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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 (Text with EEA relevance)

Type Implementing Regulation
Publication 2021-03-19
Last updated 2024-09-01
State In force
Department European Commission, FISMA
Source EUR-Lex
articles 24
Reform history JSON API
Row Legal references and instructions
0010 1 REQUIRED STABLE FUNDING Chapter 4 of Title IV of Part Six CRR Institutions shall report here items subject to the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR.
0020 1.1  RSF from central bank assets Points (c) and (d) of Article 428r(1) and point (d) of Article 428ad CRR Institutions shall report here central bank assets. A reduced RSF factor may apply in accordance with Article 428p(7) CRR.
0030 1.1.1  cash, reserves and HQLA exposures to central banks Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to the Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column.
0040 1.1.1.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.1.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0050 1.1.1.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0060 1.1.1.3  encumbered for a residual maturity of one year or more The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of one year or more
0070 1.1.2  other non-HQLA central bank exposures Institutions shall report here any other claims on central banks other than those reported under item 1.1.1.
0080 1.2  RSF from liquid assets Points (a) and (b) of Article 428r(1) to Article 428ae CRR Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.
0090 1.2.1  level 1 assets eligible for 0 % LCR haircut Institutions shall report here assets that are eligible as level 1 liquid assets and shares or units in CIUs that are eligible for a 0 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0100 1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0110 1.2.1.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0120 1.2.1.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more
0130 1.2.2  level 1 assets eligible for 5 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0140 1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0150 1.2.2.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0160 1.2.2.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more
0170 1.2.3  level 1 assets eligible for 7 % LCR haircut Institutions shall report here assets that are eligible as level 1 extremely high quality covered bonds pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0180 1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0190 1.2.3.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0200 1.2.3.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of one year or more
0210 1.2.4  level 1 assets eligible for 12 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 12 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0220 1.2.4.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0230 1.2.4.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0240 1.2.4.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.4 that is encumbered for a residual maturity of one year or more
0250 1.2.5  level 2A assets eligible for 15 % LCR haircut Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0260 1.2.5.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0270 1.2.5.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.5 that is encumbered for a residual maturity of at least six months but less than one year
0280 1.2.5.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more
0290 1.2.6  level 2A assets eligible for 20 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 20 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0300 1.2.6.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0310 1.2.6.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0320 1.2.6.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of one year or more
0330 1.2.7  level 2B securitizations eligible for 25 % LCR haircut Institutions shall report here level 2B securitizations that are eligible for a 25 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0340 1.2.7.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.7 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0350 1.2.7.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0360 1.2.7.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of one year or more
0370 1.2.8  level 2B assets eligible for 30 % LCR haircut Institutions shall report here high quality covered bonds and shares or units in CIUs that are eligible for a 30 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0380 1.2.8.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.8 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0390 1.2.8.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0400 1.2.8.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of one year or more
0410 1.2.9  level 2B assets eligible for 35 % LCR haircut Institutions shall report here level 2B securitizations and shares or units in CIUs that are eligible for a 35 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0420 1.2.9.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.9 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0430 1.2.9.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0440 1.2.9.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of one year or more
0450 1.2.10  level 2B assets eligible for 40 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 40 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0460 1.2.10.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.10 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0470 1.2.10.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0480 1.2.10.3  encumbered for a residual maturity of one year or more The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of one year or more
0490 1.2.11  level 2B assets eligible for 50 % LCR haircut Institutions shall report here level 2B assets pursuant to Delegated Regulation (EU) 2015/61, excluding level 2B securitizations and high quality covered bonds. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0500 1.2.11.1  unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.11 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year
0510 1.2.11.2  encumbered for a residual maturity of one year or more The amount reported under 1.2.11 that is related to assets that are encumbered for a residual maturity of one year or more
0520 1.2.12  level 2B assets eligible for 55 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 55 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.
0530 1.2.12.1  unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.12 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year
0540 1.2.12.2  encumbered for a residual maturity of one year or more The amount reported under 1.2.12 that is related to assets that are encumbered for a residual maturity of one year or more
0550 1.2.13  HQLAs encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported in 1.2 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR
0560 1.3  RSF from securities other than liquid assets Points (e) and (f) of Article 428ag CRR Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements laid down therein.
0570 1.3.1  non-HQLA securities and exchange traded equities Points (e) and (f) of Article 428ag and point (b) of Article 428ah(1) CRR The amount reported in 1.3 that is related to non-HQLA securities other than non-exchange traded equities, excluding the securities reported under item 1.3.3. Exchange traded equities shall be reported in the one or more than one year time bucket.
0580 1.3.1.1  unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.3.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year
0590 1.3.1.2  encumbered for a residual maturity of one year or more The amount reported under 1.3.1 that is related to assets that are encumbered for a residual maturity of one year or more
0600 1.3.2  non-HQLA non-exchange traded equities Point (b) of Article 428ah(1) CRR;The amount reported under 1.3 that is related to non-exchange traded equity, excluding the securities reported under item 1.3.3.
0610 1.3.3  non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR
