Corrigendum to Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ 97, 19.3.2021)
Date: 2021-04-21
Institutions: European Commission
Subjects: banking policy, credit institution, disclosure of information, financial control, financial legislation, investment company, market supervision, technical standard, trade information








L_2021136EN.01032801.xml










21.4.2021   


EN


Official Journal of the European Union


L 136/328







Corrigendum to Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014
(
Official Journal of the European Union 97 of 19 March 2021
)

On page 1468, Annex XII is replaced as follows:




                           ‘ANNEX XII

REPORTING ON NET STABLE FUNDING RATIO









LIQUIDITY TEMPLATES






Template number




Template code




Name of the template/group of templates






NSFR





80


C 80.00


REQUIRED STABLE FUNDING




81


C 81.00


AVAILABLE STABLE FUNDING





SIMPLIFIED NSFR





82


C 82.00


SIMPLIFIED REQUIRED STABLE FUNDING




83


C 83.00


SIMPLIFIED AVAILABLE STABLE FUNDING





SUMMARY NSFR





84


C 84.00


SUMMARY NSFR








C 80.00 — NSFR — REQUIRED STABLE FUNDING


Currency





















 



Amount




Standard RSF factor




Applicable RSF factor




Required stable funding






Non-HQLA by maturity




HQLA




Non-HQLA by maturity




HQLA




Non-HQLA by maturity




HQLA






< 6 months




≥ 6 months to < 1 year




≥ 1 year




< 6 months




≥ 6 months to < 1 year




≥ 1 year




< 6 months




≥ 6 months to < 1 year




≥ 1 year






Row




ID




Item



0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130




0010


1



REQUIRED STABLE FUNDING



 


 


 


 


 


 


 


 


 


 


 


 


 




0020


1.1



RSF from central bank assets



 


 


 


 


 


 


 


 


 


 


 


 


 




0030


1.1.1


cash, reserves and HQLA exposures to central banks


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


1.1.1.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


0 %


0 %


0 %


0 %


 


 


 


 


 




0050


1.1.1.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


50 %


50 %


50 %


50 %


 


 


 


 


 




0060


1.1.1.3


encumbered for a residual maturity of one year or more


 


 


 


 


100 %


100 %


100 %


100 %


 


 


 


 


 




0070


1.1.2


other non-HQLA central bank exposures


 


 


 


 


0 %


50 %


100 %


 


 


 


 


 


 




0080


1.2



RSF from liquid assets



 


 


 


 


 


 


 


 


 


 


 


 


 




0090


1.2.1


level 1 assets eligible for 0 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


1.2.1.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


0 %


 


 


 


 


 




0110


1.2.1.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0120


1.2.1.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0130


1.2.2


level 1 assets eligible for 5 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0140


1.2.2.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


5 %


 


 


 


 


 




0150


1.2.2.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0160


1.2.2.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0170


1.2.3


level 1 eligible for 7 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0180


1.2.3.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


7 %


 


 


 


 


 




0190


1.2.3.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0200


1.2.3.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0210


1.2.4


level 1 assets eligible for 12 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0220


1.2.4.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


12 %


 


 


 


 


 




0230


1.2.4.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0240


1.2.4.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0250


1.2.5


level 2A assets eligible for 15 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0260


1.2.5.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


15 %


 


 


 


 


 




0270


1.2.5.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0280


1.2.5.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0290


1.2.6


level 2A assets eligible for 20 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0300


1.2.6.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


20 %


 


 


 


 


 




0310


1.2.6.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0320


1.2.6.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0330


1.2.7


level 2B securitizations eligible for 25 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0340


1.2.7.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


25 %


 


 


 


 


 




0350


1.2.7.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0360


1.2.7.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0370


1.2.8


level 2B assets eligible for 30 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0380


1.2.8.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


30 %


 


 


 


 


 




0390


1.2.8.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0400


1.2.8.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0410


1.2.9


level 2B assets eligible for 35 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0420


1.2.9.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


35 %


 


 


 


 


 




0430


1.2.9.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0440


1.2.9.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0450


1.2.10


level 2B assets eligible for 40 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0460


