ANNEX XXIV

LIQUIDITY TEMPLATES

Template number

Template code

Name of the template / group of templates

LIQUIDITY COVERAGE TEMPLATES

PART I — LIQUID ASSETS

72

C 72.00

LIQUIDITY COVERAGE — LIQUID ASSETS

PART II — OUTFLOWS

73

C 73.00

LIQUIDITY COVERAGE — OUTFLOWS

PART III — INFLOWS

74

C 74.00

LIQUIDITY COVERAGE — INFLOWS

PART IV — COLLATERAL SWAPS

75

C 75.01

LIQUIDITY COVERAGE — COLLATERAL SWAPS

PART V — CALCULATIONS

76

C 76.00

LIQUIDITY COVERAGE — CALCULATIONS

PART VI — PERIMETER OF CONSOLIDATION

77

C 77.00

LIQUIDITY COVERAGE — PERIMETER

Row

ID

Item

Amount/Market value

Standard weight

Applicable weight

Value in accordance with Article 9

0010

0020

0030

0040

0010

1

TOTAL UNADJUSTED LIQUID ASSETS

0020

1.1

Total unadjusted level 1 assets

0030

1.1.1

Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

0040

1.1.1.1

Coins and banknotes

1,00

0050

1.1.1.2

Withdrawable central bank reserves

1,00

0060

1.1.1.3

Central bank assets

1,00

0070

1.1.1.4

Central government assets

1,00

0080

1.1.1.5

Regional government / local authorities assets

1,00

0090

1.1.1.6

Public Sector Entity assets

1,00

0100

1.1.1.7

Recognisable domestic and foreign currency central government and central bank assets

1,00

0110

1.1.1.8

Credit institution (protected by Member State government, promotional lender) assets

1,00

0120

1.1.1.9

Multilateral development bank and international organisations assets

1,00

0130

1.1.1.10

Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

1,00

0140

1.1.1.11

Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

0,95

0150

1.1.1.12

Alternative Liquidity Approaches: Central bank credit facility

1,00

0160

1.1.1.13

Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution

0170

1.1.1.14

Alternative Liquidity Approaches: Level 2A assets recognised as Level 1

0,80

0180

1.1.2

Total unadjusted LEVEL 1 extremely high quality covered bonds

0190

1.1.2.1

Extremely high quality covered bonds

0,93

0200

1.1.2.2

Qualifying CIU shares/units: underlying is extremely high quality covered bonds

0,88

0210

1.1.2.3

Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution

0220

1.2

Total unadjusted level 2 assets

0230

1.2.1

Total unadjusted LEVEL 2A assets

0240

1.2.1.1

Regional government / local authorities or Public Sector Entity assets (Member State, RW20%)

0,85

0250

1.2.1.2

Central bank or central / regional government or local authorities or Public Sector Entity assets (Third Country, RW20%)

0,85

0260

1.2.1.3

High quality covered bonds (CQS2)

0,85

0270

1.2.1.4

High quality covered bonds (Third Country, CQS1)

0,85

0280

1.2.1.5

Corporate debt securities (CQS1)

0,85

0290

1.2.1.6

Qualifying CIU shares/units: underlying is Level 2A assets

0,80

0300

1.2.1.7

Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

0310

1.2.2

Total unadjusted LEVEL 2B assets

0320

1.2.2.1

Asset-backed securities (residential, CQS1)

0,75

0330

1.2.2.2

Asset-backed securities (auto, CQS1)

0,75

0340

1.2.2.3

High quality covered bonds (RW35%)

0,70

0350

1.2.2.4

Asset-backed securities (commercial or individuals, Member State, CQS1)

0,65

0360

1.2.2.5

Corporate debt securities (CQS2/3)

0,50

0370

1.2.2.6

Corporate debt securities - non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

0,50

0380

1.2.2.7

Shares (major stock index)

0,50

0390

1.2.2.8

Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

0,50

0400

1.2.2.9

Restricted-use central bank committed liquidity facilities

1,00

0410

1.2.2.10

Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

0,70

0420

1.2.2.11

Qualifying CIU shares/units: underlying is High quality covered bonds (RW35%)

0,65

0430

1.2.2.12

Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

0,60

0440

1.2.2.13

Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

0,45

0450

1.2.2.14

Deposits by network member with central institution (no obligated investment)

0,75

0460

1.2.2.15

Liquidity funding available to network member from central institution (non-specified collateralisation)

0,75

0470

1.2.2.16

Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

MEMORANDUM ITEMS

0485

2

Deposits by network member with central institution (obligated investment)

