Annex I
United Kingdom
ANNEX XXII
REPORTING ON LIQUIDITY
LIQUIDITY TEMPLATES Template number Template code Name of the template/group of templates LIQUIDITY COVERAGE TEMPLATES PART I — LIQUID ASSETS 72 C 72.00 LIQUIDITY COVERAGE — LIQUID ASSETS PART II — OUTFLOWS 73 C 73.00 LIQUIDITY COVERAGE — OUTFLOWS PART III — INFLOWS 74 C 74.00 LIQUIDITY COVERAGE — INFLOWS PART IV — COLLATERAL SWAPS 75 C 75.00 LIQUIDITY COVERAGE — COLLATERAL SWAPS PART V — CALCULATIONS 76 C 76.00 LIQUIDITY COVERAGE — CALCULATIONS C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
Currency
Row ID Item Amount/Market value Standard weight Applicable weight Value according to Article 9 010 020 030 040 010 1 TOTAL UNADJUSTED LIQUID ASSETS 020 1.1 Total unadjusted level 1 assets 030 1.1.1 Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds 040 1.1.1.1 Coins and banknotes 1,00 050 1.1.1.2 Withdrawable central bank reserves 1,00 060 1.1.1.3 Central bank assets 1,00 070 1.1.1.4 Central government assets 1,00 080 1.1.1.5 Regional government/local authorities assets 1,00 090 1.1.1.6 Public Sector Entity assets 1,00 100 1.1.1.7 Recognisable domestic and foreign currency central government and central bank assets 1,00 110 1.1.1.8 Credit institution (protected by Member State government, promotional lender) assets 1,00 120 1.1.1.9 Multilateral development bank and international organisations assets 1,00 130 1.1.1.10 Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure 1,00 140 1.1.1.11 Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds 0,95 150 1.1.1.12 Alternative Liquidity Approaches: Central bank credit facility 1,00 160 1.1.1.13 Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution 170 1.1.1.14 Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1 0,80 180 1.1.2 Total unadjusted LEVEL 1 extremely high quality covered bonds 190 1.1.2.1 Extremely high quality covered bonds 0,93 200 1.1.2.2 Qualifying CIU shares/units: underlying is extremely high quality covered bonds 0,88 210 1.1.2.3 Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution 220 1.2 Total unadjusted level 2 assets 230 1.2.1 Total unadjusted LEVEL 2A assets 240 1.2.1.1 Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %) 0,85 250 1.2.1.2 Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %) 0,85 260 1.2.1.3 High quality covered bonds (CQS2) 0,85 270 1.2.1.4 High quality covered bonds (Third Country, CQS1) 0,85 280 1.2.1.5 Corporate debt securities (CQS1) 0,85 290 1.2.1.6 Qualifying CIU shares/units: underlying is Level 2A assets 0,80 300 1.2.1.7 Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution 310 1.2.2 Total unadjusted LEVEL 2B assets 320 1.2.2.1 Asset-backed securities (residential, CQS1) 0,75 330 1.2.2.2 Asset-backed securities (auto, CQS1) 0,75 340 1.2.2.3 High quality covered bonds (RW35 %) 0,70 350 1.2.2.4 Asset-backed securities (commercial or individuals, Member State, CQS1) 0,65 360 1.2.2.5 Corporate debt securities (CQS2/3) 0,50 370 1.2.2.6 Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) 0,50 380 1.2.2.7 Shares (major stock index) 0,50 390 1.2.2.8 Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) 0,50 400 1.2.2.9 Restricted-use central bank committed liquidity facilities 1,00 410 1.2.2.10 Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) 0,70 420 1.2.2.11 Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) 0,65 430 1.2.2.12 Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) 0,60 440 1.2.2.13 Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) 0,45 450 1.2.2.14 Deposits by network member with central institution (no obligated investment) 0,75 460 1.2.2.15 Liquidity funding available to network member from central institution (non-specified collateralisation) 0,75 470 1.2.2.16 Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution MEMORANDUM ITEMS 480 2 Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons 490 3 Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB) 500 4 Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets) 510 5 Deposits by network member with central institution (obligated investment in Level 2A assets) 520 6 Deposits by network member with central institution (obligated investment in Level 2B assets) 530 7 Adjustments made to assets due to net liquidity outflows from early close-out of hedges 540 8 Adjustments made to assets due to net liquidity inflows from early close-out of hedges 550 9 Member State-sponsored guaranteed bank assets subject to grandfathering 560 10 Member State-sponsored impaired asset management agencies subject to transitional provision 570 11 Securitisations backed by residential loans subject to transitional provision 580 12 Level 1/2A/2B assets excluded due to currency reasons 590 13 Level 1/2A/2B assets excluded for operational reasons except for currency reasons 600 14 Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) 610 15 Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS
Currency
Amount Market value of collateral extended Value of collateral extended according to Article 9 Standard Weight Applicable Weight Outflow Row ID Item 010 020 030 040 050 060 010 1 OUTFLOWS 020 1.1 Outflows from unsecured transactions/deposits 030 1.1.1 Retail deposits 040 1.1.1.1 deposits where the payout has been agreed within the following 30 days 1,00 050 1.1.1.2 deposits subject to higher outflows 060 1.1.1.2.1 category 1 0,10-0,15 070 1.1.1.2.2 category 2 0,15-0,20 080 1.1.1.3 stable deposits 0,05 090 1.1.1.4 derogated stable deposits 0,03 100 1.1.1.5 deposits in third countries where a higher outflow is applied 110 1.1.1.6 other retail deposits 0,10 120 1.1.2 Operational deposits 130 1.1.2.1 maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship 140 1.1.2.1.1 covered by DGS 0,05 150 1.1.2.1.2 not covered by DGS 0,25 160 1.1.2.2 maintained in the context of IPS or a cooperative network 170 1.1.2.2.1 not treated as liquid assets for the depositing institution 0,25 180 1.1.2.2.2 treated as liquid assets for the depositing credit institution 1,00 190 1.1.2.3 maintained in the context of an established operational relationship (other) with non-financial customers 0,25 200 1.1.2.4 maintained to obtain cash clearing and central credit institution services within a network 0,25 210 1.1.3 Non-operational deposits 220 1.1.3.1 correspondent banking and provisions of prime brokerage deposits 1,00 230 1.1.3.2 deposits by-financial customers 1,00 240 1.1.3.3 deposits by other customers 250 1.1.3.3.1 covered by DGS 0,20 260 1.1.3.3.2 not covered by DGS 0,40 270 1.1.4 Additional outflows 280 1.1.4.1 collateral other than Level 1 assets collateral posted for derivatives 0,20 290 1.1.4.2 Level 1 EHQ Covered Bonds assets collateral posted for derivatives 0,10 300 1.1.4.3 material outflows due to deterioration of own credit quality 1,00 310 1.1.4.4 impact of an adverse market scenario on derivatives, financing transactions and other contracts 320 1.1.4.4.1 hlba approach 1,00 330 1.1.4.4.2 amao approach 1,00 340 1.1.4.5 outflows from derivatives 1,00 350 1.1.4.6 short positions 360 1.1.4.6.1 covered by collateralized SFT 0,00 370 1.1.4.6.2 other 1,00 380 1.1.4.7 callable excess collateral 1,00 390 1.1.4.8 due collateral 1,00 400 1.1.4.9 liquid asset collateral exchangable for non-liquid asset collateral 1,00 410 1.1.4.10 loss of funding on structured financing activites 420 1.1.4.10.1 structured financing instruments 1,00 430 1.1.4.10.2 financing facilites 1,00 440 1.1.4.11 assets borrowed on an unsecured basis 1,00 450 1.1.4.12 internal netting of client's positions 0,50 460 1.1.5 Committed facilities 470 1.1.5.1 credit facilities 480 1.1.5.1.1 to retail customers 0,05 490 1.1.5.1.2 to non-financial customers other than retail customers 0,10 500 1.1.5.1.3 to credit institutions 510 1.1.5.1.3.1 for funding promotional loans of retail customers 0,05 520 1.1.5.1.3.2 for funding promotional loans of non-financial customers 0,10 530 1.1.5.1.3.3 other 0,40 540 1.1.5.1.4 to regulated financial institutions other than credit institutions 0,40 550 1.1.5.1.5 within a group or an IPS if subject to preferential treatment 560 1.1.5.1.6 within IPS or cooperative network if treated as liquid asset by the depositing institution 0,75 570 1.1.5.1.7 to other financial customers 1,00 580 1.1.5.2 liquidity facilities 590 1.1.5.2.1 to retail customers 0,05 600 1.1.5.2.2 to non-financial customers other than retail customers 0,30 610 1.1.5.2.3 to personal investment companies 0,40 620 1.1.5.2.4 to SSPEs 630 1.1.5.2.4.1 to purchase assets other than securities from non-financial customers 0,10 640 1.1.5.2.4.2 other 1,00 650 1.1.5.2.5 to credit institutions 660 1.1.5.2.5.1 for funding promotional loans of retail customers 0,05 670 1.1.5.2.5.2 for funding promotional loans of non-financial customers 0,30 680 1.1.5.2.5.3 other 0,40 690 1.1.5.2.6 within a group or an IPS if subject to preferential treatment 700 1.1.5.2.7 within IPS or cooperative network if treated as liquid asset by the depositing institution 0,75 710 1.1.5.2.8 to other financial customers 1,00 720 1.1.6 Other products and services 730 1.1.6.1 other off-balance sheet and contingent funding obligations 740 1.1.6.2 undrawn loans and advances to wholesale counterparties 750 1.1.6.3 mortgages that have been agreed