1.2.10.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


 


 


40 %


 


 


 


 


 




0470


1.2.10.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0480


1.2.10.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0490


1.2.11


level 2B assets eligible for 50 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0500


1.2.11.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


 


 


 


 


50 %


 


 


 


 


 




0510


1.2.11.2


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0520


1.2.12


level 2B assets eligible for 55 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0530


1.2.12.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


 


 


 


 


55 %


 


 


 


 


 




0540


1.2.12.2


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


 


100 %


 


 


 


 


 




0550


1.2.13


HQLAs encumbered for a residual maturity of one year or morein cover pool


 


 


 


 


 


 


 


85 %


 


 


 


 


 




0560


1.3



RSF from securities other than liquid assets



 


 


 


 


 


 


 


 


 


 


 


 


 




0570


1.3.1


non- HQLA securities and exchange traded equities


 


 


 


 


 


 


 


 


 


 


 


 


 




0580


1.3.1.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


 


50 %


50 %


85 %


 


 


 


 


 


 




0590


1.3.1.2


encumbered for a residual maturity of one year or more


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




0600


1.3.2


non-HQLA non-exchange traded equities


 


 


 


 


 


 


100 %


 


 


 


 


 


 




0610


1.3.3


non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool


 


 


 


 


85 %


85 %


85 %


 


 


 


 


 


 




0620


1.4



RSF from loans



 


 


 


 


 


 


 


 


 


 


 


 


 




0630


1.4.1


operational deposits


 


 


 


 


50 %


50 %


100 %


 


 


 


 


 


 




0640


1.4.2


securities financing transactions with financial customers


 


 


 


 


 


 


 


 


 


 


 


 


 




0650


1.4.2.1


collateralized by level 1 assets eligible for 0 % LCR haircut


 


 


 


 


 


 


 


 


 


 


 


 


 




0660


1.4.2.1.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


0 %


50 %


100 %


 


 


 


 


 


 




0670


1.4.2.1.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


50 %


50 %


100 %


 


 


 


 


 


 




0680


1.4.2.1.3


encumbered for a residual maturity of one year or more


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




0690


1.4.2.2


collateralized by other assets


 


 


 


 


 


 


 


 


 


 


 


 


 




0700


1.4.2.2.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


5 %


50 %


100 %


 


 


 


 


 


 




0710


1.4.2.2.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


50 %


50 %


100 %


 


 


 


 


 


 




0720


1.4.2.2.3


encumbered for a residual maturity of one year or more


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




0730


1.4.3


other loans and advances to financial customers


 


 


 


 


10 %


50 %


100 %


 


 


 


 


 


 




0740


1.4.4


assets encumbered for a residual maturity of one year or morein cover pool


 


 


 


 


85 %


85 %


85 %


 


 


 


 


 


 




0750


1.4.5


loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less


 


 


 


 


 


 


 


 


 


 


 


 


 




0760


1.4.5.0.1


of which, residential mortgages


 


 


 


 


 


 


 


 


 


 


 


 


 




0770


1.4.5.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


50 %


50 %


65 %


 


 


 


 


 


 




0780


1.4.5.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


50 %


50 %


65 %


 


 


 


 


 


 




0790


1.4.5.3


encumbered for a residual maturity of one year or more


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




0800


1.4.6


other loans to non-financial customers other than central banks


 


 


 


 


 


 


 


 


 


 


 


 


 




0810


1.4.6.0.1


of which, residential mortgages


 


 


 


 


 


 


 


 


 


 


 


 


 




0820


1.4.6.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


 


50 %


50 %


85 %


 


 


 


 


 


 




0830


1.4.6.2


encumbered for a residual maturity of one year or more


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




0840


1.4.7


trade finance on-balance sheet products


 


 


 


 


10 %


50 %


85 %


 


 


 


 


 


 




0850


1.5



RSF from interdependent assets



 


 


 


 


 


 


 


 


 


 


 


 


 




0860


1.5.1


centralised regulated savings


 


 


 


 


0 %


0 %


0 %


 


 


