Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX XIII

1.

Liquid assets

1.1.

General remarks

  1. (1)

    This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.

  2. (2)

    Assets shall be reported in one of six sections in this template:

  3. (3)

    Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.

  4. (4)

    Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.

  5. (5)

    Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013

  6. (6)

    Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.

  7. (7)

    Treatment for jurisdictions with insufficient liquid assets

  8. (8)

    Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).

1.2.

Specific remarks

  1. (9)

    For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.

  2. (10)

    For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.

  3. (11)

    For item 1.5 institutions shall report the relevant undrawn amount in column 040.

  4. (12)

    For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.

  5. (13)

    For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.

  6. (14)

    For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.

  7. (15)

    For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.

  8. (16)

    For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.

  9. (17)

    For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

  10. (18)

    For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013

  11. (19)

    For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets

  12. (20)

    For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013

  13. (21)

    The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.

Liquid assets sub template

1.2.1.

Instructions concerning specific rows

Row

Legal references and instructions

010-390

Assets reported in this section have been explicitly identified as potentially being of high or extremely high liquidity and credit quality.REGULATION (EU) NO 575/2013

010

Article 416(1)(a) of REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 "Inflows" if it qualifies as monies due over the next 30 days.

020

Articles 416(1)(a) REGULATION (EU) NO 575/2013

Total amount of exposures to central banks.

030

Article 416(1)(a) REGULATION (EU) NO 575/2013

040-110

Article 416.1(c) REGULATION (EU) NO 575/2013

040-050

Article 416(1)(c)(i) REGULATION (EU) NO 575/2013

040

Assets specified in 1.3.1 that represent claims on the above counterparties, according to Article 416(1)(c)(i)

050

Assets specified in 1.3.1 guaranteed by the above counterparties, according to Article 416(1)(c)(i)

060-070

Article 416(1)(c)(ii) REGULATION (EU) NO 575/2013

060

Assets specified in 1.3.2 that represent claims on the above counterparties, according to Article 416(1)(c)(ii)

070

Assets specified in 1.3.2 guaranteed by the above counterparties, according to Article 416(1)(c)(ii)

080-090

Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013

080

Assets specified in 1.3.3 that represent claims on the above counterparties, according to Article 416(1)(c)(iii)

090

Assets specified in 1.3.3 guaranteed by the above counterparties, according to Article 416(1)(c)(iii)

100-110

Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013

100

Assets specified in 1.3.4 that represent claims on the above counterparties, according to Article 416(1)(c)(iv)

110

Assets specified in 1.3.4 guaranteed by the above counterparties, according to Article 416(1)(c)(iv)

120-140

Article 416(6) of REGULATION (EU) NO 575/2013

120

130

140

150

Article 416(1)(e) REGULATION (EU) NO 575/2013

160-170

Article 416(1)(f) REGULATION (EU) NO 575/2013

if the credit institution belongs to a network in accordance with legal or statutory provisions, the legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution

160

170

180

Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013

190-210

Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013

Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013.

190

200

210

220-240

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013

220

230

240

250-270

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013

250

260

270

280-300

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013

280

290

300

310-330

Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013

310

320

330

340-360

Article 416.1(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013

Only items that are not specified in the rows above shall be reported here.

340

350

360

Article 416.1(d) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013

Only items that are not specified in the rows above shall be reported here.

370

380

390

400-410

Items shall only be reported in one of the below sub-categories, also in case both provisions are not met.

400

Article 417(c) of REGULATION (EU) NO 575/2013

410

Article 417(b) of REGULATION (EU) NO 575/2013

420-610

Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

420

Annex III Point 1 REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416 (3) and can thus not be reported under reporting item 1.1.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 "Inflows" if it qualifies as monies due over the next 30 days.

430

Annex III, Point 2 REGULATION (EU) NO 575/2013

Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3.

440-480

Annex III, Point 3 REGULATION (EU) NO 575/2013

Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

440

Annex III, Point 3 REGULATION (EU) NO 575/2013

450

Annex III, Point 3 REGULATION (EU) NO 575/2013

460

Annex III, Point 3 REGULATION (EU) NO 575/2013

470

Annex III, Point 3 REGULATION (EU) NO 575/2013

480

Annex III, Point 3 REGULATION (EU) NO 575/2013

490

Annex III, Point 4 REGULATION (EU) NO 575/2013

500-550

Annex III, Point 5 REGULATION (EU) NO 575/2013

Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

500

Annex III, Point 5 REGULATION (EU) NO 575/2013

510

Annex III, Point 5 REGULATION (EU) NO 575/2013

520

Annex III, Point 5 REGULATION (EU) NO 575/2013

530

Annex III, Point 5 REGULATION (EU) NO 575/2013

540

Annex III, Point 5 REGULATION (EU) NO 575/2013

550

Annex III, Point 6 REGULATION (EU) NO 575/2013

560

Annex III, Point 7 REGULATION (EU) NO 575/2013

570

Annex III, Point 8 REGULATION (EU) NO 575/2013

580

Annex III, Point 9 REGULATION (EU) NO 575/2013

Only to the extent not reported under reporting item 1.5.

590

Annex III, Point 10 REGULATION (EU) NO 575/2013

This item to be included only to the extent not reported under reporting item 1.6.

600

Annex III, Point 11 REGULATION (EU) NO 575/2013

610

Annex III, Point 12 REGULATION (EU) NO 575/2013

620-850

620-640

Article 416 (2) of REGULATION (EU) NO 575/2013

Bonds issued by an investment firm, insurance undertaking, financial holding company, a mixed financial holding company or any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU.

