Annex VIII
United Kingdom
ANNEX XXIV
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 75.01 LIQUIDITY COVERAGE – COLLATERAL SWAPS PART V – CALCULATIONS 76 C 76.00 LIQUIDITY COVERAGE – CALCULATIONS PART VI – PERIMETER OF CONSOLIDATION 77 C 77.00 LIQUIDITY COVERAGE – PERIMETER C 72.00 – LIQUIDITY COVERAGE – LIQUID ASSETS
Currency
Row ID Item Amount/Market value Standard weight Applicable weight Value in accordance with 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 1,0 050 1.1.1.2 Withdrawable central bank reserves 1,0 060 1.1.1.3 Central bank assets 1,0 070 1.1.1.4 Central government assets 1,0 080 1.1.1.5 Regional government / local authorities assets 1,0 090 1.1.1.6 Public Sector Entity assets 1,0 100 1.1.1.7 Recognisable domestic and foreign currency central government and central bank assets 1,0 110 1.1.1.8 Credit institution (protected by Member State government, promotional lender) assets 1,0 120 1.1.1.9 Multilateral development bank and international organisations assets 1,0 130 1.1.1.10 Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure 1,0 140 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 1,0 160 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: Level 2A assets recognised as Level 1 0,8 180 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 0,8 300 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 %) 0,7 350 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) 0,5 370 1.2.2.6 Corporate debt securities – non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) 0,5 380 1.2.2.7 Shares (major stock index) 0,5 390 1.2.2.8 Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) 0,5 400 1.2.2.9 Restricted-use central bank committed liquidity facilities 1,0 410 1.2.2.10 Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) 0,7 420 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) 0,6 440 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 485 2 Deposits by network member with central institution (obligated investment) 580 3 Level 1/2A/2B assets excluded due to currency reasons 590 4 Level 1/2A/2B assets excluded for operational reasons except for currency reasons C 73.00 – LIQUIDITY COVERAGE – OUTFLOWS
Currency
Amount Market value of collateral extended Value of collateral extended in accordance with 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 035 1.1.1.1 deposits exempted from the calculation of outflows 0,0 040 1.1.1.2 deposits where the payout has been agreed within the following 30 days 1,0 050 1.1.1.3 deposits subject to higher outflows 060 1.1.1.3.1 category 1 0,1-0,15 070 1.1.1.3.2 category 2 0,15-0,2 080 1.1.1.4 stable deposits 0,05 090 1.1.1.5 derogated stable deposits 0,03 100 1.1.1.6 deposits in third countries where a higher outflow is applied 110 1.1.1.7 other retail deposits 0,1 120 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 1,0 190 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 0,25 203 1.1.3 Excess operational deposits 204 1.1.3.1 deposits by financial customers 1,0 205 1.1.3.2 deposits by other customers 206 1.1.3.2.1 covered by DGS 0,2 207 1.1.3.2.2 not covered by DGS 0,4 210 1.1.4 Non-operational deposits 220 1.1.4.1 correspondent banking and provisions of prime brokerage deposits 1,0 230 1.1.4.2 deposits by financial customers 1,0 240 1.1.4.3 deposits by other customers 250 1.1.4.3.1 covered by DGS 0,2 260 1.1.4.3.2 not covered by DGS 0,4 270 1.1.5 Additional outflows 280 1.1.5.1 collateral other than Level 1 assets collateral posted for derivatives 0,2 290 1.1.5.2 Level 1 EHQ Covered Bonds assets collateral posted for derivatives 0,1 300 1.1.5.3 material outflows due to deterioration of own credit quality 1,0 310 1.1.5.4 impact of an adverse market scenario on derivatives transactions 1,0 340 1.1.5.5 outflows from derivatives 1,0 350 1.1.5.6 short positions 360 1.1.5.6.1 covered by collateralized SFT 0,0 370 1.1.5.6.2 other 1,0 380 1.1.5.7 callable excess collateral 1,0 390 1.1.5.8 due collateral 1,0 400 1.1.5.9 liquid asset collateral exchangable for non-liquid asset collateral 1,0 410 1.1.5.10 loss of funding on structured financing activites 420 1.1.5.10.1 structured financing