Commission Implementing Regulation (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting (Text with EEA relevance)
Date: 2016-03-01
Institutions: European Commission
Subjects: credit institution, disclosure of information, financial control, financial legislation, financial situation, investment company, market supervision, trade information




L_2016060EN.01000501.xml










5.3.2016   


EN


Official Journal of the European Union


L 60/5








            COMMISSION IMPLEMENTING REGULATION (EU) 2016/313
of 1 March 2016
         
amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

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


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

Whereas:







(1)


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












(2)


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












(3)


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












(4)


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












(5)


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












(6)


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












(7)


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












(8)


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












(9)


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












(10)


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












(11)


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












(12)


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





HAS ADOPTED THIS REGULATION:



Article 1
Implementing Regulation (EU) No 680/2014 is amended as follows:






1.


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






‘(g)


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














2.


the following Chapter 7b is inserted:


                                       ‘CHAPTER 7b


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



Article 16b

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






(a)


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










(b)


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






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






(a)


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










(b)


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










(c)


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




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


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




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










3.


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










4.


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






Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 1 March 2016.


For the Commission


The President

Jean-Claude JUNCKER
            





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

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

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

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




ANNEX



‘ANNEX XVIII

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









ALMM TEMPLATES






Template number




Template code




Name of the template/group of templates




 


ADDITIONAL MONITORING TOOLS TEMPLATES






67


C 67.00


CONCENTRATION OF FUNDING BY COUNTERPARTY




68


C 68.00


CONCENTRATION OF FUNDING BY PRODUCT TYPE




69


C 69.00


PRICES FOR VARIOUS LENGTHS OF FUNDING




70


C 70.00


ROLL-OVER OF FUNDING








C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY







z-axis

Total and significant currencies


















Concentration of funding by counterparty





 



Counterparty Name




LEI Code




Counterparty Sector




Residence of Counterparty




Product Type




Amount Received




Weighted average initial maturity




Weighted average residual maturity






Row




ID



010


020


030


040


050


060


070


080




010









1.



TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES






 


 


 


 


 


 


 


 




020


1,01


 


 


 


 


 


 


 


 




030


1,02


 


 


 


 


 


 


 


 




040


1,03


 


 


 


 


 


 


 


 




050


1,04


 


 


 


 


 


 


 


 




060


1,05


 


 


 


 


 


 


 


 




070


1,06


 


 


 


 


 


 


 


 




080


1,07


 


 


 


 


 


 


 


 




090


1,08


 


 


 


 


 


 


 


 




100


1,09


 


 


 


 


 


 


 


 




110


1,10


 


 


 


 


 


 


 


 




120









2.



ALL OTHER LIABILITIES






 


 


 


 


 


 


 


 








C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE







z-axis

Total and significant currencies
















Concentration of funding by product type






Row




ID




Product Name




Total amount received




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




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




Weighted average initial maturity




Weighted average residual maturity





 


 


 


010


020


030


040


050





PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES








010


1



RETAIL FUNDING



 


 


 


 


 




020


1,1


Sight deposits


 


 


 


 


 




030


1,2


Fixed term deposits with an initial maturity less than 30 days


 


 


 


 


 






040


1,3


Fixed term deposits with an initial maturity greater than 30 days


 


 


 


 


 




050


1.3.1


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


 


 


 


 


 




060


1.3.2


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


 


 


 


 


 






070


1,4


Savings accounts


 


 


 


 


 




080


1.4.1


with a notice period for withdrawal greater than 30 days


 


 


 


 


 




090


1.4.2


without a notice period for withdrawal greater than 30 days


 


 


 


 


 






100


2



WHOLESALE FUNDING



 


 


 


 


 






110


2,1


Unsecured wholesale funding


 


 


 


 


 




120


2.1.1


of which financial customers


 


 


 


 


 




130


2.1.2


of which non-financial customers


 


 


 


 


 




140


2.1.3


of which from intra-group entities


 


 


 


 


 






150


2,2


Secured wholesale funding


 


 


 


 


 




160


2.2.1


of which repurchase agreements


 


 


 


 


 




170


2.2.2


of which covered bond issuance


 


 


 


 


 




180


2.2.3


of which asset backed security issuance


 


 


 


 


 




190


2.2.4


of which from intra-group entities


 


 


 


 


 








C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING







z-axis

Total and significant currencies





























Prices for various lengths of funding





 