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

620

630

640

650-670

Article 416 (3)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

650

660

670

680-700

REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

680

690

700

710-730

Article 416(4)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

710

720

730

740-760

Article 509(3)(a) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

740

750

760

770

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

780

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

790

Article 509(3)(c) of REGULATION (EU) NO 575/2013

800

Article 509(3)(c) of REGULATION (EU) NO 575/2013

810

Article 509(3)(c) of REGULATION (EU) NO 575/2013

820

Article 509(3)(c) of REGULATION (EU) NO 575/2013

830-850

Article 509(3)(b) of REGULATION (EU) NO 575/2013

830

Article 509(3)(b) of REGULATION (EU) NO 575/2013

840

Article 509(3)(b) of REGULATION (EU) NO 575/2013

850

Article 416(4)(c) of REGULATION (EU) NO 575/2013

860-870

Article 419(2) of REGULATION (EU) NO 575/2013

860

Article 419(2)(a) of REGULATION (EU) NO 575/2013

Total amount of assets held pursuant to derogation A

870

Article 419(2)(b) of REGULATION (EU) NO 575/2013

Total amount of undrawn credit line held pursuant to derogation B

880-900

Article 509(2)(i) of REGULATION (EU) NO 575/2013 of REGULATION (EU) NO 575/2013

880

890

900

1.

Outflows

1.1.

General remarks

  1. (1)

    This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.

  2. (2)

    In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).

  3. (3)

    In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.

1.2.

Outflows sub template

1.2.1.

Instructions concerning specific rows

Row

Legal references and instructions

020-137

Articles 421 to 424 of REGULATION (EU) NO 575/2013.

Liabilities reported in this section have been explicitly identified as a potential source of liquidity outflows, over the next 30 days, for reporting purposes.

020-100

Article 421 of REGULATION (EU) NO 575/2013

Total liability of retail deposits as defined in Article 411(2), including sight deposits and fixed term deposits, of REGULATION (EU) NO 575/2013 shall be reported in column 020. The resulting outflow after having applied the relevant outflow rate shall be reported in column 030.

The following subcategories shall be reported:

020-040

Article 421(1) of REGULATION (EU) NO 575/2013

020

Article 421(1)(a) of REGULATION (EU) NO 575/2013

Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is part of an established relationship making withdrawal highly unlikely.

Retail deposits which are both part of an established relationship making withdrawal highly unlikely and held in transactional accounts, including accounts to which salaries are regularly credited, shall instead be reported in item 1.1.1.2.

030

Article 421(1)(b) of REGULATION (EU) NO 575/2013

Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is held in transactional accounts, including accounts to which salaries are regularly credited, making withdrawal highly unlikely.

040

Article 421(2) of REGULATION (EU) NO 575/2013

Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, those other deposits which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2.

050

Article 421(2) of REGULATION (EU) NO 575/2013

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

060-080

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits subject to higher outflows than those specified in Article 421(1) or 421(2) of REGULATION (EU) NO 575/2013REGULATION (EU) NO 575/2013 shall be reported in the following subcategories:

060

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits identified by institutions to be allocated to category 1.

070

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits identified by institutions to be allocated to category 2.

080

Article 421(3) of REGULATION (EU) NO 575/2013

Retail deposits identified by institutions to be allocated to category 3.

090

Article 421(4) of REGULATION (EU) NO 575/2013

Retail deposits taken in third countries subject to outflows in that third country which are higher than those specified in Article 421(1) or (2) of REGULATION (EU) NO 575/2013.

100

Article 421 (5) of REGULATION (EU) NO 575/2013

Retail deposits exempted from the calculation of outflows, as referred to in Article 421 (5) of REGULATION (EU) NO 575/2013.

110-1130

Article 422 REGULATION (EU) NO 575/2013

Total outflows on other liabilities due over the next 30 days shall be reported in the following subcategories as follows:

Liabilities reported in this section shall only consist of general obligations other than retail deposits defined in Article 411(2) (which shall instead be reported in item 1.1. above).

Liabilities reported here shall fall due over the next 30 days, have an earliest possible contractual maturity date within the next 30 days or have an undefined maturity date. This includes both (i) liabilities with options that are exercisable at the investor's discretion and (ii) liabilities with options exercisable at the institution's discretion where the institution's ability not to exercise the option is limited for reputational reasons. In particular, where the market expects certain liabilities to be redeemed within the next 30 days, before their legal final maturity date, such liabilities shall be included in the appropriate subcategory.

110

Article 422(1) of REGULATION (EU) NO 575/2013

Total amount of liabilities due over the next 30 days resulting from the institution's own operating expenses. Examples include office and utilities expenses, accounting expenses, salary and wages etc and any other costs incurred by the operation of the institution's own activities.

120-950

Article 422(2) of REGULATION (EU) NO 575/2013

For the following subcategories, institutions shall identify the amount of outflows relating to secured lending and capital market driven transactions over the next 30 days, the market value of the corresponding assets which collateralise the transactions and the value of these assets according to Article 418 REGULATION (EU) NO 575/2013.

In accordance with Article 192:

Therefore, any transaction in which the institution has received a collateralised loan in cash, such as repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days shall be reported in this section.

Institutions shall report the market value of the assets securing the secured lending and capital market driven transactions in column 010. Institutions shall report these transactions in one of seven categories:

Category one: where the counterparty is not a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 020 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 030.

Category two: where the counterparty is not a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 040 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 050.

Category three: where the counterparty is not a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 060.

Category four: where the counterparty is a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 070 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 080.

Category five: where the counterparty is a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 090 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 100.

Category six: where the counterparty is a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 110.

Category seven: Where the counterparty is the central government, a public sector entity of the member state in which the credit institution has been authorised or has established a branch, or a multilateral development bank, the amount due shall be reported in column 120.

Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 "Assets".

I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality.

