|
21.4.2021 |
EN |
Official Journal of the European Union |
L 136/328 |
Corrigendum to Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014
( Official Journal of the European Union 97 of 19 March 2021 )
On page 1468, Annex XII is replaced as follows:
‘ANNEX XII
REPORTING ON NET STABLE FUNDING RATIO
|
LIQUIDITY TEMPLATES |
||
|
Template number |
Template code |
Name of the template/group of templates |
|
NSFR |
||
|
80 |
C 80.00 |
REQUIRED STABLE FUNDING |
|
81 |
C 81.00 |
AVAILABLE STABLE FUNDING |
|
SIMPLIFIED NSFR |
||
|
82 |
C 82.00 |
SIMPLIFIED REQUIRED STABLE FUNDING |
|
83 |
C 83.00 |
SIMPLIFIED AVAILABLE STABLE FUNDING |
|
SUMMARY NSFR |
||
|
84 |
C 84.00 |
SUMMARY NSFR |
C 80.00 — NSFR — REQUIRED STABLE FUNDING
Currency
|
|
Amount |
Standard RSF factor |
Applicable RSF factor |
Required stable funding |
|||||||||||
|
Non-HQLA by maturity |
HQLA |
Non-HQLA by maturity |
HQLA |
Non-HQLA by maturity |
HQLA |
||||||||||
|
< 6 months |
≥ 6 months to < 1 year |
≥ 1 year |
< 6 months |
≥ 6 months to < 1 year |
≥ 1 year |
< 6 months |
≥ 6 months to < 1 year |
≥ 1 year |
|||||||
|
Row |
ID |
Item |
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
|
0010 |
1 |
REQUIRED STABLE FUNDING |
|
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|
0020 |
1.1 |
RSF from central bank assets |
|
|
|
|
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|
|
|
|
|
|
|
|
0030 |
1.1.1 |
cash, reserves and HQLA exposures to central banks |
|
|
|
|
|
|
|
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|
|
|
|
|
|
0040 |
1.1.1.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
0 % |
0 % |
0 % |
0 % |
|
|
|
|
|
|
0050 |
1.1.1.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
50 % |
50 % |
50 % |
50 % |
|
|
|
|
|
|
0060 |
1.1.1.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
100 % |
100 % |
100 % |
100 % |
|
|
|
|
|
|
0070 |
1.1.2 |
other non-HQLA central bank exposures |
|
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
|
|
0080 |
1.2 |
RSF from liquid assets |
|
|
|
|
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|
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|
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|
0090 |
1.2.1 |
level 1 assets eligible for 0 % LCR haircut |
|
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|
|
|
|
|
|
|
0100 |
1.2.1.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
0 % |
|
|
|
|
|
|
0110 |
1.2.1.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0120 |
1.2.1.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0130 |
1.2.2 |
level 1 assets eligible for 5 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0140 |
1.2.2.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
5 % |
|
|
|
|
|
|
0150 |
1.2.2.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0160 |
1.2.2.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0170 |
1.2.3 |
level 1 eligible for 7 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0180 |
1.2.3.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
7 % |
|
|
|
|
|
|
0190 |
1.2.3.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0200 |
1.2.3.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0210 |
1.2.4 |
level 1 assets eligible for 12 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0220 |
1.2.4.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
12 % |
|
|
|
|
|
|
0230 |
1.2.4.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0240 |
1.2.4.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0250 |
1.2.5 |
level 2A assets eligible for 15 % LCR haircut |
|
|
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|
|
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|
|
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0260 |
1.2.5.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
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|
15 % |
|
|
|
|
|
|
0270 |
1.2.5.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0280 |
1.2.5.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0290 |