instruments 1,0 430 1.1.5.10.2 financing facilites 1,0 450 1.1.5.11 internal netting of client's positions 0,5 460 1.1.6 Committed facilities 470 1.1.6.1 credit facilities 480 1.1.6.1.1 to retail customers 0,05 490 1.1.6.1.2 to non-financial customers other than retail customers 0,1 500 1.1.6.1.3 to credit institutions 510 1.1.6.1.3.1 for funding promotional loans of retail customers 0,05 520 1.1.6.1.3.2 for funding promotional loans of non-financial customers 0,1 530 1.1.6.1.3.3 other 0,4 540 1.1.6.1.4 to regulated financial institutions other than credit institutions 0,4 550 1.1.6.1.5 within a group or an IPS if subject to preferential treatment 560 1.1.6.1.6 within IPS or cooperative network if treated as liquid asset by the depositing institution 0,75 570 1.1.6.1.7 to other financial customers 1,0 580 1.1.6.2 liquidity facilities 590 1.1.6.2.1 to retail customers 0,05 600 1.1.6.2.2 to non-financial customers other than retail customers 0,3 610 1.1.6.2.3 to personal investment companies 0,4 620 1.1.6.2.4 to SSPEs 630 1.1.6.2.4.1 to purchase assets other than securities from non-financial customers 0,1 640 1.1.6.2.4.2 other 1,0 650 1.1.6.2.5 to credit institutions 660 1.1.6.2.5.1 for funding promotional loans of retail customers 0,05 670 1.1.6.2.5.2 for funding promotional loans of non-financial customers 0,3 680 1.1.6.2.5.3 other 0,4 690 1.1.6.2.6 within a group or an IPS if subject to preferential treatment 700 1.1.6.2.7 within IPS or cooperative network if treated as liquid asset by the depositing institution 0,75 710 1.1.6.2.8 to other financial customers 1,0 720 1.1.7 Other products and services 731 1.1.7.1 Uncommitted funding facilities 740 1.1.7.2 undrawn loans and advances to wholesale counterparties 750 1.1.7.3 mortgages that have been agreed but not yet drawn down 760 1.1.7.4 credit cards 770 1.1.7.5 overdrafts 780 1.1.7.6 planned outflows related to renewal or extension of new retail or wholesale loans 850 1.1.7.7 derivatives payables 860 1.1.7.8 trade finance off-balance sheet related products 870 1.1.7.9 others 885 1.1.8 Other liabilities and due commitments 890 1.1.8.1 liabilities resulting from operating expenses 0,0 900 1.1.8.2 in the form of debt securities if not treated as retail deposits 1,0 912 1.1.8.4 the excess of funding to non-financial customers 913 1.1.8.4.1 the excess of funding to retail customers 1,0 914 1.1.8.4.2 the excess of funding to non financial corporates 1,0 915 1.1.8.4.3 the excess of funding to sovereigns, MLDBs and PSEs 1,0 916 1.1.8.4.4 the excess of funding to other legal entities 1,0 917 1.1.8.5 assets borrowed on an unsecured basis 1,0 918 1.1.8.6 others 1,0 920 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 0,0 945 1.2.1.1.1 of which collateral extended meets operational requirements 950 1.2.1.2 level 1 EHQ Covered Bonds collateral 0,0 955 1.2.1.2.1 of which collateral extended meets operational requirements 960 1.2.1.3 level 2A collateral 0,0 965 1.2.1.3.1 of which collateral extended meets operational requirements 970 1.2.1.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral 0,0 975 1.2.1.4.1 of which collateral extended meets operational requirements 980 1.2.1.5 level 2B covered bonds 0,0 985 1.2.1.5.1 of which collateral extended meets operational requirements 990 1.2.1.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral 0,0 995 1.2.1.6.1 of which collateral extended meets operational requirements 1000 1.2.1.7 other Level 2B assets collateral 0,0 1005 1.2.1.7.1 of which collateral extended meets operational requirements 1010 1.2.1.8 non-liquid assets collateral 0,0 1020 1.2.2 Counterparty is non-central bank 1030 1.2.2.1 level 1 excl. EHQ Covered Bonds collateral 0,0 1035 1.2.2.1.1 of which collateral extended meets operational requirements 1040 1.2.2.2 level 1 EHQ Covered Bonds collateral 0,07 1045 1.2.2.2.1 of which collateral extended meets operational requirements 1050 1.2.2.3 level 2A collateral 0,15 1055 1.2.2.3.1 of which collateral extended meets operational requirements 1060 1.2.2.