If the institution has deposited both "extremely high", "high" and "other" liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with "other liquidity and credit quality" shall be assigned first. Only once all those assets are fully assigned, shall assets of "high liquidity and credit quality" be assigned. Only once all those assets are assigned too, shall "extremely high liquidity and credit quality" be assigned.

Collateral swaps where the institution simultaneously borrows collateral and lends collateral (in the form of assets other than cash), shall be reported as follows:

The value of the asset borrowed shall be its market value in column 010 and its value according to Article 418 REGULATION (EU) NO 575/2013 in the appropriate column. Collateral swaps only relate to collateral, and there is no underlying "Amount due" to be reported.

The market value of the asset lent shall be reported in the "Market value of the asset securing the transaction" column in the appropriate subcategory of .3 of template "Inflows". Collateral swaps only relate to collateral, and there is no underlying "Amount due" to be reported.

120-190

Article 416(1)(c) REGULATION (EU) NO 575/2013

Transactions backed by transferable assets shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality.

Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013.

120-130

Article 416(1)(c)(i) REGULATION (EU) NO 575/2013

120

Assets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i)

130

Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i)

140-150

Article 416(1)(c)(ii) REGULATION (EU) NO 575/2013

140

Assets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii)

150

Assets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii)

160-170

Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013

160

Assets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii)

170

Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii)

180-190

Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013

180

Assets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv)

190

Assets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv)

200-220

Article 416(6) of REGULATION (EU) NO 575/2013

Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

200

210

220

230

Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013

240-260

Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013

Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013 and in accordance with 1.2.2 above, in the appropriate sub-category.

240

250

260

270-290

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

270

280

290

300-320

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

300

310

320

330-350

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

330

340

350

360-380

Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

360

370

380

390-410

Article 416.1(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category

Only items that are not specified in the rows above shall be reported here.

390

400

410

420-440

Article 416.1(d) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2, Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category.

Only items that are not specified in the rows above shall be reported here.

420

430

440

450-460

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

450

Article 417(c) of REGULATION (EU) NO 575/2013

460

Article 417(b) of REGULATION (EU) NO 575/2013

480-680

Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

Only items that are not specified elsewhere in the template shall be reported here.

480

Annex III, Point 1 of REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.1.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template "Inflows" if it qualifies as monies due over the next 30 days.

490

Annex III, Point 2 of REGULATION (EU) NO 575/2013

Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3.

500-540

Annex III, Point 3 of REGULATION (EU) NO 575/2013

Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

500

Annex III, Point 3 of REGULATION (EU) NO 575/2013

510

Annex III, Point 3 of REGULATION (EU) NO 575/2013

520

Annex III, Point 3 REGULATION (EU) NO 575/2013

530

Annex III, Point 3 of REGULATION (EU) NO 575/2013

540

Annex III, Point 3 of REGULATION (EU) NO 575/2013

550

Annex III, Point 4 of REGULATION (EU) NO 575/2013

570-610

Annex III, Point 5 of REGULATION (EU) NO 575/2013

Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

570

Annex III, Point 5 of REGULATION (EU) NO 575/2013

580

Annex III, Point 5 of REGULATION (EU) NO 575/2013

590

Annex III, Point 5 of REGULATION (EU) NO 575/2013

600

Annex III, Point 5 of REGULATION (EU) NO 575/2013

610

Annex III, Point 5 of REGULATION (EU) NO 575/2013

620

Annex III, Point 6 of REGULATION (EU) NO 575/2013

630

Annex III, Point 7 of REGULATION (EU) NO 575/2013

640

Annex III, Point 8 of REGULATION (EU) NO 575/2013

650

Annex III, Point 9 of REGULATION (EU) NO 575/2013

Total amount of standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance.

660

Annex III, Point 10 of REGULATION (EU) NO 575/2013

670

Annex III, Point 11 of REGULATION (EU) NO 575/2013

680

Annex III, Point 12 of REGULATION (EU) NO 575/2013

690-920

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

690-710

Article 416 (2) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

690

700

710

720-740

Article 416 (3)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

720

730

740

750-770

Article 416 of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

750

760

770

780-800

Article 416(4)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

780

790

800

810-830

Article 509(3) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

810

820

830

840

Article 509(3)(c) of REGULATION (EU) NO 575/2013

850

Article 509(3)(c) of REGULATION (EU) NO 575/2013

860

Article 509(3)(c) of REGULATION (EU) NO 575/2013

870

Article 509(3)(c) of REGULATION (EU) NO 575/2013

880

Article 509(3)(c) of REGULATION (EU) NO 575/2013

890

Article 509(3)(c) of REGULATION (EU) NO 575/2013

900-920

Article 509(3)(b) of REGULATION (EU) NO 575/2013

900

Article 509(3)(b) of REGULATION (EU) NO 575/2013

910

Article 509(3)(b) of REGULATION (EU) NO 575/2013

920

Article 416(4)(c) of REGULATION (EU) NO 575/2013

930-950

Articles 419(2)(a) of REGULATION (EU) NO 575/2013 and 509(2)(i)

These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.

930

940

950

960-1030

Article 422(3) of REGULATION (EU) NO 575/2013

Total amount of deposits, including sight deposits and fixed term deposits, that have to be maintained by the depositor shall be reported in the following subcategories in columns 010 "Amount deposited by clients that are financial customers" and column 030 "Amount deposited by clients that are not financial customers" dependent on the counterparty type, as follows:

960-990

Article 422(3)(a) of REGULATION (EU) NO 575/2013

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage), shall be reported in the following subcategories as follows:

[Note: A clearing relationship, in this context, refers to a service arrangement that enables customers to transfer funds (or securities) indirectly through direct participants in domestic settlement systems to final recipients. Such services are limited to the following activities: transmission, reconciliation and confirmation of payment orders; daylight overdraft, overnight financing and maintenance of post-settlement balances; and determination of intra-day and final settlement positions. Clearing and related services must be provided under a legally binding agreement to institutional customers (Basel III liquidity rules text paragraph 75).