Overnight




1 week




1 month




3 months




6 months




1 year




2 years




5 years




10 years






Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume




Spread




Volume






Row




ID




Item



010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180




010


1



Total Funding



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




020


1,1


of which: Retail deposits


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030


1,2


of which: Unsecured wholesale deposits


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


1,3


of which: Secured funding


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050


1,4


of which: Senior unsecured securities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060


1,5


of which: Covered bonds


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


1,6


of which: Asset backed securities including ABCP


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 70.00 - ROLL-OVER OF FUNDING







z-axis

Total and significant currencies
























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




010


1.1



1




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




020


1.1.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




030


1.1.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




040


1.1.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




050


1.2



2




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




060


1.2.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




070


1.2.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




080


1.2.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




010


1.1



1




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




020


1.1.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




030


1.1.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




040


1.1.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




050


1.2



2




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




060


1.2.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




070


1.2.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




080


1.2.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




010


1.1



1




Total funding



 


 


 


 


 


 


 


 


 




020


1.1.1



Retail deposits



 


 


 


 


 


 


 


 


 




030


1.1.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




040


1.1.3



Secured funding



 


 


 


 


 


 


 


 


 




050


1.2



2




Total funding



 


 


 


 


 


 


 


 


 




060


1.2.1



Retail deposits



 


 


 


 


 


 


 


 


 




070


1.2.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




080


1.2.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




090


1.3



3




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




100


1.3.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




110


1.3.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




120


1.3.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




130


1.4



4




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




140


1.4.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




150


1.4.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




160


1.4.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




170


1.5



5




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




180


1.5.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




190


1.5.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




200


1.5.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




090


1.3



3




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




100


1.3.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




110


1.3.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




120


1.3.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




130


1.4



4




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




140


1.4.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




150


1.4.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




160


1.4.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




170


1.5



5




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




180


1.5.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




190


1.5.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




200


1.5.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




090


1.3



3




Total funding



 


 


 


 


 


 


 


 


 




100


1.3.1



Retail deposits



 


 


 


 


 


 


 


 


 




110


1.3.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




120


1.3.3



Secured funding



 


 


 


 


 


 


 


 


 




130


1.4



4




Total funding



 


 


 


 


 


 


 


 


 




140


1.4.1



Retail deposits



 


 


 


 


 


 


 


 


 




150


1.4.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




160


1.4.3



Secured funding



 


 


 


 


 


 


 


 


 




170


1.5



5




Total funding



 


 


 


 


 


 


 


 


 




180


1.5.1



Retail deposits



 


 


 


 


 


 


 


 


 




190


1.5.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




200


1.5.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




210


1.6



6




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




220


1.6.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




230


1.6.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




240


1.6.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




250


1.7



7




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




260


1.7.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




270


1.7.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




280


1.7.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




290


1.8



8




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




300


1.8.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




310


1.8.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




320


1.8.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




210


1.6



6




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




220


1.6.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




230


1.6.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




240


1.6.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




250


1.7



7




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




260


1.7.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




270


1.7.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




280


1.7.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




290


1.8



8




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




300


1.8.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




310


1.8.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




320


1.8.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




210


1.6



6




Total funding



 


 


 


 


 


 


 


 


 




220


1.6.1



Retail deposits



 


 


 


 


 


 


 


 


 




230


1.6.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




240


1.6.3



Secured funding



 


 


 


 


 


 


 


 


 




250


1.7



7




Total funding



 


 


 


 


 


 


 


 


 




260


1.7.1



Retail deposits



 


 


 


 


 


 


 


 


 




270


1.7.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




280


1.7.3



Secured funding



 


 


 


 


 


 


 


 


 




290


1.8



8




Total funding



 


 


 


 


 


 


 


 


 




300


1.8.1



Retail deposits



 


 


 


 


 


 


 


 


 




310


1.8.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




320


1.8.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




330


1.9



9




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




340


1.9.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




350


1.9.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




360


1.9.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




370


1.10



10




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




380


1.10.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




390


1.10.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




400


1.10.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




410


1.11



11




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




420


1.11.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




430


1.11.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




440


1.11.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




330


1.9



9




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




340


1.9.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




350


1.9.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




360


1.9.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




370


1.10



10




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




380


1.10.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




390


1.10.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




400


1.10.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




410


1.11



11




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




420


1.11.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




430


1.11.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




440


1.11.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




330


1.9



9




Total funding



 


 


 


 


 


 


 