1.2.6 |
level 2A assets eligible for 20 % LCR haircut |
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|
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0300 |
1.2.6.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
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20 % |
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|
0310 |
1.2.6.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0320 |
1.2.6.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0330 |
1.2.7 |
level 2B securitizations eligible for 25 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0340 |
1.2.7.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
25 % |
|
|
|
|
|
|
0350 |
1.2.7.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0360 |
1.2.7.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0370 |
1.2.8 |
level 2B assets eligible for 30 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0380 |
1.2.8.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
30 % |
|
|
|
|
|
|
0390 |
1.2.8.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0400 |
1.2.8.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0410 |
1.2.9 |
level 2B assets eligible for 35 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
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|
0420 |
1.2.9.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
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|
35 % |
|
|
|
|
|
|
0430 |
1.2.9.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0440 |
1.2.9.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0450 |
1.2.10 |
level 2B assets eligible for 40 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0460 |
1.2.10.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
|
|
40 % |
|
|
|
|
|
|
0470 |
1.2.10.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
|
|
50 % |
|
|
|
|
|
|
0480 |
1.2.10.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0490 |
1.2.11 |
level 2B assets eligible for 50 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0500 |
1.2.11.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
|
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|
|
50 % |
|
|
|
|
|
|
0510 |
1.2.11.2 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0520 |
1.2.12 |
level 2B assets eligible for 55 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0530 |
1.2.12.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
|
|
|
|
55 % |
|
|
|
|
|
|
0540 |
1.2.12.2 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
0550 |
1.2.13 |
HQLAs encumbered for a residual maturity of one year or morein cover pool |
|
|
|
|
|
|
|
85 % |
|
|
|
|
|
|
0560 |
1.3 |
RSF from securities other than liquid assets |
|
|
|
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|
|
|
|
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|
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|
0570 |
1.3.1 |
non- HQLA securities and exchange traded equities |
|
|
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|
|
|
|
|
|
|
0580 |
1.3.1.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
|
50 % |
50 % |
85 % |
|
|
|
|
|
|
|
0590 |
1.3.1.2 |
encumbered for a residual maturity of one year or more |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
0600 |
1.3.2 |
non-HQLA non-exchange traded equities |
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
|
0610 |
1.3.3 |
non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool |
|
|
|
|
85 % |
85 % |
85 % |
|
|
|
|
|
|
|
0620 |
1.4 |
RSF from loans |
|
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|
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|
|
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|
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|
0630 |
1.4.1 |
operational deposits |
|
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
|
|
0640 |
1.4.2 |
securities financing transactions with financial customers |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0650 |