but not yet drawn down 760 1.1.6.4 credit cards 770 1.1.6.5 overdrafts 780 1.1.6.6 planned outflows related to renewal or extension of new retail or wholesale loans 790 1.1.6.6.1 the excess of funding to non-financial customers 800 1.1.6.6.1.1 the excess of funding to retail customers 810 1.1.6.6.1.2 the excess of funding to non financial corporates 820 1.1.6.6.1.3 the excess of funding to sovereigns, MLDBs and PSEs 830 1.1.6.6.1.4 the excess of funding to other legal entities 840 1.1.6.6.2 other 850 1.1.6.7 planned derivatives payables 860 1.1.6.8 trade finance off-balance sheet related products 870 1.1.6.9 others 880 1.1.7 Other liabilities 890 1.1.7.1 liabilities resulting from-operating expenses 0,00 900 1.1.7.2 in the form of debt securities if not treated as retail deposits 1,00 910 1.1.7.3 others 1,00 920 1.2 Outflows from secured lending and capital market-driven transactions 930 1.2.1 Counterparty is central bank 940 1.2.1.1 level 1 excl. EHQ Covered Bonds collateral 0,00 950 1.2.1.2 level 1 EHQ Covered Bonds collateral 0,00 960 1.2.1.3 level 2A collateral 0,00 970 1.2.1.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral 0,00 980 1.2.1.5 level 2B covered bonds 0,00 990 1.2.1.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral 0,00 1000 1.2.1.7 other Level 2B assets collateral 0,00 1010 1.2.1.8 non-liquid assets collateral 0,00 1020 1.2.2 Counterparty is non-central bank 1030 1.2.2.1 level 1 excl. EHQ Covered Bonds collateral 0,00 1040 1.2.2.2 level 1 EHQ Covered Bonds collateral 0,07 1050 1.2.2.3 level 2A collateral 0,15 1060 1.2.2.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral 0,25 1070 1.2.2.5 level 2B covered bonds 0,30 1080 1.2.2.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral 0,35 1090 1.2.2.7 other Level 2B assets collateral 0,50 1100 1.2.2.8 non-liquid assets collateral 1110 1.2.2.8.1 counterparty is central govt, PSE<=RW20 %, MDB 0,25 1120 1.2.2.8.2 other counterparty 1,00 1130 1.3 Total outflows from collateral swaps MEMORANDUM ITEMS 1140 2 Retail bonds with a residual maturity of less than 30 days 1150 3 Retail deposits exempted from the calculation of outflows 1160 4 Not assessed retail deposits 1170 5 Liquidity outflows to be netted by interdependent inflows 6 Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship 1180 6.1 provided by credit institutions 1190 6.2 provided by financial customers other than credit institutions 1200 6.3 provided by sovereigns, central banks, MDBs and PSEs 1210 6.4 provided by other customers 7 Non-operational deposits maintained by financial customers and other customers 1220 7.1 provided by credit institutions 1230 7.2 provided by financial customers other than credit institutions 1240 7.3 provided by sovereigns, central banks, MDBs and PSEs 1250 7.4 provided by other customers 1260 8 Funding commitments to non-financial customers 1270 9 Level 1 excl. EHQ covered bonds collateral posted for derivatives 1280 10 SFTS monitoring 11 Intra group or IPS outflows 1290 11.1 of which: to financial customers 1300 11.2 of which: to non-financial customers 1310 11.3 of which: secured 1320 11.4 of which: credit facilities without preferential treatment 1330 11.5 of which: liquidity facilites without preferential treatment 1340 11.6 of which: operational deposits 1350 11.7 of which: non-operational deposits 1360 11.8 of which: liabilities in the form of debt securities if not treated as retail deposits 1370 12 FX outflows 1380 13 Third countries outflows — transfer restrictions or non-convertible currencies 1390 14 Additional balances required to be installed in central bank reserves C 74.00 — LIQUIDITY COVERAGE — INFLOWS
Currency
Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 010 1 TOTAL INFLOWS 020 1.1 Inflows from unsecured transactions/deposits 030 1.1.1 monies due from non-financial customers (except for central banks) 040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment 050 1.1.1.2 other monies due from non-financial customers (except for central banks) 060 1.1.1.2.1 monies due from retail customers 070 1.1.1.2.2 monies due from non-financial corporates 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 090 1.1.1.2.4 monies due from other legal entities
Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 010 1 TOTAL INFLOWS 020 1.1 Inflows from unsecured transactions/deposits 030 1.1.1 monies due from non-financial customers (except for central banks) 040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment 1,00 050 1.1.1.2 other monies due from non-financial customers (except for central banks) 060 1.1.1.2.1 monies due from retail customers 0,50 070 1.1.1.2.2 monies due from non-financial corporates 0,50 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 0,50 090 1.1.1.2.4 monies due from other legal entities 0,50
Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 010 1 TOTAL INFLOWS 020 1.1 Inflows from unsecured transactions/deposits 030 1.1.1 monies due from non-financial customers (except for central banks) 040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment 050 1.1.1.2 other monies due from non-financial customers (except for central banks) 060 1.1.1.2.1 monies due from retail customers 070 1.1.1.2.2 monies due from non-financial corporates 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 090 1.1.1.2.4 monies due from other legal entities
Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 100 1.1.2 monies due from central banks and financial customers 110 1.1.2.1 monies due from financial customers being classified as operational deposits 120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate 140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits 150 1.1.2.2.1 monies due from central banks 160 1.1.2.2.2 monies due from financial customers 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61
Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 100 1.1.2 monies due from central banks and financial customers 110 1.1.2.1 monies due from financial customers being classified as operational deposits 120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate 0,05 140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits 150 1.1.2.2.1 monies due from central banks 1,00 160 1.1.2.2.2 monies due from financial customers 1,00 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 1,00
Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 100 1.1.2 monies due from central banks and financial customers 110 1.1.2.1 monies due from financial customers being classified as operational deposits 120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate 140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits 150 1.1.2.2.1 monies due from central banks 160 1.1.2.2.2 monies due from financial customers 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61
Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 180 1.1.4 monies due from trade financing transactions 190 1.1.5 monies due from securities maturing within 30 days 200 1.1.6 assets with an undefined contractual end date 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 220 1.1.8 inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets 230 1.1.9 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 240 1.1.10 inflows from derivatives 250 1.1.11 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate 260 1.1.12 other inflows
Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 180 1.1.4 monies due from trade financing transactions 1,00 190 1.1.5 monies due from securities maturing within 30 days 1,00 200 1.1.6 assets with an undefined contractual end date 0,20 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 1,00 220 1.1.8 inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets 1,00 230 1.1.9 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 1,00 240 1.1.10 inflows from derivatives 1,00 250 1.1.11 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate 260 1.1.12 other inflows 1,00
Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 180 1.1.4 monies due from trade financing transactions 190 1.1.5 monies due from securities maturing within 30 days 200 1.1.6 assets with an undefined contractual end date 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 220 1.1.8 inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets 230 1.1.9 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 240 1.1.10 inflows from derivatives 250 1.1.11 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate 260 1.1.12 other inflows
Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 270 1.2 Inflows from secured lending and capital market-driven transactions 280 1.2.1 collateral that qualifies as a liquid asset 290 1.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 300 1.2.1.2 Level 1 collateral which is extremely high quality covered bonds 310 1.2.1.3 Level 2A collateral 320 1.2.1.4 Level 2B asset backed securities (residential or auto) collateral 330 1.2.1.5 Level 2B high quality covered bonds collateral 340 1.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 350 1.2.1.7 Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 360 1.2.2 collateral is used to cover a short position 370 1.2.3 collateral that does not qualify as a liquid asset
Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 270 1.2 Inflows from secured lending and capital market-driven transactions 280 1.2.1 collateral that qualifies as a liquid asset 290 1.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 1,00 300 1.2.1.2 Level 1 collateral which is extremely high quality covered bonds 0,93 310 1.2.1.3 Level 2A collateral 0,85 320 1.2.1.4 Level 2B asset backed securities (residential or auto) collateral 0,75 330 1.2.1.5 Level 2B high quality covered bonds collateral 0,70 340 1.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 0,65 350 1.2.1.7 Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 0,50 360 1.2.2 collateral is used to cover a short position 370 1.2.3 collateral that does not qualify as a liquid asset
Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 270 1.2 Inflows from secured lending and capital market-driven transactions 280 1.2.1 collateral that qualifies as a liquid asset 290 1.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 300 1.2.1.2 Level 1 collateral which is extremely high quality covered bonds 310 1.2.1.3 Level 2A collateral 320 1.2.1.4 Level 2B asset backed securities (residential or auto) collateral 330 1.2.1.5 Level 2B high quality covered bonds collateral 340 1.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 350 1.2.1.7 Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 360 1.2.2 collateral is used to cover a short position 370 1.2.3 collateral that does not qualify as a liquid asset
Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 380 1.2.3.1 margin loans: collateral is non-liquid 390 1.2.3.2 collateral is non-liquid equity 400 1.2.3.3 all other non-liquid collateral 410 1.3 Total inflows from collateral swaps 420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 430 1.5 (Excess inflows from a related specialised credit institution) MEMORANDUM ITEMS 440 2 Interdependent inflows 450 3 FX inflows 460 4 Inflows within a group or an institutional protection scheme 470 4.1 Monies due from non-financial customers (except for central banks)
Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 380 1.2.3.1 margin loans: collateral is non-liquid 0,50 390 1.2.3.2 collateral is non-liquid equity 1,00 400 1.2.3.3 all other non-liquid collateral 1,00 410 1.3 Total inflows from collateral swaps 420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 430 1.5 (Excess inflows from a related specialised credit institution) MEMORANDUM ITEMS 440 2 Interdependent inflows 450 3 FX inflows 460 4 Inflows within a group or an institutional protection scheme 470 4.1 Monies due from non-financial customers (except for central banks)
Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 380 1.2.3.1 margin loans: collateral is non-liquid 390 1.2.3.2 collateral is non-liquid equity 400 1.2.3.3 all other non-liquid collateral 410 1.3 Total inflows from collateral swaps 420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 430 1.5 (Excess inflows from a related specialised credit institution) MEMORANDUM ITEMS 440 2 Interdependent inflows 450 3 FX inflows 460 4 Inflows within a group or an institutional protection scheme 470 4.1 Monies due from non-financial customers (except for central banks)
Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 480 4.2 Monies due from financial customers 490 4.3 Secured transactions 500 4.4 Monies due from maturing securities within 30 days 510 4.5 Any other inflows within a group or an institutional protection scheme 520 4.6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate
Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 480 4.2 Monies due from financial customers 490 4.3 Secured transactions 500 4.4 Monies due from maturing securities within 30 days 510 4.5 Any other inflows within a group or an institutional protection scheme 520 4.6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate
Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 480 4.2 Monies due from financial customers 490 4.3 Secured transactions 500 4.4 Monies due from maturing securities within 30 days 510 4.5 Any other inflows within a group or an institutional protection scheme 520 4.6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
Currency
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 010 1 TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES 020 1.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: 030 1.1.1 Level 1 assets (excl. EHQ covered bonds) 040 1.1.2 Level 1: extremely high quality covered bonds 050 1.1.3 Level 2A assets 060 1.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 070 1.1.5 Level 2B: high quality covered bonds 080 1.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 090 1.1.7 Other Level 2B 100 1.1.8 Non-liquid assets