 


 


 


 




0870


1.5.2


promotional loans and credit and liquidity facilities


 


 


 


 


0 %


0 %


0 %


 


 


 


 


 


 




0880


1.5.3


eligible covered bonds


 


 


 


 


0 %


0 %


0 %


 


 


 


 


 


 




0890


1.5.4


derivatives client clearing activities


 


 


 


 


0 %


0 %


0 %


 


 


 


 


 


 




0900


1.5.5


others


 


 


 


 


0 %


0 %


0 %


 


 


 


 


 


 




0910


1.6



RSF from assets within a group or an IPS if subject to preferential treatment



 


 


 


 


 


 


 


 


 


 


 


 


 




0920


1.7



RSF from derivatives



 


 


 


 


 


 


 


 


 


 


 


 


 




0930


1.7.1


required stable funding for derivative liabilities


 


 


 


 


5 %


 


 


 


 


 


 


 


 




0940


1.7.2


NSFR derivative assets


 


 


 


 


100 %


 


 


 


 


 


 


 


 




0950


1.7.3


initial margin posted


 


 


 


 


85 %


85 %


85 %


85 %


 


 


 


 


 




0960


1.8



RSF from contributions to CCP default fund



 


 


 


 


85 %


85 %


85 %


85 %


 


 


 


 


 




0970


1.9



RSF from other assets



 


 


 


 


 


 


 


 


 


 


 


 


 




0980


1.9.1


physically traded commodities


 


 


 


 


 


 


 


 


 


 


 


 


 




0990


1.9.1.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


 


 


 


85 %


 


 


 


 


 


 




1000


1.9.1.2


encumbered for a residual maturity of one year or more


 


 


 


 


 


 


100 %


 


 


 


 


 


 




1010


1.9.2


trade date receivables


 


 


 


 


0 %


 


 


 


 


 


 


 


 




1020


1.9.3


non-performing assets


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




1030


1.9.4


other assets


 


 


 


 


50 %


50 %


100 %


 


 


 


 


 


 




1040


1.10



RSF from OBS items



 


 


 


 


 


 


 


 


 


 


 


 


 




1050


1.10.1


committed facilities within a group or an IPS if subject to preferential treatment


 


 


 


 


 


 


 


 


 


 


 


 


 




1060


1.10.2


committed facilities


 


 


 


 


5 %


5 %


5 %


 


 


 


 


 


 




1070


1.10.3


trade finance off-balance sheet items


 


 


 


 


5 %


7.5 %


10 %


 


 


 


 


 


 




1080


1.10.4


non-performing off-balance sheet items


 


 


 


 


100 %


100 %


100 %


 


 


 


 


 


 




1090


1.10.5


other off-balance sheet exposures for which the competent authority has determined RSF factors


 


 


 


 


 


 


 


 


 


 


 


 


 








C 81.00 — NSFR — AVAILABLE STABLE FUNDING


Currency



















Row




ID




Item




Amount




Standard ASF factor




Applicable ASF factor




Available stable funding






< 6 months




≥ 6 months to < 1 year




≥ 1 year




< 6 months




≥ 6 months to < 1 year




≥ 1 year




< 6 months




≥ 6 months to < 1 year




≥ 1 year




Total





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100




0010


2



AVAILABLE STABLE FUNDING



 


 


 


 


 


 


 


 


 


 




0020


2.1



ASF from capital items and instruments



 


 


 


 


 


 


 


 


 


 




0030


2.1.1


Common Equity Tier 1


 


 


 


 


 


100 %


 


 


 


 




0040


2.1.2


Additional Tier 1


 


 


 


0 %


0 %


100 %


 


 


 


 




0050


2.1.3


Tier 2


 


 


 


0 %


0 %


100 %


 


 


 


 




0060


2.1.4


Other capital instruments


 


 


 


0 %


0 %


100 %


 


 


 


 




0070


2.2



ASF from retail deposits



 


 


 


 


 


 


 


 


 


 




0080


2.2.0.1


of which, retail bonds


 


 


 


 


 


 


 


 


 


 