1.4.2.1 |
collateralized by level 1 assets eligible for 0 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0660 |
1.4.2.1.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
|
|
0670 |
1.4.2.1.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
|
|
0680 |
1.4.2.1.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
0690 |
1.4.2.2 |
collateralized by other assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0700 |
1.4.2.2.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
5 % |
50 % |
100 % |
|
|
|
|
|
|
|
0710 |
1.4.2.2.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
|
|
0720 |
1.4.2.2.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
0730 |
1.4.3 |
other loans and advances to financial customers |
|
|
|
|
10 % |
50 % |
100 % |
|
|
|
|
|
|
|
0740 |
1.4.4 |
assets encumbered for a residual maturity of one year or morein cover pool |
|
|
|
|
85 % |
85 % |
85 % |
|
|
|
|
|
|
|
0750 |
1.4.5 |
loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0760 |
1.4.5.0.1 |
of which, residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0770 |
1.4.5.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
50 % |
50 % |
65 % |
|
|
|
|
|
|
|
0780 |
1.4.5.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
50 % |
50 % |
65 % |
|
|
|
|
|
|
|
0790 |
1.4.5.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
0800 |
1.4.6 |
other loans to non-financial customers other than central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0810 |
1.4.6.0.1 |
of which, residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0820 |
1.4.6.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
|
50 % |
50 % |
85 % |
|
|
|
|
|
|
|
0830 |
1.4.6.2 |
encumbered for a residual maturity of one year or more |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
0840 |
1.4.7 |
trade finance on-balance sheet products |
|
|
|
|
10 % |
50 % |
85 % |
|
|
|
|
|
|
|
0850 |
1.5 |
RSF from interdependent assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0860 |
1.5.1 |
centralised regulated savings |
|
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
|
|
0870 |
1.5.2 |
promotional loans and credit and liquidity facilities |
|
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
|
|
0880 |
1.5.3 |
eligible covered bonds |
|
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
|
|
0890 |
1.5.4 |
derivatives client clearing activities |
|
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
|
|
0900 |
1.5.5 |
others |
|
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
|
|
0910 |
1.6 |
RSF from assets within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0920 |
1.7 |
RSF from derivatives |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0930 |
1.7.1 |
required stable funding for derivative liabilities |
|
|
|
|
5 % |
|
|
|
|
|
|
|
|
|
0940 |
1.7.2 |
NSFR derivative assets |
|
|
|
|
100 % |
|
|
|
|
|
|
|
|
|
0950 |
1.7.3 |
initial margin posted |
|
|
|
|
85 % |
85 % |
85 % |
85 % |
|
|
|
|
|
|
0960 |
1.8 |
RSF from contributions to CCP default fund |
|
|
|
|
85 % |
85 % |
85 % |
85 % |
|
|
|
|
|
|
0970 |
1.9 |
RSF from other assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0980 |
1.9.1 |
physically traded commodities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0990 |
1.9.1.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
|
|
|
85 % |
|
|
|
|
|
|
|
1000 |
1.9.1.2 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
|
100 % |
|
|
|
|
|
|
|
1010 |
1.9.2 |
trade date receivables |
|
|
|
|
0 % |
|
|
|
|
|
|
|
|
|
1020 |
1.9.3 |
non-performing assets |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
1030 |
1.9.4 |
other assets |
|
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
|
|
1040 |
1.10 |
RSF from OBS items |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1050 |
1.10.1 |
committed facilities within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1060 |
1.10.2 |
committed facilities |
|
|
|
|
5 % |
5 % |
5 % |
|
|
|
|
|
|
|
1070 |
1.10.3 |