0580

3

Level 1/2A/2B assets excluded due to currency reasons

0590

4

Level 1/2A/2B assets excluded for operational reasons except for currency reasons

Amount

Market value of collateral extended

Value of collateral extended in accordance with Article 9

Standard Weight

Applicable Weight

Outflow

Row

ID

Item

010

020

030

040

050

060

0010

1

OUTFLOWS

0020

1.1

Outflows from unsecured transactions/deposits

0030

1.1.1

Retail deposits

0035

1.1.1.1

deposits exempted from the calculation of outflows

0,00

0040

1.1.1.2

deposits where the payout has been agreed within the following 30 days

1,00

0050

1.1.1.3

deposits subject to higher outflows

0060

1.1.1.3.1

category 1

0,10-0,15

0070

1.1.1.3.2

category 2

0,15-0,20

0080

1.1.1.4

stable deposits

0,05

0090

1.1.1.5

derogated stable deposits

0,03

0100

1.1.1.6

deposits in third countries where a higher outflow is applied

0110

1.1.1.7

other retail deposits

0,10

0120

1.1.2

Operational deposits

0130

1.1.2.1

maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

0140

1.1.2.1.1

covered by DGS

0,05

0150

1.1.2.1.2

not covered by DGS

0,25

0160

1.1.2.2

maintained in the context of IPS or a cooperative network

0170

1.1.2.2.1

not treated as liquid assets for the depositing institution

0,25

0180

1.1.2.2.2

treated as liquid assets for the depositing credit institution

1,00

0190

1.1.2.3

maintained in the context of an established operational relationship (other) with non-financial customers

0,25

0200

1.1.2.4

maintained to obtain cash clearing and central credit institution services within a network

0,25

0203

1.1.3

Excess operational deposits

0204

1.1.3.1

deposits by financial customers

1,00

0205

1.1.3.2

deposits by other customers

0206

1.1.3.2.1

covered by DGS

0,20

0207

1.1.3.2.2

not covered by DGS

0,40

0210

1.1.4

Non-operational deposits

0220

1.1.4.1

correspondent banking and provisions of prime brokerage deposits

1,00

0230

1.1.4.2

deposits by financial customers

1,00

0240

1.1.4.3

deposits by other customers

0250

1.1.4.3.1

covered by DGS

0,20

0260

1.1.4.3.2

not covered by DGS

0,40

0270

1.1.5

Additional outflows

0280

1.1.5.1

collateral other than Level 1 assets collateral posted for derivatives

0,20

0290

1.1.5.2

Level 1 EHQ Covered Bonds assets collateral posted for derivatives

0,10

0300

1.1.5.3

material outflows due to deterioration of own credit quality

1,00

0310

1.1.5.4

impact of an adverse market scenario on derivatives transactions

1,00

0340

1.1.5.5

outflows from derivatives

1,00

0350

1.1.5.6

short positions

0360

1.1.5.6.1

covered by collateralized SFT

0,00

0370

1.1.5.6.2

other

1,00

0380

1.1.5.7

callable excess collateral

1,00

0390

1.1.5.8

due collateral

1,00

0400

1.1.5.9

liquid asset collateral exchangable for non-liquid asset collateral

1,00

0410

1.1.5.10

loss of funding on structured financing activites

0420

1.1.5.10.1

structured financing instruments

1,00

0430

1.1.5.10.2

financing facilites

1,00

0450

1.1.5.11

internal netting of client's positions

0,50

0460

1.1.6

Committed facilities

0470

1.1.6.1

credit facilities

0480

1.1.6.1.1

to retail customers

0,05

0490

1.1.6.1.2

to non-financial customers other than retail customers

0,10

0500

1.1.6.1.3

to credit institutions

0510

1.1.6.1.3.1

for funding promotional loans of retail customers

0,05

0520

1.1.6.1.3.2

for funding promotional loans of non-financial customers

0,10

0530

1.1.6.1.3.3

other

0,40

0540

1.1.6.1.4

to regulated financial institutions other than credit institutions

0,40

0550

1.1.6.1.5

within a group or an IPS if subject to preferential treatment

0560

1.1.6.1.6

within IPS or cooperative network if treated as liquid asset by the depositing institution