0090


2.2.1


Stable retail deposits


 


 


 


95 %


95 %


100 %


 


 


 


 




0100


2.2.0.2


of which with a material early withdrawable penalty


 


 


 


 


 


100 %


 


 


 


 




0110


2.2.2


Other retail deposits


 


 


 


90 %


90 %


100 %


 


 


 


 




0120


2.2.0.3


of which with a material early withdrawable penalty


 


 


 


 


 


100 %


 


 


 


 




0130


2.3



ASF from other non-financial customers (except central banks)



 


 


 


 


 


 


 


 


 


 




0140


2.3.0.1


of which, securities financing transactions


 


 


 


 


 


 


 


 


 


 




0150


2.3.0.2


of which, operational deposits


 


 


 


 


 


 


 


 


 


 




0160


2.3.1


Liabilities provided by the central government of a Member State or a third country


 


 


 


50 %


50 %


100 %


 


 


 


 




0170


2.3.2


Liabilities provided by regional governments or local authorities of a Member State or a third country


 


 


 


50 %


50 %


100 %


 


 


 


 




0180


2.3.3


Liabilities provided by public sector entities of a Member State or a third country


 


 


 


50 %


50 %


100 %


 


 


 


 




0190


2.3.4


Liabilities provided by multilateral development banks and international organisations


 


 


 


50 %


50 %


100 %


 


 


 


 




0200


2.3.5


Liabilities provided by non-financial corporate customers


 


 


 


50 %


50 %


100 %


 


 


 


 




0210


2.3.6


Liabilities provided by credit unions, personal investment companies and deposit brokers


 


 


 


50 %


50 %


100 %


 


 


 


 




0220


2.4



ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment



 


 


 


 


 


 


 


 


 


 




0230


2.5



ASF from financial customers and central banks



 


 


 


 


 


 


 


 


 


 




0240


2.5.0.1


of which, sight deposits provided by network member to central institution


 


 


 


 


 


 


 


 


 


 




0250


2.5.1


Liabilities provided by the ECB or the central bank of a Member State


 


 


 


0 %


50 %


100 %


 


 


 


 




0260


2.5.2


Liabilities provided by the central bank of a third country


 


 


 


0 %


50 %


100 %


 


 


 


 




0270


2.5.3


Liabilities provided by financial customers


 


 


 


 


 


 


 


 


 


 




0280


2.5.3.1


Operational deposits


 


 


 


50 %


50 %


100 %


 


 


 


 




0290


2.5.3.2


Excess operational deposits


 


 


 


0 %


50 %


100 %


 


 


 


 




0300


2.5.3.3


Other liabilities


 


 


 


0 %


50 %


100 %


 


 


 


 




0310


2.6



ASF from liabilities provided where the counterparty cannot be determined



 


 


 


0 %


50 %


100 %


 


 


 


 




0320


2.7



ASF from net derivatives liabilities



 


 


 


0 %


0 %


0 %


 


 


 


 




0330


2.8



ASF from interdependent liabilities



 


 


 


 


 


 


 


 


 


 




0340


2.8.1


Centralised regulated savings


 


 


 


0 %


0 %


0 %


 


 


 


 




0350


2.8.2


Promotional loans and relevant credit and liquidity facilities


 


 


 


0 %


0 %


0 %


 


 


 


 




0360


2.8.3


Eligible covered bonds


 


 


 


0 %


0 %


0 %


 


 


 


 




0370


2.8.4


Derivatives client clearing activities


 


 


 


0 %


0 %


0 %


 


 


 


 




0380


2.8.5


Others


 


 


 


0 %


0 %


0 %


 


 


 


 




0390


2.9



ASF from other liabilities



 


 


 


 


 


 


 


 


 


 




0400


2.9.1


Trade date payables


 


 


 


0 %


0 %


0 %


 


 


 


 




0410


2.9.2


Deferred tax liabilities


 


 


 


0 %


50 %


100 %


 


 


 


 




0420


2.9.3


Minority interests


 


 


 


0 %


50 %


100 %


 


 


 


 




0430


2.9.4


Other liabilities


 


