adjusted level 2B asset amount;

minus the lesser of:

| (e) | the sum of (a),(b),(c) and (d); |
| --- | --- |

(e)

the sum of (a),(b),(c) and (d);

| (f) | 100/30 times (a); |
| --- | --- |

(f)

100/30 times (a);

| (g) | 100/60 times the sum of (a) and (b); |
| --- | --- |

(g)

100/60 times the sum of (a) and (b);

| (h) | 100/85 times the sum of (a), (b) and (c). |
| --- | --- |

(h)

100/85 times the sum of (a), (b) and (c).

290

29.   Liquidity buffer

Annex I (2)

Report the liquidity buffer which shall be equal to:

| (a) | the level 1 asset amount; plus |
| --- | --- |

(a)

the level 1 asset amount; plus

| (b) | the level 2A asset amount; plus |
| --- | --- |

(b)

the level 2A asset amount; plus

| (c) | the level 2B asset amount; |
| --- | --- |

(c)

the level 2B asset amount;

minus the lesser of:

| (d) | the sum of (a), (b), and (c); or |
| --- | --- |

(d)

the sum of (a), (b), and (c); or

| (e) | the “excess liquid assets amount”. |
| --- | --- |

(e)

the “excess liquid assets amount”.

Denominator calculations

ANNEX II of Commission Delegated Regulation (EU) 2015/61

Formula for the calculation of the net liquidity outflow

Where,

NLO= Net liquidity outflow

TO= Total outflows

TI= Total inflows

FEI= Fully exempted inflows

IHC= Inflows subject to higher cap of 90 % outflows

IC= Inflows subject to cap of 75 % of outflows

Enter all below data in to column 010 of given row

300

30.   Total Outflows

TO= from Outflow sheet

Report figure from {C 73.00; r010; c060}.

310

31.   Fully Exempt Inflows

FEI= from Inflows sheet

Report figure from {C 74.00; r010; c160}.

320

32.   Inflows Subject to 90 % Cap

IHC= from Inflows sheet

Report figure from {C 74.00; r010; c150}.

330

33.   Inflows Subject to 75 % Cap

IC= from Inflows & Collateral swaps sheets

Report figure from {C 74.00; r010; c140}.

340

34.   Reduction for Fully Exempt Inflows

Report the following part of the NLO calculation:

= MIN (FEI, TO).

350

35.   Reduction for Inflows Subject to 90 % Cap

Report the following part of the NLO calculation:

= MIN (IHC, 0.9*MAX(TO-FEI, 0)).

360

36.   Reduction for Inflows Subject to 75 % Cap

Report the following part of the NLO calculation:

= MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)).

370

37.   Net liquidity outflow

Report the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap.

NLO = TO – MIN(FEI, TO) – MIN(IHC, 0.9*MAX(TO-FEI, 0)) – MIN(IC, 0.75*MAX(T0-FEI-IHC/0.9,0))

Pillar 2

380

38.   Pillar 2 requirement

as set out in Article 105 CRD

Report the Pillar 2 requirement.’

---

(1)  Collateral swap transactions additionally need to be reported in template C 75.00 of ANNEX XXIV.

1

---