0,75

0570

1.1.6.1.7

to other financial customers

1,00

0580

1.1.6.2

liquidity facilities

0590

1.1.6.2.1

to retail customers

0,05

0600

1.1.6.2.2

to non-financial customers other than retail customers

0,30

0610

1.1.6.2.3

to personal investment companies

0,40

0620

1.1.6.2.4

to SSPEs

0630

1.1.6.2.4.1

to purchase assets other than securities from non-financial customers

0,10

0640

1.1.6.2.4.2

other

1,00

0650

1.1.6.2.5

to credit institutions

0660

1.1.6.2.5.1

for funding promotional loans of retail customers

0,05

0670

1.1.6.2.5.2

for funding promotional loans of non-financial customers

0,30

0680

1.1.6.2.5.3

other

0,40

0690

1.1.6.2.6

within a group or an IPS if subject to preferential treatment

0700

1.1.6.2.7

within IPS or cooperative network if treated as liquid asset by the depositing institution

0,75

0710

1.1.6.2.8

to other financial customers

1,00

0720

1.1.7

Other products and services

0731

1.1.7.1

Uncommitted funding facilities

0740

1.1.7.2

undrawn loans and advances to wholesale counterparties

0750

1.1.7.3

mortgages that have been agreed but not yet drawn down

0760

1.1.7.4

credit cards

0770

1.1.7.5

overdrafts

0780

1.1.7.6

planned outflows related to renewal or extension of new retail or wholesale loans

0850

1.1.7.7

derivatives payables

0860

1.1.7.8

trade finance off-balance sheet related products

0870

1.1.7.9

others

0885

1.1.8

Other liabilities and due commitments

0890

1.1.8.1

liabilities resulting from operating expenses

0,00

0900

1.1.8.2

in the form of debt securities if not treated as retail deposits

1,00

0912

1.1.8.4

the excess of funding to non-financial customers

0913

1.1.8.4.1

the excess of funding to retail customers

1,00

0914

1.1.8.4.2

the excess of funding to non financial corporates

1,00

0915

1.1.8.4.3

the excess of funding to sovereigns, MLDBs and PSEs

1,00

0916

1.1.8.4.4

the excess of funding to other legal entities

1,00

0917

1.1.8.5

assets borrowed on an unsecured basis

1,00

0918

1.1.8.6

others

1,00

0920

1.2

Outflows from secured lending and capital market-driven transactions

0930

1.2.1

Counterparty is central bank

0940

1.2.1.1

level 1 excl. EHQ Covered Bonds collateral

0,00

0945

1.2.1.1.1

of which collateral extended meets operational requirements

0950

1.2.1.2

level 1 EHQ Covered Bonds collateral

0,00

0955

1.2.1.2.1

of which collateral extended meets operational requirements

0960

1.2.1.3

level 2A collateral

0,00

0965

1.2.1.3.1

of which collateral extended meets operational requirements

0970

1.2.1.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

0,00

0975

1.2.1.4.1

of which collateral extended meets operational requirements

0980

1.2.1.5

level 2B covered bonds

0,00

0985

1.2.1.5.1

of which collateral extended meets operational requirements

0990

1.2.1.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

0,00

0995

1.2.1.6.1

of which collateral extended meets operational requirements

1000

1.2.1.7

other Level 2B assets collateral

0,00

1005

1.2.1.7.1

of which collateral extended meets operational requirements

1010

1.2.1.8

non-liquid assets collateral

0,00

1020

1.2.2

Counterparty is non-central bank

1030

1.2.2.1

level 1 excl. EHQ Covered Bonds collateral

0,00

1035

1.2.2.1.1

of which collateral extended meets operational requirements

1040

1.2.2.2

level 1 EHQ Covered Bonds collateral

0,07

1045

1.2.2.2.1

of which collateral extended meets operational requirements

1050

1.2.2.3

level 2A collateral

0,15

1055

1.2.2.3.1

of which collateral extended meets operational requirements

1060

1.2.2.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

0,25

1065

1.2.2.4.1

of which collateral extended meets operational requirements

1070

1.2.2.5

level 2B covered bonds

0,30

1075

1.2.2.5.1

of which collateral extended meets operational requirements

1080

1.2.2.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

0,35

1085

1.2.2.6.1

of which collateral extended meets operational requirements

1090

1.2.2.7

other Level 2B assets collateral

0,50

1095

1.2.2.7.1

of which collateral extended meets operational requirements

1100

1.2.2.8

non-liquid assets collateral

1,00

1130

1.3

Total outflows from collateral swaps

MEMORANDUM ITEMS

1170

2

Liquidity outflows to be netted by interdependent inflows

3

Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

1180

3.1

provided by credit institutions

1190

3.2

provided by financial customers other than credit institutions

1200

3.3

provided by sovereigns, central banks, MDBs and PSEs

1210

3.4

provided by other customers

4

Intra group or IPS outflows

1290

4.1

of which: to financial customers

1300

4.2

of which: to non-financial customers

1310

4.3

of which: secured

1320

4.4

of which: credit facilities without preferential treatment

1330

4.5

of which: liquidity facilites without preferential treatment

1340

4.6

of which: operational deposits

1345

4.7

of which: excess operational deposits

1350

4.8

of which: non-operational deposits

1360

4.9

of which: liabilities in the form of debt securities if not treated as retail deposits