 


 


0 %


50 %


100 %


 


 


 


 








C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING


Currency


















 



Amount




Standard RSF factor




Applicable RSF factor




Required stable funding






Non-HQLA by maturity




HQLA




Non-HQLA by maturity




HQLA




Non-HQLA by maturity




HQLA






< 1 year




≥ 1 year




< 1 year




≥ 1 year




< 1 year




≥ 1 year






Row




ID




Item



0010


0020


0030


0040


0050


0060


0070


0080


0090


0100




0010


1



REQUIRED STABLE FUNDING



 


 


 


 


 


 


 


 


 


 




0020


1.1



RSF from central bank assets



 


 


 


 


 


 


 


 


 


 




0030


1.1.1


cash, reserves and HQLA exposures to central banks


 


 


 


0 %


0 %


0 %


 


 


 


 




0040


1.1.2


other non-HQLA central bank exposures


 


 


 


0 %


100 %


 


 


 


 


 




0050


1.2



RSF from liquid assets



 


 


 


 


 


 


 


 


 


 




0060


1.2.1


level 1 assets eligible for 0 % LCR haircut


 


 


 


 


 


 


 


 


 


 




0070


1.2.1.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


0 %


 


 


 


 




0080


1.2.1.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


50 %


 


 


 


 




0090


1.2.1.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


100 %


 


 


 


 




0100


1.2.2


level 1 assets eligible for 7 % LCR haircut


 


 


 


 


 


 


 


 


 


 




0110


1.2.2.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


10 %


 


 


 


 




0120


1.2.2.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


50 %


 


 


 


 




0130


1.2.2.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


100 %


 


 


 


 




0140


1.2.3


level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts


 


 


 


 


 


 


 


 


 


 




0150


1.2.3.1


unencumbered or encumbered for a residual maturity of less than six months


 


 


 


 


 


20 %


 


 


 


 




0160


1.2.3.2


encumbered for a residual maturity of at least six months but less than one year


 


 


 


 


 


50 %


 


 


 


 




0170


1.2.3.3


encumbered for a residual maturity of one year or more


 


 


 


 


 


100 %


 


 


 


 




0180


1.2.4


Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts


 


 


 


 


 


 


 


 


 


 




0190


1.2.4.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


 


 


55 %


 


 


 


 




0200


1.2.4.2


encumbered for a residual maturity of one year or more


 


 


 


 


 


100 %


 


 


 


 




0210


1.3



RSF from securities other than liquid assets



 


 


 


 


 


 


 


 


 


 




0220


1.3.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


50 %


85 %


 


 


 


 


 




0230


1.3.2


encumbered for a residual maturity of one year or more


 


 


 


100 %


100 %


 


 


 


 


 




0240


1.4



RSF from loans



 


 


 


 


 


 


 


 


 


 




0250


1.4.1


loans to non-financials


 


 


 


 


 


 


 


 


 


 




0260


1.4.1.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


50 %


85 %


 


 


 


 


 




0270


1.4.1.2


encumbered for a residual maturity of one year or more


 


 


 


100 %


100 %


 


 


 


 


 




0280


1.4.2


loans to financials


 


 


 


 


 


 


 


 


 


 




0290


1.4.2.1


unencumbered or encumbered for a residual maturity of less than one year


 


 


 


50 %


100 %


 


 


 


 


 




0300


1.4.2.2


encumbered for a residual maturity of one year or more


 


 


 


100 %


100 %


 


 


 


 


 




0310


1.4.3


trade finance on-balance sheet products


 


 


 


50 %


85 %


 


 


 


 


 




0320


1.5



RSF from interdependent assets



 


 


 


0 %


0 %


 


 


 


 


 




0330


1.6



RSF from assets within a group or an IPS if subject to preferential treatment



 


 


 


 


 


 


 


 


 


 




0340


1.7



RSF from derivatives



 


 


 


 


 


 


 


 


 


 




0350


1.7.1


required stable funding for derivative liabilities


 


 


 


5 %


 


 


 


 


 


 




0360


1.7.2


NSFR derivative assets


 