A custody relationship, in this context, refers to the provision of safekeeping, reporting, processing of assets and/or the facilitation of the operational and administrative elements of related activities on behalf of customers in the process of their transacting and retaining financial assets. Custody related services must be provided under a legally binding custodial services or other similar agreement to institutional customers. Such services are limited to the settlement of securities transactions, the transfer of contractual payments, the processing of collateral, the execution of foreign currency transactions, the holding of related cash balances and the provision of ancillary cash management services. Also included is the receipt of dividends and other income, client subscriptions and redemptions, scheduled distributions of client funds and the payment of fees, taxes and other expenses. Custodial services can furthermore extend to asset and corporate trust servicing, treasury, escrow, funds transfer, stock transfer and agency services, including payment and settlement services (excluding correspondent banking), trade financing, and depository receipts (Basel III liquidity rules text paragraph 76).

A cash management relationship, in this context, refers to the provision of cash management and related services to customers. Cash management and related]

960-970

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows:

960

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and where there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality.

970

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country yet there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows:

980-990

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows:

980

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality.

990

Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows:

1000

Article 422(3)(c)

Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2.

1010

Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 which are deposits relating to correspondent banking or prime brokerage services.

1020

Article 422(3)(b) of REGULATION (EU) NO 575/2013

Total amount of deposits that have to be maintained by the depositor in the context of common task sharing within an institutional protection scheme meeting or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme.

1030

Article 422(3)(d) of REGULATION (EU) NO 575/2013

Total amount of deposits that have to be maintained by the depositor to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions;

1040

Article REGULATION (EU) NO 575/2013422(3), last paragraph

Total amount of deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f)

1050

Article 416(1)(f)

Total amount of liquidity lines for assets specified in Article 416(1)(f)

1060-1070

Article 422(5) of REGULATION (EU) NO 575/2013

Total amount of liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients.

1060

1070

1060

Article 422(6) of REGULATION (EU) NO 575/2013

The net amount of payable expected over the 30 day horizon from the contracts listed in Annex II.

Amounts shall:

  • be net across all counterparties
  • be net of collateral to be received that qualifies as liquid assets under Article 416
  • not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon

Note net amount receivable shall be reported in 1.3 "Inflows" item 1.1.6 (net amount receivable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)).

1090-1100

Article 422(8) of REGULATION (EU) NO 575/2013

Total amount of liabilities for which the competent authority has determined a lower outflow on a case-by-case basis, shall be reported in the following subcategories as follows:

1090

Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), (c) and (d) are met.

1100

Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8.

1110-1120

Articles 420(1)(e) and 420(2) of REGULATION (EU) NO 575/2013

Total amount of all liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013.

1110

1120

1130

Article 422(7) of REGULATION (EU) NO 575/2013

Total amount of all other liabilities.

1140-1210

Total amount of all additional outflows, shall be reported in the following subcategories as follows:

1140

Article 423(1) of REGULATION (EU) NO 575/2013

Total amount of all additional outflows for collateral other than assets referred to in Article 416(1) (a) to (c) which is posted by the institution for contracts listed in Annex II, shall be reported in the following subcategories as follows:

1150

Article 423(2) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution.

1160

Article 423(3) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to additional collateral needs that would result from the impact of an adverse market scenario.

1170

Article 423(4) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets.

1180

Article 423(5)(a) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty

1190

Article 423(5)(b) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to collateral that is due to be returned to a counterparty

1200

Article 423(5)(c) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the credit institution.

1210

Article 423(6) of REGULATION (EU) NO 575/2013

Total amount of outflows corresponding to deposits received as collateral

1220-1370

Total maximum amount that could be drawn from undrawn credit and liquidity facilities, shall be reported in the following subcategories as follows:

[Note: This maximum amount that can be drawn may be assessed net of the value according to Article 418 of collateral to be provided if the institution can reuse the collateral and if the collateral in the form of liquid assets in accordance with Article 416. The collateral to be provided may not be assets issued by the counterparty of the facility or one of its affiliated entities. If the necessary information is available to the institution, the maximum amount that can be drawn for credit and liquidity facilities provided to SSPEs shall be determined as the maximum amount that could be drawn given an SSPEs own obligations coming due over the next 30 days.]

1220

Article 424(2) REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for retail clients if they qualify for the retail exposure class under the Standardised or IRB approaches for credit risk.

1230-1240

Article 424(3) of REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for clients other than retail and financial customers, where they meet the following conditions:

1230

Total amount of 1.4.2 that constitute undrawn committed credit facilities

1240

Total amount of 1.4.2 that constitute undrawn committed liquidity facilities

1250

Article 424(4) of REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers.

1260-1270

Article 424(5) of REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn credit and liquidity facilities to customers other than that reported in 1.4.1, 1.4.2 or 1.4.3. This includes:

1260

Article 424(5) point (a) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relates to items granted to SSPEs other than those in 1.4.3

1270

Article 424.5 point (b) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relate to arrangements under which the institution is required to buy or swap assets from an SSPE

1280-1290

Article 424.5 point (c) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relates to items extended to credit institutions

1280

Total amount of 1.4.4.3 that relate to undrawn committed credit facilities

1290

Total amount of 1.4.4.3 that relate to undrawn committed liquidity facilities

1300-1310

Article 424.5 point (d) of REGULATION (EU) NO 575/2013

Total amount of 1.4.4 that relates to items extended to financial institutions and investment firms excluding credit institutions

1300

Total amount of 1.4.4.4 that relate to undrawn committed credit facilities

1310

Total amount of 1.4.4.4 that relate to undrawn committed liquidity facilities

1320

Total amount of 1.4.4 that relates to items extended to other clients

1330

Total amount of 1.4.4 that relates to items extended to a intra-group REGULATION (EU) NO 575/2013 entities

1340

Article 424(6) of REGULATION (EU) NO 575/2013

Total maximum amount that could result from undrawn credit and liquidity facilities granted for the sole purpose of directly or indirectly funding promotional loans qualifying for the exposure classes referred to in those paragraphs 2 and 3. Those promotional loans shall be available only to persons who are not financial customers on a non-competitive, not for profit basis in order to promote public policy objectives of that Member State central or regional government. It shall only be possible to draw on such facilities following a request for a promotional loan and up to the amount of such request.