trade finance off-balance sheet items |
|
|
|
|
5 % |
7.5 % |
10 % |
|
|
|
|
|
|
|
1080 |
1.10.4 |
non-performing off-balance sheet items |
|
|
|
|
100 % |
100 % |
100 % |
|
|
|
|
|
|
|
1090 |
1.10.5 |
other off-balance sheet exposures for which the competent authority has determined RSF factors |
|
|
|
|
|
|
|
|
|
|
|
|
|
C 81.00 — NSFR — AVAILABLE STABLE FUNDING
Currency
|
Row |
ID |
Item |
Amount |
Standard ASF factor |
Applicable ASF factor |
Available stable funding |
||||||
|
< 6 months |
≥ 6 months to < 1 year |
≥ 1 year |
< 6 months |
≥ 6 months to < 1 year |
≥ 1 year |
< 6 months |
≥ 6 months to < 1 year |
≥ 1 year |
Total |
|||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
|||
|
0010 |
2 |
AVAILABLE STABLE FUNDING |
|
|
|
|
|
|
|
|
|
|
|
0020 |
2.1 |
ASF from capital items and instruments |
|
|
|
|
|
|
|
|
|
|
|
0030 |
2.1.1 |
Common Equity Tier 1 |
|
|
|
|
|
100 % |
|
|
|
|
|
0040 |
2.1.2 |
Additional Tier 1 |
|
|
|
0 % |
0 % |
100 % |
|
|
|
|
|
0050 |
2.1.3 |
Tier 2 |
|
|
|
0 % |
0 % |
100 % |
|
|
|
|
|
0060 |
2.1.4 |
Other capital instruments |
|
|
|
0 % |
0 % |
100 % |
|
|
|
|
|
0070 |
2.2 |
ASF from retail deposits |
|
|
|
|
|
|
|
|
|
|
|
0080 |
2.2.0.1 |
of which, retail bonds |
|
|
|
|
|
|
|
|
|
|
|
0090 |
2.2.1 |
Stable retail deposits |
|
|
|
95 % |
95 % |
100 % |
|
|
|
|
|
0100 |
2.2.0.2 |
of which with a material early withdrawable penalty |
|
|
|
|
|
100 % |
|
|
|
|
|
0110 |
2.2.2 |
Other retail deposits |
|
|
|
90 % |
90 % |
100 % |
|
|
|
|
|
0120 |
2.2.0.3 |
of which with a material early withdrawable penalty |
|
|
|
|
|
100 % |
|
|
|
|
|
0130 |
2.3 |
ASF from other non-financial customers (except central banks) |
|
|
|
|
|
|
|
|
|
|
|
0140 |
2.3.0.1 |
of which, securities financing transactions |
|
|
|
|
|
|
|
|
|
|
|
0150 |
2.3.0.2 |
of which, operational deposits |
|
|
|
|
|
|
|
|
|
|
|
0160 |
2.3.1 |
Liabilities provided by the central government of a Member State or a third country |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0170 |
2.3.2 |
Liabilities provided by regional governments or local authorities of a Member State or a third country |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0180 |
2.3.3 |
Liabilities provided by public sector entities of a Member State or a third country |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0190 |
2.3.4 |
Liabilities provided by multilateral development banks and international organisations |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0200 |
2.3.5 |
Liabilities provided by non-financial corporate customers |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0210 |
2.3.6 |
Liabilities provided by credit unions, personal investment companies and deposit brokers |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0220 |
2.4 |
ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
|
|
|
|
|
0230 |
2.5 |
ASF from financial customers and central banks |
|
|
|
|
|
|
|
|
|
|
|
0240 |
2.5.0.1 |
of which, sight deposits provided by network member to central institution |
|
|
|
|
|
|
|
|
|
|
|
0250 |
2.5.1 |
Liabilities provided by the ECB or the central bank of a Member State |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0260 |
2.5.2 |
Liabilities provided by the central bank of a third country |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0270 |
2.5.3 |
Liabilities provided by financial customers |
|
|
|
|
|
|
|
|
|
|
|
0280 |
2.5.3.1 |
Operational deposits |
|
|
|
50 % |
50 % |
100 % |
|
|
|
|
|
0290 |
2.5.3.2 |
Excess operational deposits |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0300 |
2.5.3.3 |
Other liabilities |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0310 |
2.6 |
ASF from liabilities provided where the counterparty cannot be determined |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0320 |
2.7 |
ASF from net derivatives liabilities |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0330 |
2.8 |
ASF from interdependent liabilities |
|
|
|