 


 




340


1.9.1



Retail deposits



 


 


 


 


 


 


 


 


 




350


1.9.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




360


1.9.3



Secured funding



 


 


 


 


 


 


 


 


 




370


1.10



10




Total funding



 


 


 


 


 


 


 


 


 




380


1.10.1



Retail deposits



 


 


 


 


 


 


 


 


 




390


1.10.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




400


1.10.3



Secured funding



 


 


 


 


 


 


 


 


 




410


1.11



11




Total funding



 


 


 


 


 


 


 


 


 




420


1.11.1



Retail deposits



 


 


 


 


 


 


 


 


 




430


1.11.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




440


1.11.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




450


1.12



12




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




460


1.12.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




470


1.12.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




480


1.12.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




490


1.13



13




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




500


1.13.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




510


1.13.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




520


1.13.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




530


1.14



14




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




540


1.14.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




550


1.14.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




560


1.14.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




450


1.12



12




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




460


1.12.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




470


1.12.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




480


1.12.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




490


1.13



13




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




500


1.13.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




510


1.13.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




520


1.13.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




530


1.14



14




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




540


1.14.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




550


1.14.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




560


1.14.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




450


1.12



12




Total funding



 


 


 


 


 


 


 


 


 




460


1.12.1



Retail deposits



 


 


 


 


 


 


 


 


 




470


1.12.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




480


1.12.3



Secured funding



 


 


 


 


 


 


 


 


 




490


1.13



13




Total funding



 


 


 


 


 


 


 


 


 




500


1.13.1



Retail deposits



 


 


 


 


 


 


 


 


 




510


1.13.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




520


1.13.3



Secured funding



 


 


 


 


 


 


 


 


 




530


1.14



14




Total funding



 


 


 


 


 


 


 


 


 




540


1.14.1



Retail deposits



 


 


 


 


 


 


 


 


 




550


1.14.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




560


1.14.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




570


1.15



15




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




580


1.15.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




590


1.15.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




600


1.15.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




610


1.16



16




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




620


1.16.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




630


1.16.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




640


1.16.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




650


1.17



17




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




660


1.17.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




670


1.17.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




680


1.17.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




570


1.15



15




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




580


1.15.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




590


1.15.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




600


1.15.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




610


1.16



16




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




620


1.16.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




630


1.16.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




640


1.16.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




650


1.17



17




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




660


1.17.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




670


1.17.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




680


1.17.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




570


1.15



15




Total funding



 


 


 


 


 


 


 


 


 




580


1.15.1



Retail deposits



 


 


 


 


 


 


 


 


 




590


1.15.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




600


1.15.3



Secured funding



 


 


 


 


 


 


 


 


 




610


1.16



16




Total funding



 


 


 


 


 


 


 


 


 




620


1.16.1



Retail deposits



 


 


 


 


 


 


 


 


 




630


1.16.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




640


1.16.3



Secured funding



 


 


 


 


 


 


 


 


 




650


1.17



17




Total funding



 


 


 


 


 


 


 


 


 




660


1.17.1



Retail deposits



 


 


 


 


 


 


 


 


 




670


1.17.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




680


1.17.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




690


1.18



18




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




700


1.18.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




710


1.18.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




720


1.18.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




730


1.19



19




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




740


1.19.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




750


1.19.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




760


1.19.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




770


1.20



20




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




780


1.20.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




790


1.20.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




800


1.20.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




690


1.18



18




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




700


1.18.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




710


1.18.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




720


1.18.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




730


1.19



19




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




740


1.19.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




750


1.19.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




760


1.19.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




770


1.20



20




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




780


1.20.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




790


1.20.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




800


1.20.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




690


1.18



18




Total funding



 


 


 


 


 


 


 


 


 




700


1.18.1



Retail deposits



 


 


 


 


 


 


 


 


 




710


1.18.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




720


1.18.3



Secured funding



 


 


 


 


 


 


 


 


 




730


1.19



19




Total funding



 


 


 


 


 


 


 


 


 




740


1.19.1



Retail deposits



 


 


 


 


 


 


 


 


 




750


1.19.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




760


1.19.3



Secured funding



 


 


 


 


 


 


 


 


 




770


1.20



20




Total funding



 


 


 


 


 


 


 


 


 




780


1.20.1



Retail deposits



 


 


 


 


 


 


 


 


 