1350

Total maximum amount that could result from all other contingent liabilities. These contingent funding obligations may be either contractual or non-contractual and are not lending commitments. Non-contractual contingent funding obligations include associations with, or sponsorship of, products sold or services provided that may require the support or extension of funds in the future under stressed conditions. Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the institution that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations.

1360

Amount of 1.4.6 that is extended to an intra-group REGULATION (EU) NO 575/2013 entities

1370

Total outflows stemming from the risk factors mentioned in points (a) and (d) of Article 105 REGULATION (EU) NO 575/2013 to the extent that they are expected to occur with 30 days.

1.

Inflows

1.1.

General remarks

  1. (1)

    This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.

  2. (2)

    In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:

    1. (i)

      comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.

    2. (ii)

      be reported in full,.

  3. (3)

    In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.

  4. (4)

    In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.

1.2.

Inflows sub template

1.2.1.

Instructions concerning specific rows

Row

Legal references and instructions

010-030

INFLOWS

Article 425 REGULATION (EU) NO 575/2013

Total inflows.

Monies due reported in this section have been explicitly identified as a potential source of liquidity inflows, over the next 30 days, for reporting purposes, in Article 425 of REGULATION (EU) NO 575/2013.

Amounts reported in the "amount column" in each subcategory shall be full amounts i.e. not reduced, by the percentages given in the REGULATION (EU) NO 575/2013.

010-980

Article 425 of REGULATION (EU) NO 575/2013

Column 010 refers to the total amount of monies due, whereas column 020 refers to the relevant inflow, after application of inflow rate where applicable.

010-060

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days, (including interest payments) from customers that are not financial customers, shall be reported in the following subcategories as follows:

[Note: these include maturing loans that have already been agreed to be rolled-over. Non-maturing loans are assumed not to represent a cash inflow and shall not be reported here].

010

Articles 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days from retail customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

020

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days from non-financial corporate customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

030

Article 425(2)(e) REGULATION (EU) NO 575/2013

Of the amount reported in 1.1.2, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4).

040

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Monies due over the next 30 days from central banks, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

050

Article 425(2)(e) of REGULATION (EU) NO 575/2013

Of the amount reported in 1.1.3, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4).

060

Article 425(2)(a) of REGULATION (EU) NO 575/2013

Total amount of monies due over the next 30 days from customers that are not financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments), not included in rows 1.1.1 to 1.1.3.

070-080

Article 425(2) REGULATION (EU) NO 575/2013

Total amount of monies due over the next 30 days from financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).

Secured lending and capital market transactions shall be reported in section 1.2.

070

Article 425(2)e) of REGULATION (EU) NO 575/2013

Of the amount reported in 1.2, monies due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4).

080

Article 422(8) of REGULATION (EU) NO 575/2013

Of the amount reported in 1.2, monies due that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8)

090

Article 425(2)(b) REGULATION (EU) NO 575/2013

Monies from trade financing transactions according to article 425(2)(b)

100

Article 425(2)(c) REGULATION (EU) NO 575/2013

Assets with an undefined contractual end date according to Article 425(2)(c)

110

Article 425(2)(f) REGULATION (EU) NO 575/2013

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

120-930

Article 425(2)(d) of REGULATION (EU) NO 575/2013

For the following subcategories, institutions shall identify the amount of inflows relating to secured lending and capital market driven transactions over the next 30 days and the market value of the corresponding assets which collateralise the transactions.

In accordance with Article 192:

Therefore, any transaction in which the institution has provided a collateralised loan in cash, such as reverse repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days, shall be reported in this section.

Institutions shall report the amount due with 30 days in columns 010, 030 and 050 and the market value of the assets securing the secured lending and capital market driven transactions in columns 020, 040 and 060, depending on the asset quality category the asset has been allocated to (extremely high liquidity and credit quality, high liquidity and credit quality and other liquidity and credit quality).

Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 "Assets".

I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality.

If the institution has received both "extremely high", "high" and "other" liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with "other liquidity and credit quality" shall be assigned first. Only once all those assets are fully assigned, shall assets of "high liquidity and credit quality" be assigned. Only once all those assets are assigned too, shall "extremely high liquidity and credit quality" be assigned.

120-190

Article 416.1(c) REGULATION (EU) NO 575/2013

Transactions backed by transferable assets shall be reported here, in the appropriate sub-category.

Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality.

Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013.

120-130

Article 416(1)(c)(i) REGULATION (EU) NO 575/2013

120

Assets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i)

130

Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i)

140-150

Article 416(1)(c)(ii) REGULATION (EU) NO 575/2013

140

Assets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii)

150

Assets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii)

160-170

Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013

160

Assets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii)

170

Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii)

180-190

Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013

180

Assets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv)

190

Assets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv)

200-220

Article 416(6) of REGULATION (EU) NO 575/2013

Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here, using the appropriate sub-category according to the LCR liquid assets template.

200

210

220

230

Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met

240-260

Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013

Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013, using the appropriate sub-category.