|
|
|
|
|
|
|
|
0340 |
2.8.1 |
Centralised regulated savings |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0350 |
2.8.2 |
Promotional loans and relevant credit and liquidity facilities |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0360 |
2.8.3 |
Eligible covered bonds |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0370 |
2.8.4 |
Derivatives client clearing activities |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0380 |
2.8.5 |
Others |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0390 |
2.9 |
ASF from other liabilities |
|
|
|
|
|
|
|
|
|
|
|
0400 |
2.9.1 |
Trade date payables |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0410 |
2.9.2 |
Deferred tax liabilities |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0420 |
2.9.3 |
Minority interests |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
|
0430 |
2.9.4 |
Other liabilities |
|
|
|
0 % |
50 % |
100 % |
|
|
|
|
C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING
Currency
|
|
Amount |
Standard RSF factor |
Applicable RSF factor |
Required stable funding |
||||||||
|
Non-HQLA by maturity |
HQLA |
Non-HQLA by maturity |
HQLA |
Non-HQLA by maturity |
HQLA |
|||||||
|
< 1 year |
≥ 1 year |
< 1 year |
≥ 1 year |
< 1 year |
≥ 1 year |
|||||||
|
Row |
ID |
Item |
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
|
0010 |
1 |
REQUIRED STABLE FUNDING |
|
|
|
|
|
|
|
|
|
|
|
0020 |
1.1 |
RSF from central bank assets |
|
|
|
|
|
|
|
|
|
|
|
0030 |
1.1.1 |
cash, reserves and HQLA exposures to central banks |
|
|
|
0 % |
0 % |
0 % |
|
|
|
|
|
0040 |
1.1.2 |
other non-HQLA central bank exposures |
|
|
|
0 % |
100 % |
|
|
|
|
|
|
0050 |
1.2 |
RSF from liquid assets |
|
|
|
|
|
|
|
|
|
|
|
0060 |
1.2.1 |
level 1 assets eligible for 0 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
0070 |
1.2.1.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
0 % |
|
|
|
|
|
0080 |
1.2.1.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
50 % |
|
|
|
|
|
0090 |
1.2.1.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
100 % |
|
|
|
|
|
0100 |
1.2.2 |
level 1 assets eligible for 7 % LCR haircut |
|
|
|
|
|
|
|
|
|
|
|
0110 |
1.2.2.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
10 % |
|
|
|
|
|
0120 |
1.2.2.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
50 % |
|
|
|
|
|
0130 |
1.2.2.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
100 % |
|
|
|
|
|
0140 |
1.2.3 |
level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts |
|
|
|
|
|
|
|
|
|
|
|
0150 |
1.2.3.1 |
unencumbered or encumbered for a residual maturity of less than six months |
|
|
|
|
|
20 % |
|
|
|
|
|
0160 |
1.2.3.2 |
encumbered for a residual maturity of at least six months but less than one year |
|
|
|
|
|
50 % |
|
|
|
|
|
0170 |
1.2.3.3 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
100 % |
|
|
|
|
|
0180 |
1.2.4 |
Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts |
|
|
|
|
|
|
|
|
|
|
|
0190 |
1.2.4.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
|
|
55 % |
|
|
|
|
|
0200 |
1.2.4.2 |
encumbered for a residual maturity of one year or more |
|
|
|
|
|
100 % |
|
|
|
|
|
0210 |
1.3 |
RSF from securities other than liquid assets |
|
|
|
|
|
|
|
|
|
|
|
0220 |
1.3.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
50 % |
85 % |
|
|
|
|
|
|
0230 |
1.3.2 |
encumbered for a residual maturity of one year or more |
|
|
|
100 % |
100 % |
|
|
|
|
|
|
0240 |
1.4 |
RSF from loans |
|
|
|
|
|
|
|
|
|
|
|
0250 |
1.4.1 |
loans to non-financials |
|
|
|
|
|
|
|
|
|
|
|
0260 |
1.4.1.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
50 % |
85 % |
|
|
|
|
|
|
0270 |
1.4.1.2 |
encumbered for a residual maturity of one year or more |
|
|
|
100 % |
100 % |
|
|
|
|
|
|
0280 |
1.4.2 |
loans to financials |
|
|
|
|
|
|
|
|
|
|
|
0290 |
1.4.2.1 |
unencumbered or encumbered for a residual maturity of less than one year |
|
|
|
50 % |
100 % |
|
|
|
|
|
|
0300 |
1.4.2.2 |
encumbered for a residual maturity of one year or more |