 


 


100 %


 


 


 


 


 


 




0370


1.7.3


Initial margin posted


 


 


 


85 %


85 %


85 %


 


 


 


 




0380


1.8



RSF from contributions to CCP default fund



 


 


 


 


 


 


 


 


 


 




0390


1.9



RSF from other assets



 


 


 


100 %


100 %


 


 


 


 


 




0400


1.10



RSF from OBS items



 


 


 


 


 


 


 


 


 


 




0410


1.10.1


committed facilities within a group or an IPS if subject to preferential treatment


 


 


 


 


 


 


 


 


 


 




0420


1.10.2


commited facilities


 


 


 


5 %


5 %


 


 


 


 


 




0430


1.10.3


trade finance off-balance sheet items


 


 


 


10 %


10 %


 


 


 


 


 




0440


1.10.4


non-performing off-balance sheet items


 


 


 


100 %


100 %


 


 


 


 


 




0450


1.10.5


other off-balance sheet exposures determined by competent authorities


 


 


 


 


 


 


 


 


 


 








C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING


Currency
















Row




ID




Item




Amount




Standard ASF factor




Applicable ASF factor




Available stable funding






< 1 year




≥ 1 year




< 1 year




≥ 1 year




< 1 year




≥ 1 year





0010


0020


0030


0040


0050


0060


0070




0010


2



AVAILABLE STABLE FUNDING



 


 


 


 


 


 


 




0020


2.1



ASF from capital items and instruments



 


 


0 %


100 %


 


 


 




0030


2.2



ASF from retail deposits



 


 


 


 


 


 


 




0040


2.2.1


Stable retail deposits


 


 


95 %


100 %


 


 


 




0050


2.2.2


Other retail deposits


 


 


90 %


100 %


 


 


 




0060


2.3



ASF from other non-financial customers (except central banks)



 


 


50 %


100 %


 


 


 




0070


2.4



ASF from operational deposits



 


 


50 %


100 %


 


 


 




0080


2.5



ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment



 


 


 


 


 


 


 




0090


2.6



ASF from financial customers and central banks



 


 


0 %


100 %


 


 


 




0100


2.7



ASF from liabilities provided where the counterparty cannot be determined



 


 


0 %


100 %


 


 


 




0110


2.8



ASF from interdependent liabilities



 


 


0 %


 


 


 


 




0120


2.9



ASF from other liabilities



 


 


0 %


100 %


 


 


 








C 84.00 — NSFR Summary


Currency













Row




ID




Item




Amount




Required stable funding




Available stable funding




Ratio





0010


0020


0030


0040




0010


1



REQUIRED STABLE FUNDING



 


 


 


 




0020


1.1



RSF from central bank assets



 


 


 


 




0030


1.2



RSF from liquid assets



 


 


 


 




0040


1.3



RSF from securities other than liquid assets



 


 


 


 




0050


1.4



RSF from loans



 


 


 


 




0060


1.5



RSF from interdependent assets



 


 


 


 




0070


1.6



RSF from assets within a group or an IPS if subject to preferential treatment



 


 


 


 




0080


1.7



RSF from derivatives



 


 


 


 




0090


1.8



RSF from contributions to CCP default fund



 


 


 


 




0100


1.9



RSF from other assets



 


 


 


 




0110


1.10



RSF from OBS items



 


 


 


 




0120


2



AVAILABLE STABLE FUNDING



 


 


 


 




0130


2.1



ASF from capital items and instruments



 


 


 


 




0140


2.2



ASF from retail deposits



 


 


 


 




0150


2.3



ASF from other non-financial customers (except central banks)



 


 


 


 




0160


2.4



ASF from operational deposits



 


 


 


 




0170


2.5



ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment



 


 


 


 




0180


2.6



ASF from financial customers and central banks



 


 


 


 




0190


2.7



ASF from liabilities provided where the counterparty cannot be determined



 


 


 


 




0200


2.8



ASF from interdependent liabilities



 


 


 


 




0210


2.9



ASF from other liabilities



 


 


 


 




0220


3



NSFR’