790


1.20.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




800


1.20.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




810


1.21



21




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




820


1.21.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




830


1.21.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




840


1.21.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




850


1.22



22




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




860


1.22.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




870


1.22.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




880


1.22.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




890


1.23



23




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




900


1.23.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




910


1.23.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




920


1.23.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




810


1.21



21




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




820


1.21.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




830


1.21.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




840


1.21.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




850


1.22



22




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




860


1.22.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




870


1.22.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




880


1.22.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




890


1.23



23




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




900


1.23.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




910


1.23.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




920


1.23.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




810


1.21



21




Total funding



 


 


 


 


 


 


 


 


 




820


1.21.1



Retail deposits



 


 


 


 


 


 


 


 


 




830


1.21.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




840


1.21.3



Secured funding



 


 


 


 


 


 


 


 


 




850


1.22



22




Total funding



 


 


 


 


 


 


 


 


 




860


1.22.1



Retail deposits



 


 


 


 


 


 


 


 


 




870


1.22.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




880


1.22.3



Secured funding



 


 


 


 


 


 


 


 


 




890


1.23



23




Total funding



 


 


 


 


 


 


 


 


 




900


1.23.1



Retail deposits



 


 


 


 


 


 


 


 


 




910


1.23.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




920


1.23.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




930


1.24



24




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




940


1.24.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




950


1.24.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




960


1.24.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




970


1.25



25




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




980


1.25.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




990


1.25.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1000


1.25.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1010


1.26



26




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1020


1.26.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1030


1.26.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1040


1.26.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




930


1.24



24




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




940


1.24.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




950


1.24.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




960


1.24.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




970


1.25



25




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




980


1.25.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




990


1.25.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1000


1.25.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1010


1.26



26




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1020


1.26.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1030


1.26.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1040


1.26.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




930


1.24



24




Total funding



 


 


 


 


 


 


 


 


 




940


1.24.1



Retail deposits



 


 


 


 


 


 


 


 


 




950


1.24.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




960


1.24.3



Secured funding



 


 


 


 


 


 


 


 


 




970


1.25



25




Total funding



 


 


 


 


 


 


 


 


 




980


1.25.1



Retail deposits



 


 


 


 


 


 


 


 


 




990


1.25.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1000


1.25.3



Secured funding



 


 


 


 


 


 


 


 


 




1010


1.26



26




Total funding



 


 


 


 


 


 


 


 


 




1020


1.26.1



Retail deposits



 


 


 


 


 


 


 


 


 




1030


1.26.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1040


1.26.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




1050


1.27



27




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1060


1.27.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1070


1.27.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1080


1.27.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1090


1.28



28




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1100


1.28.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1110


1.28.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1120


1.28.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1130


1.29



29




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1140


1.29.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1150


1.29.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1160


1.29.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




1050


1.27



27




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1060


1.27.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1070


1.27.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1080


1.27.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1090


1.28



28




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1100


1.28.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1110


1.28.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1120


1.28.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1130


1.29



29




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1140


1.29.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1150


1.29.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1160


1.29.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




1050


1.27



27




Total funding



 


 


 


 


 


 


 


 


 




1060


1.27.1



Retail deposits



 


 


 


 


 


 


 


 


 




1070


1.27.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1080


1.27.3



Secured funding



 


 


 


 


 


 


 


 


 




1090


1.28



28




Total funding



 


 


 


 


 


 


 


 


 




1100


1.28.1



Retail deposits



 


 


 


 


 


 


 


 


 




1110


1.28.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1120


1.28.3



Secured funding



 


 


 


 


 


 


 


 


 




1130


1.29



29




Total funding



 


 


 


 


 


 


 


 


 




1140


1.29.1



Retail deposits



 


 


 


 


 


 


 


 


 




1150


1.29.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1160


1.29.3



Secured funding



 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



Overnight




> 1 day ≤ 7 days




>7days ≤ 14 days






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



010


020


030


040


050


060


070


080


090


100


110


120




1170


1.30



30




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1180


1.30.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1190


1.30.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1200


1.30.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1210


1.31



31




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1220


1.31.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1230


1.31.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1240


1.31.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




























Roll-over of funding





 



>14 days ≤ 1 month




>1 Month ≤ 3 Months




>3 Months ≤ 6 Months






Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net




Maturing




Roll over




New Funds




Net






Row




ID




Day




Item



130


140


150


160


170


180


190


200


210


220


230


240




1170


1.30



30




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1180


1.30.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1190


1.30.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1200


1.30.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 




1210


1.31



31




Total funding



 