0620 1.4  RSF from loans Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR. As specified under Article 428q(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.
0630 1.4.1  Operational deposits Point (b) of Article 428ad and point (b) of article 428ah(1) CRR; the amount reported under 1.4 that is related to deposits that are operational pursuant to Delegated Regulation (EU) 2015/61
0640 1.4.2  securities financing transactions with financial customers Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 1.4 that is related to monies due from securities financing transactions with financial customers
0650 1.4.2.1  collateralized by level 1 assets eligible for 0 % LCR haircut Point (g) of Article 428r(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions collateralized by level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61
0660 1.4.2.1.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.2.1 related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0670 1.4.2.1.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0680 1.4.2.1.3  encumbered for a residual maturity of one year or more The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of one year or more
0690 1.4.2.2  collateralized by other assets Point (b) of Article 428s(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions that are collateralized by assets other than level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61
0700 1.4.2.2.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.2.2 related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0710 1.4.2.2.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0720 1.4.2.2.3  encumbered for a residual maturity of one year or more The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of one year or more
0730 1.4.3  other loans and advances to financial customers Point (a) of Articles 428v and point (d)(iii) of Article 428ad CRR; the amount reported under 1.4 arising from other loans and advances to financial customers not reported under 1.4.1 and 1.4.2
0740 1.4.4  assets encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported under 1.4 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR
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 Point (c) of Articles 428ad and Article 428af CRR; the amount reported under 1.4 that is related to loans secured by mortgages on residential property or residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to financial customers and loans referred to in Articles 428r to 428ad CRR, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three CRR
0760 1.4.5.0.1.  of which, residential mortgages The amount reported under 1.4.5 that is related to exposures secured by mortgages on residential property
0770 1.4.5.1  unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months
0780 1.4.5.2  encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year
0790 1.4.5.3  encumbered for a residual maturity of one year or more The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of one year or more
0800 1.4.6  other loans to non-financial customers other than central banks Point (c) of Article 428ad and point (c) of 428ag CRR; the amount reported under 1.4.5 that is related to loans to non-financial customers other than central banks with a risk weight of more than 35 % in accordance with Chapter 2 of Title II of Part Three CRR
0810 1.4.6.0.1  of which, residential mortgages The amount reported under 1.4.6 that is related to exposures secured by mortgages on residential property
0820 1.4.6.1  unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.4.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year
0830 1.4.6.2  encumbered a residual maturity of one year or more The amount reported under 1.4.6 that is related to assets that are encumbered for a residual maturity of one year or more
0840 1.4.7  trade finance on-balance sheet products Point (b) of Article 428v, point (e) of Article 428ad and point (d) of Article 428ag CRR; the amount related to trade finance on-balance sheet related products
0850 1.5  RSF from interdependent assets Article 428f and point (f) of Article 428r(1) CRR Institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR.
0860 1.5.1  centralised regulated savings Point (a) of Article 428f(2) CRR; the amount reported under 1.5 that is related to centralized regulated savings
0870 1.5.2  promotional loans and credit and liquidity facilities Point (b) of Article 428f(2) CRR; the amount reported under 1.5 that is related to promotional loans and credit and liquidity facilities
0880 1.5.3  eligible covered bonds Point (c) of Article 428f(2) CRR; the amount reported under 1.5 that is related to eligible covered bonds
0890 1.5.4  derivatives client clearing activities Point (d) of Article 428f(2) CRR; the amount reported under 1.5 that is related to derivative client clearing activities
0900 1.5.5  other Article 428f(1) CRR; the amount reported under 1.5 that is related to assets not referred to in items 1.5.1 to 1.5.4
0910 1.6  RSF from assets within a group or an IPS if subject to preferential treatment Institutions shall report here assets authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR.
0920 1.7  RSF from derivatives Article 428d, Article 428s(2), point (a) of Article 428ag and Article 428ah(2) CRR Institutions shall report here the amount of required stable funding arising from derivatives.
0930 1.7.1  required stable funding for derivative liabilities The amount reported under 1.7 that is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428s(2) CRR
0940 1.7.2  NSFR derivative assets Articles 428d CRR; the amount reported under 1.7 that is calculated as the positive difference between netting sets calculated in accordance with Article 428ah(2) CRR
0950 1.7.3  initial margin posted Point (a) of Article 428ag CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts
0960 1.8  RSF from contributions to CCP default fund Point (b) of Article 428ag CRR Institutions shall report here items posted as contribution to the default fund of a CCP.
0970 1.9  RSF from other assets Institutions shall report here any asset not referred to in items 1.1 to 1.8.
0980 1.9.1  physically traded commodities Point (g) of Article 428ag CRR; the amount reported under 1.9 that is related to physically traded commodities This item shall not include commodity derivatives that fall under item 1.7.
0990 1.9.1.1  unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.9.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year
1000 1.9.1.2  encumbered for a residual maturity of one year or more The amount reported under 1.9.1 that is related to assets that are encumbered for a residual maturity of one year or more
1010 1.9.2  trade date receivables Point (e) of Article 428r(1) CRR; the amount reported under 1.9 that is related to trade date receivables
1020 1.9.3  non-performing assets Point (b) of Article 428ah(1) CRR; the amount reported in 1.9 that is related to non-performing assets
1030 1.9.4  other assets Point (b) of Article 428ah(1) CRR; the amount reported under 1.9 that is related to assets that are not referred to in items 1.9.1 to 1.9.3
1040 1.10  RSF from OBS items Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.9 that are subject to the required stable funding requirements
1050 1.10.1  committed facilities within a group or an IPS if subject to preferential treatment The amount reported under 1.10 that is related to committed facilities authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR
1060 1.10.2  committed facilities Point (c) of Article 428s(1) CRR; the amount reported under 1.10 that is related to committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not reported under item 1.9.1
1070 1.10.3  trade finance off-balance sheet items Point (d) of Article 428s(1), Article 428u and point (c) of Article 428v CRR; the amount reported under 1.10 that is related to trade finance off-balance sheet related product as referred to in Annex I CRR
1080 1.10.4  non-performing off-balance sheet items Point (b) of Article 428ah(1) CRR; the amount reported under 1.10 that is related to non-performing off-balance sheet exposures
1090 1.10.5  other off-balance sheet exposures for which the competent authority has determined RSF factors The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428p(10) CRR