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral 0,25 1065 1.2.2.4.1 of which collateral extended meets operational requirements 1070 1.2.2.5 level 2B covered bonds 0,3 1075 1.2.2.5.1 of which collateral extended meets operational requirements 1080 1.2.2.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral 0,35 1085 1.2.2.6.1 of which collateral extended meets operational requirements 1090 1.2.2.7 other Level 2B assets collateral 0,5 1095 1.2.2.7.1 of which collateral extended meets operational requirements 1100 1.2.2.8 non-liquid assets collateral 1,0 1130 1.3 Total outflows from collateral swaps MEMORANDUM ITEMS 1170 2 Liquidity outflows to be netted by interdependent inflows 3 Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship 1180 3.1 provided by credit institutions 1190 3.2 provided by financial customers other than credit institutions 1200 3.3 provided by sovereigns, central banks, MDBs and PSEs 1210 3.4 provided by other customers 4 Intra group or IPS outflows 1290 4.1 of which: to financial customers 1300 4.2 of which: to non-financial customers 1310 4.3 of which: secured 1320 4.4 of which: credit facilities without preferential treatment 1330 4.5 of which: liquidity facilites without preferential treatment 1340 4.6 of which: operational deposits 1345 4.7 of which: excess operational deposits 1350 4.8 of which: non-operational deposits 1360 4.9 of which: liabilities in the form of debt securities if not treated as retail deposits 1370 5 FX outflows 6 Secured funding waived from Article 17 (2) and (3) 1400 6.1 of which: secured by L1 excl. EHQCB 1410 6.2 of which: secured by L1 EHQCB 1420 6.3 of which: secured by L2A 1430 6.4 of which: secured by L2B 1440 6.5 of which: secured by non-liquid assets C 74.00 – LIQUIDITY COVERAGE – INFLOWS
Currency
Amount Market value of collateral received Standard Weight Applicable Weight Value of collateral received in accordance with 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 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 Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 010 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 1,0 050 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 0,5 070 1.1.1.2.2 monies due from non-financial corporates 0,5 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 0,5 090 1.1.1.2.4 monies due from other legal entities 0,5 100 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 1,0 160 1.1.2.2.2 monies due from financial customers 1,0 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 1,0 180 1.1.4 monies due from trade financing transactions 1,0 190 1.1.5 monies due from securities maturing within 30 days 1,0 201 1.1.6 loans with an undefined contractual end date 0,2 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 1,0 230 1.1.8 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 1,0 240 1.1.9 inflows from derivatives 1,0 250 1.1.10 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 1.1.11 other inflows 1,0 263 1.2 Inflows from secured lending and capital market-driven transactions 265 1.2.1 Counterparty is central bank 267 1.2.1.1 collateral that qualifies as a liquid asset 269 1.2.1.1.1 Level 1 collateral excluding extremely high quality covered bonds 0,0 271 1.2.1.1.1.1 of which collateral received meets operational requirements 273 1.2.1.1.2 Level 1 collateral which is extremely high quality covered bonds 0,07 275 1.2.1.1.2.1 of which collateral received meets operational requirements 277 1.2.1.1.3 Level 2A collateral 0,15 279 1.2.1.1.3.1 of which collateral received meets operational requirements 281 1.2.1.1.4 Level 2B asset backed securities (residential or auto) collateral 0,25 283 1.2.1.1.4.1 of which collateral received meets operational requirements 285 1.2.1.1.5 Level 2B high quality covered bonds collateral 0,3 287 1.2.1.1.5.1 of which collateral received meets operational requirements 289 1.2.1.1.6 Level 2B asset backed securities (commercial or individuals) collateral 0,35 291 1.2.1.1.6.1 of which collateral received meets operational requirements 293 1.2.1.1.7 Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6 0,5 295 1.2.1.1.7.1 of which collateral received meets operational requirements 297 1.2.1.2 collateral is used to cover a short position 299 1.2.1.3 collateral that does not qualify as a liquid asset 301 1.2.1.3.1 collateral is non-liquid equity 1,0 303 1.2.1.3.2 all other non-liquid collateral 1,0 305 1.2.2 Counterparty is non-central bank 307 1.2.2.1 collateral that qualifies as a liquid asset 309 1.2.