240

250

260

270-290

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, using the appropriate sub-category

270

280

290

300-320

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category

300

310

320

330-350

Article 416(2)(a)(i)REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category

330

340

350

360-380

Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 in the appropriate sub-category

360

370

380

390-410

Article 416.1(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category

Only items that are not specified in the rows above shall be reported here.

390

400

410

420-440

Article 416.1(d) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category.

Only items that are not specified in the rows above shall be reported here.

420

430

440

450-460

Items shall only be reported in one of the below sub-categories, also in case both provisions are not met.

450

Article 417(c) of REGULATION (EU) NO 575/2013

460

Article 417(b) of REGULATION (EU) NO 575/2013

470-660

Institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.

These items shall be reported here in the appropriate sub-category.

Only items that are not specified elsewhere in the template shall be reported here.

470

Annex III Point 1 REGULATION (EU) NO 575/2013

Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.1.

Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 "Inflows" if it qualifies as monies due over the next 30 days.

480

Annex III, Point 2 REGULATION (EU) NO 575/2013

Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.3.

490-530

Annex III, Point 3 REGULATION (EU) NO 575/2013

Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 3 of Annex III. Of which:

490

Annex III, Point 3 REGULATION (EU) NO 575/2013

500

Annex III, Point 3 REGULATION (EU) NO 575/2013

510

Annex III, Point 3 REGULATION (EU) NO 575/2013

520

Annex III, Point 3 REGULATION (EU) NO 575/2013

530

Annex III, Point 3 REGULATION (EU) NO 575/2013

540

Annex III, Point 4 REGULATION (EU) NO 575/2013

550-590

Annex III, Point 5 REGULATION (EU) NO 575/2013

Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which:

550

Annex III, Point 5 REGULATION (EU) NO 575/2013

560

Annex III, Point 5 REGULATION (EU) NO 575/2013

570

Annex III, Point 5 REGULATION (EU) NO 575/2013

580

Annex III, Point 5 REGULATION (EU) NO 575/2013

590

Annex III, Point 5 REGULATION (EU) NO 575/2013

600

Annex III, Point 6 REGULATION (EU) NO 575/2013

610

Annex III, Point 7 REGULATION (EU) NO 575/2013

620

Annex III, Point 8 REGULATION (EU) NO 575/2013

630

Annex III, Point 9 REGULATION (EU) NO 575/2013

Total amount of standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance.

640

Annex III, Point 10 REGULATION (EU) NO 575/2013

650

Annex III, Point 11 REGULATION (EU) NO 575/2013

660

Annex III, Point 12 REGULATION (EU) NO 575/2013

670-920

These items shall be reported here in the appropriate sub-category of the liquid assets template.

670-690

Article 416 (2) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

670

680

690

700-720

Article 416 (3)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

700

710

720

730-750

Article 416 of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013

730

740

750

760-780

Article 416(4)(b) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

760

770

780

790-810

Article 509(3) of REGULATION (EU) NO 575/2013

Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013

790

800

810

820

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

830

Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013

840

Article 509(3)(c) of REGULATION (EU) NO 575/2013

850

Article 509(3)(c) of REGULATION (EU) NO 575/2013

860

Article 509(3)(c) of REGULATION (EU) NO 575/2013

870

Article 509(3)(c) of REGULATION (EU) NO 575/2013

880-900

Article 509(3)(b) of REGULATION (EU) NO 575/2013

880

Article 509(3)(b) of REGULATION (EU) NO 575/2013

890

Article 509(3)(b) of REGULATION (EU) NO 575/2013

900

Article 416(4)(c) of REGULATION (EU) NO 575/2013

910-930

Article 509(2)(i) of REGULATION (EU) NO 575/2013

910

920

930

940-960

Article 425(4) of REGULATION (EU) NO 575/2013

Total amount of undrawn credit and liquidity facilities and other commitments received from intra-group entities for which the competent authority has granted a higher inflow on a case-by-case basis, shall be reported in the following subcategories as follows:

940

Article 425(4)(a),(b) and (c) REGULATION (EU) NO 575/2013

Total amount of monies due for which the competent authority has granted the permission to apply a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b) and (c) are met.

950

Article 425(4) (a), (b), (c) and (d) of REGULATION (EU) NO 575/2013

Total amount of monies due for which the competent authority has granted the permission to apply, a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b), (c) and are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8 and where the condition of Article 425(4)(d) has been waived.

960

Article 425(3) of REGULATION (EU) NO 575/2013

The net amount of receivables expected over the 30 day horizon from the contracts listed in Annex II.

Amounts shall:

  • be net across all counterparties
  • be net of collateral to be received that qualifies as liquid assets under Art 416
  • not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon

Note net amount payable shall be reported in 1.2 "Outflows" item 1.2.7 (net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416).

970

Article 425(7) of REGULATION (EU) NO 575/2013

The total amount of any payment due on assets that qualify as liquid assets according to Article 416, not reflected in the market value of that asset.

980

Total amount of all other inflows due not reported in items 1.1 to 1.8

990

Total monies due which are excluded due to an inflow cap which is set at 75 % of liquidity outflows in accordance with Article 425(1) of REGULATION (EU) NO 575/2013. This will require to be checked by reference to total outflows as calculated from the outflows template.

1000-1030

1000

Article 425(1) of REGULATION (EU) NO 575/2013

Mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) as in defined in Article 52(4) of Directive 2009/65/EC

1010

Article 425(1) of REGULATION (EU) NO 575/2013

1020

Total amount of inflows which are deposits placed with other institutions which qualify for the treatments set out in Article 113(6) and Article 113(7), and are therefore exempt from the cap on inflows.

Article 425(1) of REGULATION (EU) NO 575/2013

1030

Article 425(1) of REGULATION (EU) NO 575/2013

General remarks

  1. (1)

    This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).