PART III: AVAILABLE STABLE FUNDING

1. Specific remarks

  • 18.All liabilities and own funds shall be reported with a breakdown by their residual maturity in accordance with Article 428j CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following:
  • i. Residual maturity of less than six months or without stated maturity;
  • ii. Residual maturity of a minimum of six months but less than one year;
  • iii. Residual maturity of one year or more.
  • 19.All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428k to 428n CRR, in accordance with Article 428o CRR.
  • 20.All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than six months.
  • 21.According to Article 428j(2) CRR, institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.
  • 22.Furthermore, as established in Article 428o CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor.
  • 23.According to Article 428j(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 21, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.
  • 24.The decision tree for reporting template C 81.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and ‘of which’ items; this however does not mean that they shall not be reported as well.
# Item Decision Action
1 Common Equity Tier 1capital? Yes ID 2.1.1
1 Common Equity Tier 1capital? No # 2
2 Additional Tier 1 capital? Yes ID 2.1.2
2 Additional Tier 1 capital? No # 3
3 Tier 2 capital? Yes ID 2.1.3
3 Tier 2 capital? No # 4
4 Other capital instruments? Yes ID 2.1.4
4 Other capital instruments? No # 5
5 A liability associated with collateral received as variation margin for derivatives? Yes Do not report.
5 A liability associated with collateral received as variation margin for derivatives? No # 6
6 Trade date payables? Yes ID 2.9.1
6 Trade date payables? No # 7
7 Interdependent liability? Yes Allocate into one relevant item of ID 2.8
7 Interdependent liability? No # 8
8 Liabilities and committed facilities within a group or an IPS for which the competent authority has granted a preferential treatment? Yes ID 2.4
8 Liabilities and committed facilities within a group or an IPS for which the competent authority has granted a preferential treatment? No # 9
9 NSFR derivative liabilities? Yes ID 2.7
9 NSFR derivative liabilities? No # 10
10 Deferred tax liabilities? Yes ID 2.9.2
10 Deferred tax liabilities? No # 11
11 Minority interests? Yes ID 2.9.3
11 Minority interests? No # 12
12 Stable retail deposits? Yes ID 2.2.1
12 Stable retail deposits? No # 13
13 Other retail deposits? Yes ID 2.2.2
13 Other retail deposits? No # 14
14 Liabilities where the counterparty cannot be determined? Yes ID 2.6
14 Liabilities where the counterparty cannot be determined? No # 15
15 Liabilities provided by central banks? Yes Allocate into ID 2.5.1 or 2.5.2
15 Liabilities provided by central banks? No # 16
16 Liabilities provided by financial customers? Yes Allocate into one relevant item of ID 2.5.3
16 Liabilities provided by financial customers? No # 17
17 Liabilities from non-financial customers other than central banks? Yes Allocate into relevant item of ID 2.3
17 Liabilities from non-financial customers other than central banks? No # 18
18 Any other liabilities not considered in the above categories? Yes ID 2.9.4
18 Any other liabilities not considered in the above categories? No Do not report.