 


 


 


 


 


 


 


 


 


 


 




1220


1.31.1



Retail deposits



 


 


 


 


 


 


 


 


 


 


 


 




1230


1.31.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 


 


 


 




1240


1.31.3



Secured funding



 


 


 


 


 


 


 


 


 


 


 


 

























Roll-over of funding





 



>6 Months




Total net cashflows




Average Term (days)






Maturing




Roll over




New Funds




Net




Maturing Funds Term




Roll-over Funds Term




New Funds Term




Total Funding Profile






Row




ID




Day




Item



250


260


270


280


290


300


310


320


330




1170


1.30



30




Total funding



 


 


 


 


 


 


 


 


 




1180


1.30.1



Retail deposits



 


 


 


 


 


 


 


 


 




1190


1.30.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1200


1.30.3



Secured funding



 


 


 


 


 


 


 


 


 




1210


1.31



31




Total funding



 


 


 


 


 


 


 


 


 




1220


1.31.1



Retail deposits



 


 


 


 


 


 


 


 


 




1230


1.31.2



Unsecured wholesale deposits



 


 


 


 


 


 


 


 


 




1240


1.31.3



Secured funding



 


 


 


 


 


 


 


 


 








‘ANNEX XIX

INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1.   Additional Monitoring Tools
1.1.   General remarks








1.


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




1.2.   Concentration of funding by counterparty (C 67.00)








1.


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












2.


For the purpose of completing this template:






(a)


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










(b)


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










(c)


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
















3.


For each counterparty, institutions shall record the following components:






(a)


counterparty name;










(b)


LEI code;










(c)


counterparty sector;










(d)


residence of the counterparty;










(e)


product type;










(f)


amount received;










(g)


weighted average initial maturity; and










(h)


weighted average residual maturity




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












4.


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












5.


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












6.


Instructions concerning specific columns:






Column


Legal references and instructions




010



Counterparty Name

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




020



LEI Code

The legal entity identifier code of the counterparty.




030



Counterparty Sector

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




040



Residence of Counterparty

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




050



Product Type

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






 



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










 



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










 



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










 



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










 



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










 



IGCP (funding obtained from intragroup counterparties)








060



Amount Received

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




070



Weighted average initial maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average initial maturity (in days) for that funding shall be recorded in column 070.
Weighted average initial maturity is the average initial maturity (in days) of the funding received from that counterparty based on the size of different amounts of funding received to total funding received.
For example:






1.


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










2.


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




Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 days
Weighted average initial maturity = 240 days




080



Weighted average residual maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity (in days) for that funding shall be recorded in column 080.
Weighted average residual maturity is the average maturity (in days) of the funding received from that counterparty left based on the size of different amounts of funding received to total funding received.
For example:






1.


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










2.


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




Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 days
Weighted average residual maturity = 100 days








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








1.


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






1.


Retail funding;






(a)


Sight deposits;










(b)


Fixed term deposits less or equal than 30 days










(c)


Fixed term deposits greater than 30 days;






(i)


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










(ii)


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














(d)


Savings accounts;






(i)


With a notice period for withdrawal greater than 30 days;










(ii)


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


















2.


Wholesale funding;






(a)


Unsecured wholesale funding;






(i)


of which financial customers










(ii)


of which non-financial customers










(iii)


of which from intra-group entities














(b)


Secured wholesale funding;






(i)


of which repurchase agreements










(ii)


of which covered bond issuance










(iii)


of which asset backed security issuance










(iv)


of which from intra-group entities
























2.


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












3.


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






(a)


total amount received;










(b)


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










(c)


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










(d)


weighted average initial maturity; and










(e)


weighted average residual maturity.




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












4.


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












5.


Instructions concerning specific columns:






Column


Legal references and instructions




010



Total amount received

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




020



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

Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.
Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010.




030



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

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




040



Weighted average initial maturity

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






1.


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










2.


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




Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 days
Weighted average initial maturity = 240 days




050



Weighted average residual maturity

For the amount of funding received reported in column 010, from the product categories listed in the “Product name” column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050.
Weighted average residual maturity is the average maturity (in days) left on the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product.
For example:






1.


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










2.


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




Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 days
Weighted average residual maturity = 100 days








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








1.