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 010 1 TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES 020 1.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: 030 1.1.1 Level 1 assets (excl. EHQ covered bonds) 040 1.1.2 Level 1: extremely high quality covered bonds 050 1.1.3 Level 2A assets 060 1.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 070 1.1.5 Level 2B: high quality covered bonds 080 1.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 090 1.1.7 Other Level 2B 100 1.1.8 Non-liquid assets
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 110 1.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: 120 1.2.1 Level 1 assets (excl. EHQ covered bonds) 130 1.2.2 Level 1: extremely high quality covered bonds 140 1.2.3 Level 2A assets 150 1.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 160 1.2.5 Level 2B: high quality covered bonds 170 1.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 180 1.2.7 Other Level 2B 190 1.2.8 Non-liquid assets 200 1.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: 210 1.3.1 Level 1 assets (excl. EHQ covered bonds) 220 1.3.2 Level 1: extremely high quality covered bonds
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 110 1.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: 120 1.2.1 Level 1 assets (excl. EHQ covered bonds) 130 1.2.2 Level 1: extremely high quality covered bonds 140 1.2.3 Level 2A assets 150 1.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 160 1.2.5 Level 2B: high quality covered bonds 170 1.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 180 1.2.7 Other Level 2B 190 1.2.8 Non-liquid assets 200 1.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: 210 1.3.1 Level 1 assets (excl. EHQ covered bonds) 220 1.3.2 Level 1: extremely high quality covered bonds
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 230 1.3.3 Level 2A assets 240 1.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 250 1.3.5 Level 2B: high quality covered bonds 260 1.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 270 1.3.7 Other Level 2B 280 1.3.8 Non-liquid assets 290 1.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: 300 1.4.1 Level 1 assets (excl. EHQ covered bonds) 310 1.4.2 Level 1: extremely high quality covered bonds 320 1.4.3 Level 2A assets 330 1.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 340 1.4.5 Level 2B: high quality covered bonds
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 230 1.3.3 Level 2A assets 240 1.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 250 1.3.5 Level 2B: high quality covered bonds 260 1.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 270 1.3.7 Other Level 2B 280 1.3.8 Non-liquid assets 290 1.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: 300 1.4.1 Level 1 assets (excl. EHQ covered bonds) 310 1.4.2 Level 1: extremely high quality covered bonds 320 1.4.3 Level 2A assets 330 1.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 340 1.4.5 Level 2B: high quality covered bonds
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 350 1.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 360 1.4.7 Other Level 2B 370 1.4.8 Non-liquid assets 380 1.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: 390 1.5.1 Level 1 assets (excl. EHQ covered bonds) 400 1.5.2 Level 1: extremely high quality covered bonds 410 1.5.3 Level 2A assets 420 1.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 430 1.5.5 Level 2B: high quality covered bonds 440 1.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 450 1.5.7 Other Level 2B 460 1.5.8 Non-liquid assets
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 350 1.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 360 1.4.7 Other Level 2B 370 1.4.8 Non-liquid assets 380 1.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: 390 1.5.1 Level 1 assets (excl. EHQ covered bonds) 400 1.5.2 Level 1: extremely high quality covered bonds 410 1.5.3 Level 2A assets 420 1.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 430 1.5.5 Level 2B: high quality covered bonds 440 1.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 450 1.5.7 Other Level 2B 460 1.5.8 Non-liquid assets
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 470 1.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: 480 1.6.1 Level 1 assets (excl. EHQ covered bonds) 490 1.6.2 Level 1: extremely high quality covered bonds 500 1.6.3 Level 2A assets 510 1.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 520 1.6.5 Level 2B: high quality covered bonds 530 1.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 540 1.6.7 Other Level 2B 550 1.6.8 Non-liquid assets 560 1.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: 570 1.7.1 Level 1 assets (excl. EHQ covered bonds)