    1. (a)

      Collateral swaps sub template

      1. (i)

        Instructions concerning specific rows

        Row

        Legal references and instructions

        Article 415(1) paragraph 2 of REGULATION (EU) NO 575/2013.

        Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1).

        Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as "other assets" in this template.

        Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported.

        Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported.

        010-060

        010

        Article 416(1)(a) REGULATION (EU) NO 575/2013

        020

        Article 416(1)(b) REGULATION (EU) NO 575/2013

        030-060

        Article 416(1)(c) of REGULATION (EU) NO 575/2013

        The following subcategories shall be reported:

        030

        Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013

        040

        Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013

        050

        Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013

        060

        Article 416(1)(c)(iv) of REGULATION (EU) NO 575/2013

1.

Items providing stable funding

1.1.

General remarks

  1. (1)

    This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.

  2. (2)

    All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.

  3. (3)

    In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:

    1. (a)

      liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.

    2. (b)

      liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.

    3. (c)

      liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.

    4. (d)

      liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.

    5. (e)

      liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.

  4. (4)

    Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.

  5. (5)

    For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.

1.2.

Items providing stable funding

1.2.1.

Instructions concerning specific rows

Row

Legal references and instructions

010-250

Article 427 of REGULATION (EU) NO 575/2013

Total amount of own funds shall be reported in column J of the following subcategories as follows:

[Note: except item 1.1.3, instruments which would otherwise qualify as "own funds" but no longer meet the definition, such as instruments which no longer qualify due to their maturity, shall instead be reported in the applicable subcategory of section 1.2 "Liabilities excluding own funds"]

010-030

Article 427(1)(a) of REGULATION (EU) NO 575/2013

The subcomponents of own funds, after deductions have been applied, consisting of the sum of Tier 1 capital and Tier 2 capital as specified in Articles 25 and 71 of REGULATION (EU) NO 575/2013, and related elements

010

Article 427(1)(a)(i) of REGULATION (EU) NO 575/2013

Total amount of Tier 1 capital as specified in Article 25 of REGULATION (EU) NO 575/2013.

020

Article 427(1)(a)(ii) of REGULATION (EU) NO 575/2013

Total amount of Tier 2 capital as specified in Article 71 of REGULATION (EU) NO 575/2013.

030

Article 427(1)(a)(iii) of REGULATION (EU) NO 575/2013

Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater.

040-260

Article 427(1)(b) of REGULATION (EU) NO 575/2013

Total amount of liabilities excluding own funds shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows:

040-060

Article 427(1)(b)(i-ii)) of REGULATION (EU) NO 575/2013

Total amount of retail deposits shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows:

040

Article 427(1)(b)(i) of REGULATION (EU) NO 575/2013

Total amount of retail deposits in accordance with Article 421(1) REGULATION (EU) NO 575/2013 as reported in item 1.1.1 of the liquidity coverage template "outflows", for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 "Outflows".

050

Article 427(1)(b)(ii) of REGULATION (EU) NO 575/2013

Total amount of retail deposits in accordance with Article 421(2) REGULATION (EU) NO 575/2013, as reported in items 1.1.2-1.1.3 of the liquidity coverage template "outflows", for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 "Outflows".

060

Total amount of retail deposits subject to higher outflows than specified in Articles 421(1) and 421 (2), as reported in item 1.1.4 of the liquidity coverage template "outflows".

070-130

Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013, 427(1)(b)(iii)

Total amount of liabilities from customers that are not financial customers.

070-090

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount of liabilities from secured lending and capital market driven transactions s defined in Article 192, from customers that are not financial customers

070

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by assets of extremely high liquidity and credit quality as reported in 1.1 Assets section 1 as "Extremely high liquidity and credit quality assets".

080

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by assets of high liquidity and credit quality as reported in 1.1 Assets section 1 as "High liquidity and credit quality assets".

090

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2.

100

Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013

Total amount of liabilities from unsecured lending from customers that are not financial customers.

110-130

Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013

The total amount of liabilities that qualify for the treatment in Article 422 (3) and (4).

110

Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme.

120

Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.3, the total amount of deposits that fall under point (b) of Article 422(3).

130

Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3).

140-200

Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013

Total amount of liabilities from customers that are financial customers

140-160

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount of liabilities from secured lending and capital market driven transactions as defined in Article 192, from customers that are financial customers

140

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by extremely high liquidity and credit quality assets as reported in 1.1 Assets section 1 as "Extremely high liquidity and credit quality assets".

150

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by high liquidity and credit quality assets as reported in 1.1 Assets section 1 as "High liquidity and credit quality assets".

160

Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013

Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2.

170

Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013

Total amount of liabilities from unsecured lending to customers that are financial customers.

180-200

Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013

The total amount of liabilities that qualify for the treatment in Article 422(3) and (4).

180

Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.3.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme.

190

Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.3.3, the total amount of deposits that fall under point (b) of Article 422(3).

200

Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013

Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3).

210

Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013

Total amount of liabilities resulting from securities issued qualifying for the treatment in Article 129 (covered bonds).

220

Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013

Total amount of liabilities resulting from securities issued qualifying for the treatment defined in Article 52(4) of Directive 2009/65/EC (covered bonds).

230

Article 427(1)(b)(xi) of REGULATION (EU) NO 575/2013

Total amount of liabilities resulting from securities issued, other than those reported in 1.1.

240

Total amount of liabilities from derivatives payables contracts.

250

Article 427(1)(b)(xii) of REGULATION (EU) NO 575/2013

Total amount of any other liabilities.

2.

Items requiring stable funding

2.1.

General remarks

  1. (1)

    This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.

  2. (2)

    All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.

  3. (3)

    Treatment of maturity:

    1. (i)

      In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:

      1. (a)

        assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.