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 0,0 311 1.2.2.1.1.1 of which collateral received meets operational requirements 313 1.2.2.1.2 Level 1 collateral which is extremely high quality covered bonds 0,07 315 1.2.2.1.2.1 of which collateral received meets operational requirements 317 1.2.2.1.3 Level 2A collateral 0,15 319 1.2.2.1.3.1 of which collateral received meets operational requirements 321 1.2.2.1.4 Level 2B asset backed securities (residential or auto) collateral 0,25 323 1.2.2.1.4.1 of which collateral received meets operational requirements 325 1.2.2.1.5 Level 2B high quality covered bonds collateral 0,3 327 1.2.2.1.5.1 of which collateral received meets operational requirements 329 1.2.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 0,35 331 1.2.2.1.6.1 of which collateral received meets operational requirements 333 1.2.2.1.7 Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6 0,5 335 1.2.2.1.7.1 of which collateral received meets operational requirements 337 1.2.2.2 collateral is used to cover a short position 339 1.2.2.3 collateral that does not qualify as a liquid asset 341 1.2.2.3.1 margin loans: collateral is non-liquid 0,5 343 1.2.2.3.2 collateral is non-liquid equity 1,0 345 1.2.2.3.3 all other non-liquid collateral 1,0 410 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 450 2 FX inflows 460 3 Inflows within a group or an institutional protection scheme 470 3.1 Monies due from non-financial customers (except for central banks) 480 3.2 Monies due from financial customers 490 3.3 Secured transactions 500 3.4 Monies due from maturing securities within 30 days 510 3.5 Any other inflows within a group or an institutional protection scheme 4 Secured lending waived from Article 17 (2) and (3) 530 4.1 of which: secured by L1 excl. EHQCB 540 4.2 of which: secured by L1 EHQCB 550 4.3 of which: secured by L2A 560 4.4 of which: secured by L2B 570 4.5 of which: secured by non-liquid assets C 75.01 – 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 Standard weight Applicable weight Outflows Inflows subject to the 75 % cap on inflows Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 1 TOTAL COLLATERAL SWAPS (counterparty is central bank) 0020 1.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: 0030 1.1.1 Level 1 assets (excl. EHQ covered bonds) 0,0 0040 1.1.1.1 Of which collateral swapped meets operational requirements 0050 1.1.2 Level 1: extremely high quality covered bonds 0,07 0060 1.1.2.1 Of which collateral swapped meets operational requirements 0070 1.1.3 Level 2A assets 0,15 0080 1.1.3.1 Of which collateral swapped meets operational requirements 0090 1.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,25 0100 1.1.4.1 Of which collateral swapped meets operational requirements 0110 1.1.5 Level 2B: high quality covered bonds 0,3 0120 1.1.5.1 Of which collateral swapped meets operational requirements 0130 1.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,35 0140 1.1.6.1 Of which collateral swapped meets operational requirements 0150 1.1.7 Other Level 2B 0,5 0160 1.1.7.1 Of which collateral swapped meets operational requirements 0170 1.1.8 Non-liquid assets 1,0 0180 1.1.8.1 Of which collateral swapped meets operational requirements 0190 1.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: 0200 1.2.1 Level 1 assets (excl. EHQ covered bonds) 0,0 0210 1.2.1.1 Of which collateral swapped meets operational requirements 0220 1.2.2 Level 1: extremely high quality covered bonds 0,0 0230 1.2.2.1 Of which collateral swapped meets operational requirements 0240 1.2.3 Level 2A assets 0,08 0250 1.2.3.1 Of which collateral swapped meets operational requirements 0260 1.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,18 0270 1.2.4.1 Of which collateral swapped meets operational requirements 0280 1.2.5 Level 2B: high quality covered bonds 0,23 0290 1.2.5.1 Of which collateral swapped meets operational requirements 0300 1.