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 470 1.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: 480 1.6.1 Level 1 assets (excl. EHQ covered bonds) 490 1.6.2 Level 1: extremely high quality covered bonds 500 1.6.3 Level 2A assets 510 1.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 520 1.6.5 Level 2B: high quality covered bonds 530 1.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 540 1.6.7 Other Level 2B 550 1.6.8 Non-liquid assets 560 1.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: 570 1.7.1 Level 1 assets (excl. EHQ covered bonds)
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 580 1.7.2 Level 1: extremely high quality covered bonds 590 1.7.3 Level 2A assets 600 1.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 610 1.7.5 Level 2B: high quality covered bonds 620 1.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 630 1.7.7 Other Level 2B 640 1.7.8 Non-liquid assets 650 1.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: 660 1.8.1 Level 1 assets (excl. EHQ covered bonds) 670 1.8.2 Level 1: extremely high quality covered bonds 680 1.8.3 Level 2A assets
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 580 1.7.2 Level 1: extremely high quality covered bonds 590 1.7.3 Level 2A assets 600 1.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 610 1.7.5 Level 2B: high quality covered bonds 620 1.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 630 1.7.7 Other Level 2B 640 1.7.8 Non-liquid assets 650 1.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: 660 1.8.1 Level 1 assets (excl. EHQ covered bonds) 670 1.8.2 Level 1: extremely high quality covered bonds 680 1.8.3 Level 2A assets
Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 690 1.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 700 1.8.5 Level 2B: high quality covered bonds 710 1.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 720 1.8.7 Other Level 2B 730 1.8.8 Non-liquid assets MEMORANDUM ITEMS 740 2 Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions 750 3 Total collateral swaps with intragroup counterparties 760 4 Total collateral swaps with central bank counterparties
Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 690 1.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 700 1.8.5 Level 2B: high quality covered bonds 710 1.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 720 1.8.7 Other Level 2B 730 1.8.8 Non-liquid assets MEMORANDUM ITEMS 740 2 Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions 750 3 Total collateral swaps with intragroup counterparties 760 4 Total collateral swaps with central bank counterparties C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS
Currency
Value/Percentage Row ID Item 010 CALCULATIONS Numerator, denominator, ratio 010 1 Liquidity buffer 020 2 Net liquidity outflow 030 3 Liquidity coverage ratio (%) Numerator calculations 040 4 L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted 050 5 L1 excl. EHQCB collateral 30 day outflows 060 6 L1 excl. EHQCB collateral 30 day inflows 070 7 Secured cash 30 day ouflows 080 8 Secured cash 30 day inflows 090 9 L1 excl. EHQCB “adjusted amount before cap application” 100 10 L1 EHQCB value according to Article 9: unadjusted 110 11 L1 EHQCB collateral 30 day outflows 120 12 L1 EHQCB collateral 30 day inflows 130 13 L1 EHQCB “adjusted amount before cap application” 140 14 L1 EHQCB “adjusted amount after cap application” 150 15 L1 EHQCB “excess liquid assets amount” 160 16 L2A according to Article 9: unadjusted 170 17 L2A collateral 30 day outflows 180 18 L2A collateral 30 day inflows 190 19 L2A “adjusted amount before cap application” 200 20 L2A “adjusted amount after cap application” 210 21 L2A “excess liquid assets amount” 220 22 L2B according to Article 9: unadjusted 230 23 L2B collateral 30 day outflows 240 24 L2B collateral 30 day inflows 250 25 L2B “adjusted amount before cap application” 260 26 L2B “adjusted amount after cap application” 270 27 L2B “excess liquid assets amount” 280 28 Excess liquid asset amount 290 29 Liquidity buffer Denominator calculations 300 30 Total Outflows 310 31 Fully Exempt Inflows 320 32 Inflows Subject to 90 % Cap 330 33 Inflows Subject to 75 % Cap 340 34 Reduction for Fully Exempt Inflows 350 35 Reduction for Inflows Subject to 90 % Cap 360 36 Reduction for Inflows Subject to 75 % Cap 370 37 Net liquidity outflow Pillar 2 380 38 Pillar 2 requirement as set out in Article 105 CRD