2. Instructions concerning specific columns

Column Legal references and instructions
0010-0030 Amount Institutions shall report in columns 0010-0030 the amount of liabilities and own funds allocated to the applicable residual maturity bucket.
0040-0060 Standard ASF factor The standard factors in columns 0040-0060 are those specified in Chapter 3 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that constitutes available stable funding. They shall be provided for information only and are not meant to be filled in by institutions.
0070-0090 Applicable ASF factor Chapter 2 and Chapter 3 of Title IV of Part Six CRR. Institutions shall report in columns 0070-0090 the applicable ASF factors in Chapter 3 of Title IV of Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.
0100 Available Stable Funding Institutions shall report in column 0100 the value of the available stable funding in accordance with the definition set out in Article 428i CRR. This shall be calculated using the following formula: c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.

3. Instructions concerning specific rows

Row Legal references and instructions
0010 2. AVAILABLE STABLE FUNDING Chapter 3 of Title IV of Part Six CRR
0020 2.1  ASF from capital items and instruments Institutions shall report here the sum of items reported under 2.1.1 to 2.1.4.
0030 2.1.1  Common Equity Tier 1 Point (a) of Article 428o CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR
0040 2.1.2  Additional Tier 1 Point (b) of Article 428o and point (d) of Article 428k(3) CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR.
0050 2.1.3  Tier 2 Point (c) of Article 428o and point (d) of Article 428k(3) CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of one year or more at the reporting reference date
0060 2.1.4  Other capital instruments Point (d) of Article 428o and point (d) of Article 428k(3) CRR; other capital instruments with a residual maturity of one year or more at the reporting reference date
0070 2.2.  ASF from retail deposits Institutions shall report here the sum of items reported under 2.2.1 and 2.2.2. This item includes both unsecured and secured liabilities.
0080 2.2.0.1  of which, retail bonds Article 428i CRR Institutions shall report here bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as ‘stable retail deposits’ or ‘other retail deposits’ under items 2.2.1 and 2.2.2 respectively.
0090 2.2.1.  Stable retail deposits Article 428n CRR Institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the Commission delegated Regulation (EU) 2015/61 respectively and where: These deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission delegated Regulation (EU) 2015/61 in which case they shall be reported as ‘other retail deposits’; or These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as ‘other retail deposits’.
0100 2.2.0.2  of which with a material early withdrawable penalty Article 428j(3) CRR Stable retail deposits that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61.
0110 2.2.2  Other retail deposits Article 428m CRR Institutions shall report the amount of other retail deposits than those captured as ‘stable retail deposits’ under item 2.2.1.
0120 2.2.0.3  of which with a material early withdrawable penalty ‘Other retail deposits’ that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61
0130 2.3  ASF from other non-financial customers (except central banks) Article 428l CRR; liabilities provided by wholesale non-financial customers (except central banks) Institutions shall report here the sum of items under 2.3.1 to 2.3.6.
0140 2.3.0.1  of which, securities financing transactions Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 2.3 that is related to monies due from securities financing transactions with non-financial customers
0150 2.3.0.2  of which, operational deposits The amount reported under 2.3 that is provided in the form of operational deposits and is required for the provision of operational services as set out in Article 27 of Delegated Regulation (EU) 2015/61
0160 2.3.1  Liabilities provided by the central government of a Member State or a third country Point (b)(i) of Article 428l CRR; the amount reported under 2.3 that is provided by the central government of a Member State or a third country
0170 2.3.2  Liabilities provided by regional governments or local authorities of a Member State or a third country Point (b)(ii) of Article 428l CRR; the amount reported under 2.3 that is provided by regional governments or local authorities of a Member State or a third country
0180 2.3.3  Liabilities provided by public sector entities of a Member State or a third country Point (b)(iii) of Article 428l CRR; the amount reported under 2.3 that is provided by public sector entities of a Member State or a third country
0190 2.3.4  Liabilities provided by multilateral development banks and international organisations Point (b)(iv) of Article 428l CRR; the amount reported under 2.3 that is provided by multilateral development banks and international organisations