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,28 0310 1.2.6.1 Of which collateral swapped meets operational requirements 0320 1.2.7 Other Level 2B 0,43 0330 1.2.7.1 Of which collateral swapped meets operational requirements 0340 1.2.8 Non-liquid assets 0,93 0350 1.2.8.1 Of which collateral swapped meets operational requirements 0360 1.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: 0370 1.3.1 Level 1 assets (excl. EHQ covered bonds) 0,0 0380 1.3.1.1 Of which collateral swapped meets operational requirements 0390 1.3.2 Level 1: extremely high quality covered bonds 0,0 0400 1.3.2.1 Of which collateral swapped meets operational requirements 0410 1.3.3 Level 2A assets 0,0 0420 1.3.3.1 Of which collateral swapped meets operational requirements 0430 1.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,1 0440 1.3.4.1 Of which collateral swapped meets operational requirements 0450 1.3.5 Level 2B: high quality covered bonds 0,15 0460 1.3.5.1 Of which collateral swapped meets operational requirements 0470 1.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,2 0480 1.3.6.1 Of which collateral swapped meets operational requirements 0490 1.3.7 Other Level 2B 0,35 0500 1.3.7.1 Of which collateral swapped meets operational requirements 0510 1.3.8 Non-liquid assets 0,85 0520 1.3.8.1 Of which collateral swapped meets operational requirements 0530 1.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: 0540 1.4.1 Level 1 assets (excl. EHQ covered bonds) 0,0 0550 1.4.1.1 Of which collateral swapped meets operational requirements 0560 1.4.2 Level 1: extremely high quality covered bonds 0,0 0570 1.4.2.1 Of which collateral swapped meets operational requirements 0580 1.4.3 Level 2A assets 0,0 0590 1.4.3.1 Of which collateral swapped meets operational requirements 0600 1.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,0 0610 1.4.4.1 Of which collateral swapped meets operational requirements 0620 1.4.5 Level 2B: high quality covered bonds 0,05 0630 1.4.5.1 Of which collateral swapped meets operational requirements 0640 1.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,1 0650 1.4.6.1 Of which collateral swapped meets operational requirements 0660 1.4.7 Other Level 2B 0,25 0670 1.4.7.1 Of which collateral swapped meets operational requirements 0680 1.4.8 Non-liquid assets 0,75 0690 1.4.8.1 Of which collateral swapped meets operational requirements 0700 1.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: 0710 1.5.1 Level 1 assets (excl. EHQ covered bonds) 0,0 0720 1.5.1.1 Of which collateral swapped meets operational requirements 0730 1.5.2 Level 1: extremely high quality covered bonds 0,0 0740 1.5.2.1 Of which collateral swapped meets operational requirements 0750 1.5.3 Level 2A assets 0,0 0760 1.5.3.1 Of which collateral swapped meets operational requirements 0770 1.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,0 0780 1.5.4.1 Of which collateral swapped meets operational requirements 0790 1.5.5 Level 2B: high quality covered bonds 0,0 0800 1.5.5.1 Of which collateral swapped meets operational requirements 0810 1.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,05 0820 1.5.6.1 Of which collateral swapped meets operational requirements 0830 1.5.7 Other Level 2B 0,2 0840 1.5.7.1 Of which collateral swapped meets operational requirements 0850 1.5.8 Non-liquid assets 0,7 0860 1.5.8.1 Of which collateral swapped meets operational requirements 0870 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: 0880 1.6.1 Level 1 assets (excl. EHQ covered bonds) 0,0 0890 1.6.1.1 Of which collateral swapped meets operational requirements 0900 1.6.2 Level 1: extremely high quality covered bonds 0,0 0910 1.6.2.1 Of which collateral swapped meets operational requirements 0920 1.6.3 Level 2A assets 0,0 0930 1.6.3.1 Of which collateral swapped meets operational requirements 0940 1.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,0 0950 1.6.4.1 Of which collateral swapped meets operational requirements 0960 1.6.5 Level 2B: high quality covered bonds 0,0 0970 1.6.5.1 Of which collateral swapped meets operational requirements 0980 1.