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






(a)


Overnight (columns 010 and 020)










(b)


1 week (columns 030 and 040)










(c)


1 month (columns 050 and 060)










(d)


3 months (columns 070 and 080)










(e)


6 months (columns 090 and 100)










(f)


1 year (columns 110 and 120)










(g)


2 years (columns 130 and 140)










(h)


5 years (columns 150 and 160)










(i)


10 years (columns 170 and 180)
















2.


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












3.


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






1.


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










2.


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
















4.


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






1.


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










2.


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
















5.


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












6.


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












7.


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












8.


Instructions concerning specific rows:






Row


Legal references and instructions




010


1   Total Funding

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






(a)


Overnight (columns 010 and 020)










(b)


1 week (columns 030 ad 040)










(c)


1 month (columns 050 and 060)










(d)


3 months (columns 070 and 080)










(e)


6 months (columns 090 and 100)










(f)


1 year (columns 110 and 120)










(g)


2 years (columns 130 and 140)










(h)


5 years (columns 150 and 160)










(i)


10 years (columns 170 and 180)








020


1.1   of which: Retail deposits

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




030


1.2   of which: Unsecured wholesale deposits

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




040


1.3   of which: Secured funding

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




050


1.4   of which: Senior unsecured securities

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




060


1.5   of which: Covered bonds

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




070


1.6   of which: Asset backed securities including ABCP

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








1.5.   Roll-over of funding (C 70.00)








1.


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












2.


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






(a)


Overnight (columns 010 to 040)










(b)


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










(c)


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










(d)


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










(e)


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










(f)


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










(g)


Maturing greater than 6 months (columns 250 to 280)
















3.


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












4.


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












5.


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












6.


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












7.


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












8.


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












9.


Instructions concerning specific rows:






Column


Legal references and instructions




010 to 040



Overnight

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




050 to 080



> 1 day ≤ 7 days

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




090 to 120



> 7days ≤ 14 days

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




130 to 160



> 14 days ≤ 1 month

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




170 to 200



> 1 Month ≤ 3 Months

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




210 to 240



> 3 Months ≤ 6 Months

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




250 to 280



> 6 Months

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




290



Total net cash flows

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




300 to 330



Average Term (days)

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












‘ANNEX XX

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









ALMM TEMPLATES






Template number




Template code




Name of the template /group of templates




 


CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES






71


C 71.00


CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY








C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY







z-axis

Total and significant currencies



















Concentration of counterbalancing capacity by issuer/counterparty





 



Issuer/Counterparty Name




LEI code




Issuer/Counterparty Sector




Residence of Issuer/Counterparty




Product Type




Currency




Credit quality step




MtM value/nominal




Collateral value CB-eligible






Row




ID



010


020


030


040


050


060


070


080


090




010









1.



TOP TEN ISSUERS/COUNTERPARTIES






 


 


 


 


 


 


 


 


 




020


1,01


 


 


 


 


 


 


 


 


 




030


1,02


 


 


 


 


 


 


 


 


 




040


1,03


 


 


 


 


 


 


 


 


 




050


1,04


 


 


 


 


 


 


 


 


 




060


1,05


 


 


 


 


 


 


 


 


 




070


1,06


 


 


 


 


 


 


 


 


 




080


1,07


 


 


 


 


 


 


 


 


 




090


1,08


 


 


 


 


 


 


 


 


 




100


1,09


 


 


 


 


 


 


 


 


 




110


1,10


 


 


 


 


 


 


 


 


 




120









2.



ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY






 


 


 


 


 


 


 


 


 








‘ANNEX XXI

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


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

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






Column


Legal references and instructions




010



Issuer/Counterparty Name

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




020



LEI code

The legal entity identifier code of the counterparty.




030



Issuer/Counterparty Sector

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




040



Residence of Issuer/Counterparty

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




050



Product Type

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






 



SrB (Senior Bond)










 



SubB (Subordinated Bond)










 



CP (Commercial Paper)










 



CB (Covered Bonds)










 



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










 



ABS (Asset Backed Security)










 



CrCl (Credit Claim)










 



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










 



Gold











 



LiqL (Undrawn committed liquidity line granted to the institution)










 



OPT (Other product type)








060



Currency

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




070



Credit quality step

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




080



MtM value/nominal

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




090



Collateral value CB-eligible

The collateral value according to the central bank rules for standing facilities for the specific assets if they are used as collateral against credit received from the central bank.
For assets denominated in a currency included in the ITS issued under Article 416(5) Regulation (EC) No 575/2013 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.





’