|
|
|
100 % |
100 % |
|
|
|
|
|
|
0310 |
1.4.3 |
trade finance on-balance sheet products |
|
|
|
50 % |
85 % |
|
|
|
|
|
|
0320 |
1.5 |
RSF from interdependent assets |
|
|
|
0 % |
0 % |
|
|
|
|
|
|
0330 |
1.6 |
RSF from assets within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
|
|
|
|
|
0340 |
1.7 |
RSF from derivatives |
|
|
|
|
|
|
|
|
|
|
|
0350 |
1.7.1 |
required stable funding for derivative liabilities |
|
|
|
5 % |
|
|
|
|
|
|
|
0360 |
1.7.2 |
NSFR derivative assets |
|
|
|
100 % |
|
|
|
|
|
|
|
0370 |
1.7.3 |
Initial margin posted |
|
|
|
85 % |
85 % |
85 % |
|
|
|
|
|
0380 |
1.8 |
RSF from contributions to CCP default fund |
|
|
|
|
|
|
|
|
|
|
|
0390 |
1.9 |
RSF from other assets |
|
|
|
100 % |
100 % |
|
|
|
|
|
|
0400 |
1.10 |
RSF from OBS items |
|
|
|
|
|
|
|
|
|
|
|
0410 |
1.10.1 |
committed facilities within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
|
|
|
|
|
0420 |
1.10.2 |
commited facilities |
|
|
|
5 % |
5 % |
|
|
|
|
|
|
0430 |
1.10.3 |
trade finance off-balance sheet items |
|
|
|
10 % |
10 % |
|
|
|
|
|
|
0440 |
1.10.4 |
non-performing off-balance sheet items |
|
|
|
100 % |
100 % |
|
|
|
|
|
|
0450 |
1.10.5 |
other off-balance sheet exposures determined by competent authorities |
|
|
|
|
|
|
|
|
|
|
C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING
Currency
|
Row |
ID |
Item |
Amount |
Standard ASF factor |
Applicable ASF factor |
Available stable funding |
|||
|
< 1 year |
≥ 1 year |
< 1 year |
≥ 1 year |
< 1 year |
≥ 1 year |
||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
|||
|
0010 |
2 |
AVAILABLE STABLE FUNDING |
|
|
|
|
|
|
|
|
0020 |
2.1 |
ASF from capital items and instruments |
|
|
0 % |
100 % |
|
|
|
|
0030 |
2.2 |
ASF from retail deposits |
|
|
|
|
|
|
|
|
0040 |
2.2.1 |
Stable retail deposits |
|
|
95 % |
100 % |
|
|
|
|
0050 |
2.2.2 |
Other retail deposits |
|
|
90 % |
100 % |
|
|
|
|
0060 |
2.3 |
ASF from other non-financial customers (except central banks) |
|
|
50 % |
100 % |
|
|
|
|
0070 |
2.4 |
ASF from operational deposits |
|
|
50 % |
100 % |
|
|
|
|
0080 |
2.5 |
ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
|
|
|
0090 |
2.6 |
ASF from financial customers and central banks |
|
|
0 % |
100 % |
|
|
|
|
0100 |
2.7 |
ASF from liabilities provided where the counterparty cannot be determined |
|
|
0 % |
100 % |
|
|
|
|
0110 |
2.8 |
ASF from interdependent liabilities |
|
|
0 % |
|
|
|
|
|
0120 |
2.9 |
ASF from other liabilities |
|
|
0 % |
100 % |
|
|
|
C 84.00 — NSFR Summary
Currency
|
Row |
ID |
Item |
Amount |
Required stable funding |
Available stable funding |
Ratio |
|
0010 |
0020 |
0030 |
0040 |
|||
|
0010 |
1 |
REQUIRED STABLE FUNDING |
|
|
|
|
|
0020 |
1.1 |
RSF from central bank assets |
|
|
|
|
|
0030 |
1.2 |
RSF from liquid assets |
|
|
|
|
|
0040 |
1.3 |
RSF from securities other than liquid assets |
|
|
|
|
|
0050 |
1.4 |
RSF from loans |
|
|
|
|
|
0060 |
1.5 |
RSF from interdependent assets |
|
|
|
|
|
0070 |
1.6 |
RSF from assets within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
0080 |
1.7 |
RSF from derivatives |
|
|
|
|
|
0090 |
1.8 |
RSF from contributions to CCP default fund |
|
|
|
|
|
0100 |
1.9 |
RSF from other assets |
|
|
|
|
|
0110 |
1.10 |
RSF from OBS items |
|
|
|
|
|
0120 |
2 |
AVAILABLE STABLE FUNDING |
|
|
|
|
|
0130 |
2.1 |
ASF from capital items and instruments |
|
|
|
|
|
0140 |
2.2 |
ASF from retail deposits |
|
|
|
|
|
0150 |
2.3 |
ASF from other non-financial customers (except central banks) |
|
|
|
|
|
0160 |
2.4 |
ASF from operational deposits |
|
|
|
|
|
0170 |
2.5 |
ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment |
|
|
|
|
|
0180 |
2.6 |
ASF from financial customers and central banks |
|
|
|
|
|
0190 |
2.7 |
ASF from liabilities provided where the counterparty cannot be determined |
|
|
|
|
|
0200 |
2.8 |
ASF from interdependent liabilities |
|
|
|
|
|
0210 |
2.9 |
ASF from other liabilities |
|
|
|
|
|
0220 |
3 |
NSFR’ |
|
|
|
|