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,0 0990 1.6.6.1 Of which collateral swapped meets operational requirements 1000 1.6.7 Other Level 2B 0,15 1010 1.6.7.1 Of which collateral swapped meets operational requirements 1020 1.6.8 Non-liquid assets 0,65 1030 1.6.8.1 Of which collateral swapped meets operational requirements 1040 1.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: 1050 1.7.1 Level 1 assets (excl. EHQ covered bonds) 0,0 1060 1.7.1.1 Of which collateral swapped meets operational requirements 1070 1.7.2 Level 1: extremely high quality covered bonds 0,0 1080 1.7.2.1 Of which collateral swapped meets operational requirements 1090 1.7.3 Level 2A assets 0,0 1100 1.7.3.1 Of which collateral swapped meets operational requirements 1110 1.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,0 1120 1.7.4.1 Of which collateral swapped meets operational requirements 1130 1.7.5 Level 2B: high quality covered bonds 0,0 1140 1.7.5.1 Of which collateral swapped meets operational requirements 1150 1.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,0 1160 1.7.6.1 Of which collateral swapped meets operational requirements 1170 1.7.7 Other Level 2B 0,0 1180 1.7.7.1 Of which collateral swapped meets operational requirements 1190 1.7.8 Non-liquid assets 0,5 1200 1.7.8.1 Of which collateral swapped meets operational requirements 1210 1.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: 1220 1.8.1 Level 1 assets (excl. EHQ covered bonds) 0,0 1230 1.8.1.1 Of which collateral swapped meets operational requirements 1240 1.8.2 Level 1: extremely high quality covered bonds 0,0 1250 1.8.2.1 Of which collateral swapped meets operational requirements 1260 1.8.3 Level 2A assets 0,0 1270 1.8.3.1 Of which collateral swapped meets operational requirements 1280 1.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,0 1290 1.8.4.1 Of which collateral swapped meets operational requirements 1300 1.8.5 Level 2B: high quality covered bonds 0,0 1310 1.8.5.1 Of which collateral swapped meets operational requirements 1320 1.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,0 1330 1.8.6.1 Of which collateral swapped meets operational requirements 1340 1.8.7 Other Level 2B 0,0 1350 1.8.7.1 Of which collateral swapped meets operational requirements 1360 1.8.8 Non-liquid assets 1370 2 TOTAL COLLATERAL SWAPS (counterparty is non-central bank) 1380 2.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: 1390 2.1.1 Level 1 assets (excl. EHQ covered bonds) 0,0 1400 2.1.1.1 Of which collateral swapped meets operational requirements 1410 2.1.2 Level 1: extremely high quality covered bonds 0,07 1420 2.1.2.1 Of which collateral swapped meets operational requirements 1430 2.1.3 Level 2A assets 0,15 1440 2.1.3.1 Of which collateral swapped meets operational requirements 1450 2.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,25 1460 2.1.4.1 Of which collateral swapped meets operational requirements 1470 2.1.5 Level 2B: high quality covered bonds 0,3 1480 2.1.5.1 Of which collateral swapped meets operational requirements 1490 2.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,35 1500 2.1.6.1 Of which collateral swapped meets operational requirements 1510 2.1.7 Other Level 2B 0,5 1520 2.1.7.1 Of which collateral swapped meets operational requirements 1530 2.1.8 Non-liquid assets 1,0 1540 2.1.8.1 Of which collateral swapped meets operational requirements 1550 2.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: 1560 2.2.1 Level 1 assets (excl. EHQ covered bonds) 0,07 1570 2.2.1.1 Of which collateral swapped meets operational requirements 1580 2.2.2 Level 1: extremely high quality covered bonds 0,0 1590 2.2.2.1 Of which collateral swapped meets operational requirements 1600 2.2.3 Level 2A assets 0,08 1610 2.2.3.1 Of which collateral swapped meets operational requirements 1620 2.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,18 1630 2.2.4.1 Of which collateral swapped meets operational requirements 1640 2.2.5 Level 2B: high quality covered bonds 0,23 1650 2.2.5.1 Of which collateral swapped meets operational requirements 1660 2.