0200 2.3.5  Liabilities provided by non-financial corporate customers Point (b)(v) of Article 428l CRR; the amount reported under 2.3 that is provided by non-financial corporate customers
0210 2.3.6  Liabilities provided by credit unions, personal investment companies and deposit brokers Point (b)(vi) of Article 428l CRR; the amount reported under 2.3 that is provided by credit unions, personal investment companies and deposit brokers
0220 2.4  ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment Article 428h CRRInstitutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR.
0230 2.5  ASF from financial customers and central banks Institutions shall report here the sum of items reported under 2.5.1 to 2.5.3.
0240 2.5.0.1  of which sight deposits provided by network member to central institution Article 428g CRR Central institutions in an IPS or in cooperative networks shall report the sight deposits received by institutions belonging to that IPS or cooperative network that are treated as liquid assets by the depositing institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61.
0250 2.5.1  Liabilities provided by the ECB or the central bank of a Member State Point (c)(i) of Article 428k(3) and point (c)(i) of Article 428l CRR; liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are related to securities financing transactions
0260 2.5.2  Liabilities provided by the central bank of a third country Point (c)(ii) of Article 428k(3) and point (c)(ii) of Article 428l CRR; liabilities provided by the central bank of a third country irrespective of whether or not they are related to securities financing transactions
0270 2.5.3  Liabilities provided by financial customers Point (c)(iii) of Article 428k(3) and point (c)(iii) of Article 428l CRR; liabilities provided by financial customers irrespective of whether or not they are related to securities financing transactions
0280 2.5.3.1  Operational deposits Point (a) of Article 428l CRR Institutions shall report here the part of the operational deposits from financial customers, in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which is necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Delegated Regulation (EU) 2015/61 shall be reported under item 2.5.3.3. Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ‘ASF from other non-financial customers (except central banks)’. The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under item 2.5.3.2.
0290 2.5.3.2  Excess operational deposits Institutions shall report here the part of the operational deposits from financial customers in excess of those required for the provision of operational services. Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ‘ASF from other non-financial customers (except central banks)’.
0300 2.5.3.3  Other liabilities Institutions shall report here liabilities provided by financial customer that are not operational deposits where the counterparty can be identified. The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under item 2.5.3.2.
0310 2.6  ASF from liabilities provided where the counterparty cannot be determined Point (d) of Article 428k(3) and point (d) of Article 428l CRR Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified.
0320 2.7  ASF from net derivatives liabilities The negative difference between netting sets calculated in accordance with Article 428k(4) CRR
0330 2.8  ASF from interdependent liabilities Institutions shall report here liabilities that are interdependent with assets in accordance with Article 428f CRR. Institutions shall report here the sum of items 2.8.1 to 2.8.5.
0340 2.8.1  Centralised regulated savings Liabilities related to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR
0350 2.8.2  Promotional loans and relevant credit and liquidity facilities Liabilities related to promotional loans and credit and liquidity facilities that are interdependent with assets in accordance with point (b) of Article 428f(2) CRR.
0360 2.8.3  Eligible covered bonds Liabilities related to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR
0370 2.8.4  Derivatives client clearing activities Liabilities related to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR
0380 2.8.5  Others Liabilities that fulfil all the conditions established in Article 428f(1) CRR and to be treated as interdependent with assets in accordance with Article 428f(1) CRR
0390 2.9  ASF from other liabilities Institutions shall report here the sum of items reported under 2.9.1 to 2.9.4.
0400 2.9.1  Trade date payables Point (a) of Article 428k(3) CRR Institutions shall report here trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle.
0410 2.9.2  Deferred tax liabilities Point (a) of Article 428k(1) CRR Institution shall report here deferred tax liabilities and shall consider the nearest possible date on which their amount can be realised as residual maturity.
0420 2.9.3  Minority interests Point (b) of Article 428k(1) CRR Institution shall report here minority interests and shall consider the term of the instrument as residual maturity.
0430 2.9.4  Other liabilities Articles 428k(1) and 428k(3) CRR Institutions shall report here other liabilities, including short positions and open maturity positions.

