ANNEX XIII

Row number

Qualitative information - Free format

(a)

Strategies and processes in the management of the liquidity risk, including policies on diversification in the sources and tenor of planned funding,

(b)

Structure and organisation of the liquidity risk management function (authority, statute, other arrangements).

(c)

A description of the degree of centralisation of liquidity management and interaction between the group’s units

(d)

Scope and nature of liquidity risk reporting and measurement systems.

(e)

Policies for hedging and mitigating the liquidity risk and strategies and processes for monitoring the continuing effectiveness of hedges and mitigants.

(f)

An outline of the bank's contingency funding plans.

(g)

An explanation of how stress testing is used.

(h)

A declaration approved by the management body on the adequacy of liquidity risk management arrangements of the institution providing assurance that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy.

(i)

A concise liquidity risk statement approved by the management body succinctly describing the institution’s overall liquidity risk profile associated with the business strategy. This statement shall include key ratios and figures (other than those already covered in the EU LIQ1 template under this ITS ) providing external stakeholders with a comprehensive view of the institution’s management of liquidity risk, including how the liquidity risk profile of the institution interacts with the risk tolerance set by the management body.

These ratios may include:

a

b

c

d

e

f

g

h

Total unweighted value (average)

Total weighted value (average)

EU 1a

Quarter ending on (DD Month YYY)

T

T-1

T-2

T-3

T

T-1

T-2

T-3

EU 1b

Number of data points used in the calculation of averages

HIGH-QUALITY LIQUID ASSETS

1

Total high-quality liquid assets (HQLA)

CASH - OUTFLOWS

2

Retail deposits and deposits from small business customers, of which:

3

Stable deposits

4

Less stable deposits

5

Unsecured wholesale funding

6

Operational deposits (all counterparties) and deposits in networks of cooperative banks

7

Non-operational deposits (all counterparties)

8

Unsecured debt

9

Secured wholesale funding

10

Additional requirements

11

Outflows related to derivative exposures and other collateral requirements

12

Outflows related to loss of funding on debt products

13

Credit and liquidity facilities

14

Other contractual funding obligations

15

Other contingent funding obligations

16

TOTAL CASH OUTFLOWS

CASH - INFLOWS

17

Secured lending (e.g. reverse repos)

18

Inflows from fully performing exposures

19

Other cash inflows

EU-19a

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

EU-19b

(Excess inflows from a related specialised credit institution)

20

TOTAL CASH INFLOWS

EU-20a

Fully exempt inflows

EU-20b

Inflows subject to 90% cap

EU-20c

Inflows subject to 75% cap

TOTAL ADJUSTED VALUE

EU-21

LIQUIDITY BUFFER

22

TOTAL NET CASH OUTFLOWS

23

LIQUIDITY COVERAGE RATIO

Row number

Qualitative information - Free format

(a)

Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR’s calculation over time

(b)

Explanations on the changes in the LCR over time

(c)

Explanations on the actual concentration of funding sources

(d)

High-level description of the composition of the institution's liquidity buffer.

(e)

Derivative exposures and potential collateral calls

(f)

Currency mismatch in the LCR

(g)

Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile

a

b

c

d

e

(in currency amount)

Unweighted value by residual maturity

Weighted value

No maturity

< 6 months

6 months to < 1yr

≥ 1yr

Available stable funding (ASF) Items

1

Capital items and instruments

2

Own funds

3

Other capital instruments

4

Retail deposits

5

Stable deposits

6

Less stable deposits

7

Wholesale funding:

8

Operational deposits

9

Other wholesale funding

10

Interdependent liabilities

11

Other liabilities:

12

NSFR derivative liabilities

13

All other liabilities and capital instruments not included in the above categories

14

Total available stable funding (ASF)

Required stable funding (RSF) Items

15

Total high-quality liquid assets (HQLA)

EU-15a

Assets encumbered for a residual maturity of one year or more in a cover pool

16

Deposits held at other financial institutions for operational purposes

17

Performing loans and securities:

18

Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut

19

Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions

20

Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:

21

With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk

22

Performing residential mortgages, of which:

23

With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk

24

Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products

25

Interdependent assets

26

Other assets:

27

Physical traded commodities

28

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

29

NSFR derivative assets

30

NSFR derivative liabilities before deduction of variation margin posted

31

All other assets not included in the above categories

32

Off-balance sheet items

33

Total RSF

34

Net Stable Funding Ratio (%)