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,28 1670 2.2.6.1 Of which collateral swapped meets operational requirements 1680 2.2.7 Other Level 2B 0,43 1690 2.2.7.1 Of which collateral swapped meets operational requirements 1700 2.2.8 Non-liquid assets 0,93 1710 2.2.8.1 Of which collateral swapped meets operational requirements 1720 2.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: 1730 2.3.1 Level 1 assets (excl. EHQ covered bonds) 0,15 1740 2.3.1.1 Of which collateral swapped meets operational requirements 1750 2.3.2 Level 1: extremely high quality covered bonds 0,08 1760 2.3.2.1 Of which collateral swapped meets operational requirements 1770 2.3.3 Level 2A assets 0,0 1780 2.3.3.1 Of which collateral swapped meets operational requirements 1790 2.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,1 1800 2.3.4.1 Of which collateral swapped meets operational requirements 1810 2.3.5 Level 2B: high quality covered bonds 0,15 1820 2.3.5.1 Of which collateral swapped meets operational requirements 1830 2.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,2 1840 2.3.6.1 Of which collateral swapped meets operational requirements 1850 2.3.7 Other Level 2B 0,35 1860 2.3.7.1 Of which collateral swapped meets operational requirements 1870 2.3.8 Non-liquid assets 0,85 1880 2.3.8.1 Of which collateral swapped meets operational requirements 1890 2.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: 1900 2.4.1 Level 1 assets (excl. EHQ covered bonds) 0,25 1910 2.4.1.1 Of which collateral swapped meets operational requirements 1920 2.4.2 Level 1: extremely high quality covered bonds 0,18 1930 2.4.2.1 Of which collateral swapped meets operational requirements 1940 2.4.3 Level 2A assets 0,1 1950 2.4.3.1 Of which collateral swapped meets operational requirements 1960 2.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,0 1970 2.4.4.1 Of which collateral swapped meets operational requirements 1980 2.4.5 Level 2B: high quality covered bonds 0,05 1990 2.4.5.1 Of which collateral swapped meets operational requirements 2000 2.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,1 2010 2.4.6.1 Of which collateral swapped meets operational requirements 2020 2.4.7 Other Level 2B 0,25 2030 2.4.7.1 Of which collateral swapped meets operational requirements 2040 2.4.8 Non-liquid assets 0,75 2050 2.4.8.1 Of which collateral swapped meets operational requirements 2060 2.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: 2070 2.5.1 Level 1 assets (excl. EHQ covered bonds) 0,3 2080 2.5.1.1 Of which collateral swapped meets operational requirements 2090 2.5.2 Level 1: extremely high quality covered bonds 0,23 2100 2.5.2.1 Of which collateral swapped meets operational requirements 2110 2.5.3 Level 2A assets 0,15 2120 2.5.3.1 Of which collateral swapped meets operational requirements 2130 2.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,05 2140 2.5.4.1 Of which collateral swapped meets operational requirements 2150 2.5.5 Level 2B: high quality covered bonds 0,0 2160 2.5.5.1 Of which collateral swapped meets operational requirements 2170 2.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,05 2180 2.5.6.1 Of which collateral swapped meets operational requirements 2190 2.5.7 Other Level 2B 0,2 2200 2.5.7.1 Of which collateral swapped meets operational requirements 2210 2.5.8 Non-liquid assets 0,7 2220 2.5.8.1 Of which collateral swapped meets operational requirements 2230 2.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: 2240 2.6.1 Level 1 assets (excl. EHQ covered bonds) 0,35 2250 2.6.1.1 Of which collateral swapped meets operational requirements 2260 2.6.2 Level 1: extremely high quality covered bonds 0,28 2270 2.6.2.1 Of which collateral swapped meets operational requirements 2280 2.6.3 Level 2A assets 0,2 2290 2.6.3.1 Of which collateral swapped meets operational requirements 2300 2.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,1 2310 2.6.4.1 Of which collateral swapped meets operational requirements 2320 2.6.5 Level 2B: high quality covered bonds 0,05 2330 2.6.5.1 Of which collateral swapped meets operational requirements 2340 2.