      2. (b)

        assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.

      3. (c)

        assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.

      4. (d)

        assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.

      5. (e)

        assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.

    2. (ii)

      For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.

    3. (iii)

      Assets shall be reported according to their residual contract maturity and not behavioural assumptions.

  4. (4)

    In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:

    1. (i)

      The amount of assets reported which are unencumbered shall be reported in the first sub-category.

    2. (ii)

      The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:

      1. (i)

        for a period within three months

      2. (ii)

        for a period between three and 6 months

      3. (iii)

        for a period between 6 and 9 months

      4. (iv)

        for a period between 9 and 12 months

      5. (v)

        for a period greater than 12 months

  5. (5)

    Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:

    1. (i)

      Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.

    2. (ii)

      Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.

    3. (iii)

      Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.

  6. (6)

    Treatment of derivatives payables and receivables:

    1. (i)

      An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. "Required funding" and template 1.2 "Stable funding" accordingly.

2.2.

Items requiring stable funding

2.2.1.

Instructions concerning specific rows

Row

Legal references and instructions

010-1320

Total assets shall be reported as follows:

Assets shall be reported according to the closer of their maturity date and the earliest date at which they can contractually be called.

010-470

Article 428(1)(a) of REGULATION (EU) NO 575/2013

Total assets referred to in Article 416 shall be reported within the relevant sub-line(s) and column(s)

010

Articles 416(1)(a)

Total amount of cash including coins and banknotes/currency.

020

Articles 416(1)(a)

Total amount of deposits held with central banks.

030

Article 416(1)(a)

Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress.

040-050

Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013

Total amount of transferable assets referred to in Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013

040

050

060-070

Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013

060

070

080-150

Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013

080

090

100

110

120

130

140

150

152-153

Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013

152

153

160-230

Article 416(6) of REGULATION (EU) NO 575/2013

Total market value of shares or units in CIU's as referred to in Article 416(6) of REGULATION (EU) NO 575/2013

160

170

175

180

190

200

210

220

230

232-233

232

233

234

240-290

240

250

260

270

280

290

300-350

Article 416(1)(b) or (d) of REGULATION (EU) NO 575/2013

300

310

320

330

340

350

351

352

353

354

355

356

357

358

359

360

361

362

363

364

365

366

370

380

390

400

410

420-470

420

430

440

450

460

470

480-530

Article 428(1)(b) (i)of REGULATION (EU) NO 575/2013

Total securities and money market instruments not already reported in item 1.1

Total market value of bonds as defined in Article 428(1)(b)(i) of REGULATION (EU) NO 575/2013

480

490

500

510

520

530

540-590

Total market value of bonds as defined in Article 428(1)(b)(ii) of REGULATION (EU) NO 575/2013

540

550

560

570

580

580

600-650

Total market value of bonds as defined in Article 428(1)(b)(iii) of REGULATION (EU) NO 575/2013

600

amount unencumbered

610

amount encumbered for a period within three months

620

amount encumbered for a period between three and 6 months

630

amount encumbered for a period between 6 and 9 months

640

amount encumbered for a period between 9 and 12 months

650

amount encumbered for a period greater than 12 months

660-710

Article 428(1)(c) of REGULATION (EU) NO 575/2013

Total equity securities of non-financial entities listed on a major index in a recognised exchange

660

670

680

690

700

710

720-770

Article 428(1)(d) of REGULATION (EU) NO 575/2013

Total equity securities not reported in 1.3

720

730

740

750

760

770

780-830

Article 428(1)(e) of REGULATION (EU) NO 575/2013

780

790

800

810

820

830

840-890

Article 428(1)(f) of REGULATION (EU) NO 575/2013

Total holdings of precious metals other than gold

[Note: examples include silver or platinum. Gold shall be reported in item 1.5 instead.]

840

850

860

870

880

890

900-1250

Article 428(1)(g) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables as referred to in Article 428(1)(g) of REGULATION (EU) NO 575/2013 shall be reported within the relevant sub-line(s) and column(s)

900-950

Article 428(1)(g)(i) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers of which are natural persons and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million.

900

910

920

930

940

960

960-1010

Article 428(1)(g)(ii) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million.

960

970

980

990

1000

1010

1020-1070

Article 428(1)(g)(iii) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are sovereigns, central banks and public sector entities (PSEs)

1020

1030

1040

1050

1060

1070

1080-1130

Article 428(1)(g)(iv) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are not referred to in item 1.7.1, 1.7.2 or 1.7.3 and excluding financial customers.

1080

1090

1100

1110

1120

1130

1140-1190

Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are credit institutions.

1140

1150

1160

1170

1180

1190

1200-1250

Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013

Total non-renewable loans and receivables where the borrowers are financial customers.

1200

1210

1220

1230

1240

1250

1260-1280

Article 428(1) (h) REGULATION (EU) NO 575/2013

1260

Article 428(1)(h)(i) REGULATION (EU) NO 575/2013

1270

Article 428(1)(h)(ii) REGULATION (EU) NO 575/2013

1280

Article 428(1)(h)(iii) REGULATION (EU) NO 575/2013

1290

Article 428(1)(i) of REGULATION (EU) NO 575/2013

Total net derivatives receivables

1300

Article 428(1)(j) of REGULATION (EU) NO 575/2013

Any other assets, not already reported in 1.1.1-1.8 above

Note: assets deducted from own funds shall be reported in item 1.10.

1310

Article 428(1) of REGULATION (EU) NO 575/2013

All assets, deducted from own funds for the purpose of complying with REGULATION (EU) NO 575/2013 capital rules

1320

Article 428(1)(k) of REGULATION (EU) NO 575/2013

Credit facilities as referred to in Article 428(1)(k) of REGULATION (EU) NO 575/2013