1370

5

FX outflows

6

Secured funding waived from Article 17 (2) and (3)

1400

6.1

of which: secured by L1 excl. EHQCB

1410

6.2

of which: secured by L1 EHQCB

1420

6.3

of which: secured by L2A

1430

6.4

of which: secured by L2B

1440

6.5

of which: secured by non-liquid assets

Amount

Market value of collateral received

Standard Weight

Applicable Weight

Value of collateral received in accordance with Article 9

Inflow

Subject to the 75% cap on inflows

Subject to the 90% cap on inflows

Exempted from the cap on inflows

Subject to the 75% cap on inflows

Subject to the 90% cap on inflows

Exempted from the cap on inflows

Subject to the 75% cap on inflows

Subject to the 90% cap on inflows

Exempted from the cap on inflows

Subject to the 75% cap on inflows

Subject to the 90% cap on inflows

Exempted from the cap on inflows

Subject to the 75% cap on inflows

Subject to the 90% cap on inflows

Exempted from the cap on inflows

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0010

1

TOTAL INFLOWS

0020

1.1

Inflows from unsecured transactions/deposits

0030

1.1.1

monies due from non-financial customers (except for central banks)

0040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

1,00

0050

1.1.1.2

other monies due from non-financial customers (except for central banks)

0060

1.1.1.2.1

monies due from retail customers

0,50

0070

1.1.1.2.2

monies due from non-financial corporates

0,50

0080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

0,50

0090

1.1.1.2.4

monies due from other legal entities

0,50

0100

1.1.2

monies due from central banks and financial customers

0110

1.1.2.1

monies due from financial customers being classified as operational deposits

0120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

0130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

0,05

0140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

0150

1.1.2.2.1

monies due from central banks

1,00

0160

1.1.2.2.2

monies due from financial customers

1,00

0170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61

1,00

0180

1.1.4

monies due from trade financing transactions

1,00

0190

1.1.5

monies due from securities maturing within 30 days

1,00

0201

1.1.6

loans with an undefined contractual end date

0,20

0210

1.1.7

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

1,00

0230

1.1.8

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

1,00

0240

1.1.9

inflows from derivatives

1,00

0250

1.1.10

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

0260

1.1.11

other inflows

1,00

0263

1.2

Inflows from secured lending and capital market-driven transactions

0265

1.2.1

Counterparty is central bank

0267

1.2.1.1

collateral that qualifies as a liquid asset

0269

1.2.1.1.1

Level 1 collateral excluding extremely high quality covered bonds

0,00

0271

1.2.1.1.1.1

of which collateral received meets operational requirements

0273

1.2.1.1.2

Level 1 collateral which is extremely high quality covered bonds

0,07

0275

1.2.1.1.2.1

of which collateral received meets operational requirements

0277

1.2.1.1.3

Level 2A collateral

0,15

0279

1.2.1.1.3.1

of which collateral received meets operational requirements

0281

1.2.1.1.4

Level 2B asset backed securities (residential or auto) collateral

0,25

0283

1.2.1.1.4.1

of which collateral received meets operational requirements

0285

1.2.1.1.5

Level 2B high quality covered bonds collateral

0,30

0287

1.2.1.1.5.1

of which collateral received meets operational requirements

0289

1.2.1.1.6

Level 2B asset backed securities (commercial or individuals) collateral

0,35

0291

1.2.1.1.6.1

of which collateral received meets operational requirements

0293

1.2.1.1.7

Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6

0,50

0295

1.2.1.1.7.1

of which collateral received meets operational requirements

0297

1.2.1.2

collateral is used to cover a short position

0299

1.2.1.3

collateral that does not qualify as a liquid asset

0301

1.2.1.3.1

collateral is non-liquid equity

1,00

0303

1.2.1.3.2

all other non-liquid collateral

1,00

0305

1.2.2

Counterparty is non-central bank

0307

1.2.2.1

collateral that qualifies as a liquid asset

0309

1.2.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

0,00

0311

1.2.2.1.1.1

of which collateral received meets operational requirements

0313

1.2.2.1.2

Level 1 collateral which is extremely high quality covered bonds

0,07

0315

1.2.2.1.2.1

of which collateral received meets operational requirements

0317

1.2.2.1.3

Level 2A collateral

0,15

0319

1.2.2.1.3.1

of which collateral received meets operational requirements