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,0 2350 2.6.6.1 Of which collateral swapped meets operational requirements 2360 2.6.7 Other Level 2B 0,15 2370 2.6.7.1 Of which collateral swapped meets operational requirements 2380 2.6.8 Non-liquid assets 0,65 2390 2.6.8.1 Of which collateral swapped meets operational requirements 2400 2.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: 2410 2.7.1 Level 1 assets (excl. EHQ covered bonds) 0,5 2420 2.7.1.1 Of which collateral swapped meets operational requirements 2430 2.7.2 Level 1: extremely high quality covered bonds 0,43 2440 2.7.2.1 Of which collateral swapped meets operational requirements 2450 2.7.3 Level 2A assets 0,35 2460 2.7.3.1 Of which collateral swapped meets operational requirements 2470 2.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,25 2480 2.7.4.1 Of which collateral swapped meets operational requirements 2490 2.7.5 Level 2B: high quality covered bonds 0,2 2500 2.7.5.1 Of which collateral swapped meets operational requirements 2510 2.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,15 2520 2.7.6.1 Of which collateral swapped meets operational requirements 2530 2.7.7 Other Level 2B 0,0 2540 2.7.7.1 Of which collateral swapped meets operational requirements 2550 2.7.8 Non-liquid assets 0,5 2560 2.7.8.1 Of which collateral swapped meets operational requirements 2570 2.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: 2580 2.8.1 Level 1 assets (excl. EHQ covered bonds) 1,0 2590 2.8.1.1 Of which collateral swapped meets operational requirements 2600 2.8.2 Level 1: extremely high quality covered bonds 0,93 2610 2.8.2.1 Of which collateral swapped meets operational requirements 2620 2.8.3 Level 2A assets 0,85 2630 2.8.3.1 Of which collateral swapped meets operational requirements 2640 2.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 0,75 2650 2.8.4.1 Of which collateral swapped meets operational requirements 2660 2.8.5 Level 2B: high quality covered bonds 0,7 2670 2.8.5.1 Of which collateral swapped meets operational requirements 2680 2.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 0,65 2690 2.8.6.1 Of which collateral swapped meets operational requirements 2700 2.8.7 Other Level 2B 0,5 2710 2.8.7.1 Of which collateral swapped meets operational requirements 2720 2.8.8 Non-liquid assets MEMORANDUM ITEMS 2730 23 Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions 2740 34 Total collateral swaps with intragroup counterparties 5 Collateral swaps waived from Article 17 (2) and (3) 2750 5.1 of which: collateral borrowed is L1 excl. EHQCB 2760 5.2 of which: collateral borrowed is L1 EHQCB 2770 5.3 of which: collateral borrowed is L2A 2780 5.4 of which: collateral borrowed is L2B 2790 5.5 of which: collateral lent is L1 excl. EHQCB 2800 5.6 of which: collateral lent is L1 EHQCB 2810 5.7 of which: collateral lent is L2A 2820 5.8 of which: collateral lent is L2B 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 in accordance with 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 091 9 L1 excl. EHQCB “adjusted amount” 100 10 L1 EHQCB value in accordance with Article 9: unadjusted 110 11 L1 EHQCB collateral 30 day outflows 120 12 L1 EHQCB collateral 30 day inflows 131 13 L1 EHQCB “adjusted amount” 160 14 L2A value in accordance with Article 9: unadjusted 170 15 L2A collateral 30 day outflows 180 16 L2A collateral 30 day inflows 191 17 L2A “adjusted amount” 220 18 L2B value in accordance with Article 9: unadjusted 230 19 L2B collateral 30 day outflows 240 20 L2B collateral 30 day inflows 251 21 L2B “adjusted amount” 280 22 Excess liquid asset amount 290 23 Liquidity buffer Denominator calculations 300 24 Total Outflows 310 25 Fully Exempt Inflows 320 26 Inflows Subject to 90 % Cap 330 27 Inflows Subject to 75 % Cap 340 28 Reduction for Fully Exempt Inflows 350 29 Reduction for Inflows Subject to 90 % Cap 360 30 Reduction for Inflows Subject to 75 % Cap 370 31 Net liquidity outflow Pillar 2 380 32 Pillar 2 requirement as set out in Article 105 CRD C 77.00 – LIQUIDITY COVERAGE – PERIMETER
Parent or subsidiary Name Code LEI code Country code Type of entity 005 010 020 030 040 050