PART IV: SIMPLIFIED REQUIRED STABLE FUNDING

1. Specific remarks

  • 25.Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet.
  • 26.In accordance with Article 428aq CRR, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors.
  • 27.Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.
  • 28.All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428ar CRR. The maturity buckets of the amount, standard factors and applicable factors are the following:
  • i. Residual maturity of less than one year or without stated maturity;
  • ii. Residual maturity of one year or more.
  • 29.When calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date.
  • 30.For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428aq CRR.
  • 31.The decision tree for reporting template C 82.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well.
  • 32.As specified under Article 428aq(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed.
# Item Decision Action
1 Netting sets of derivative contracts with a negative fair value gross of collateral posted or settlement payments and receipts related to market valuation changes of these contracts? Yes ID 1.7.1
1 Netting sets of derivative contracts with a negative fair value gross of collateral posted or settlement payments and receipts related to market valuation changes of these contracts? No # 2
2 An asset or an off-balance sheet item posted as initial margin for derivatives? Yes ID 1.7.3
2 An asset or an off-balance sheet item posted as initial margin for derivatives? No # 3
3 An asset or an off-balance sheet item posted as contribution to CCP default fund? Yes ID 1.8
3 An asset or an off-balance sheet item posted as contribution to CCP default fund? No # 4
4 An item on which the institution retains beneficial ownership? Yes # 5
4 An item on which the institution retains beneficial ownership? No # 19
5 An asset associated with collateral posted as initial or variation margin for derivatives or as contribution to CCP default fund? Yes Do not report.
5 An asset associated with collateral posted as initial or variation margin for derivatives or as contribution to CCP default fund? No # 6
6 Non-performing assets or defaulted securities? Yes ID 1.9
6 Non-performing assets or defaulted securities? No # 7
7 Trade date receivables? Yes ID 1.9
7 Trade date receivables? No # 8
8 Interdependent assets? Yes Allocate into one relevant item of ID 1.5
8 Interdependent assets? No # 9
9 Assets within a group or an IPS for which the competent authority has granted the preferential treatment? Yes ID 1.6
9 Assets within a group or an IPS for which the competent authority has granted the preferential treatment? No # 10
10 Central bank assets? Yes Allocate into one relevant item of ID 1.1
10 Central bank assets? No # 11
11 Liquid assets? Yes Allocate into one relevant item of ID 1.2.1 to 1.2.4
11 Liquid assets? No # 12
12 Non-liquid asset securities? Yes ID 1.3
12 Non-liquid asset securities? No # 13
13 Trade finance on-balance sheet products? Yes ID 1.4.3
13 Trade finance on-balance sheet products? No # 14
14 NSFR derivative assets? Yes ID 1.7.2
14 NSFR derivative assets? No # 15
15 Loans? Yes # 16
15 Loans? No # 20
16 Loans to non-financial customers? Yes ID 1.4.1
16 Loans to non-financial customers? No # 17
17 Loans to financial customers? Yes ID 1.4.2
17 Loans to financial customers? No # 18
18 Any other asset not considered in the above categories? Yes ID 1.9
18 Any other asset not considered in the above categories? No Do not report.
19 An off-balance sheet exposure? Yes # 20
19 An off-balance sheet exposure? No Do not report.
20 Non-performing exposure? Yes ID 1.10.4
20 Non-performing exposure? No # 21
21 Committed facilities? Yes # 22
21 Committed facilities? No # 23
22 Committed facilities for which the competent authority has granted the preferential treatment? Yes ID 1.10.1
22 Committed facilities for which the competent authority has granted the preferential treatment? No ID 1.10.2
23 Trade finance off-balance sheet item? Yes ID 1.10.3
23 Trade finance off-balance sheet item? No # 24
24 Other off-balance sheet exposure for which the competent authority has determined the RSF factor? Yes ID 1.10.5
24 Other off-balance sheet exposure for which the competent authority has determined the RSF factor? No Do not report.

2. Instructions concerning specific columns

Column Legal references and instructions
0010-0020 Amount of non-HQLA Institutions shall report in columns 0010-0020 the amount, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 7 of Title IV of Part Six CRR. The amount shall be reported in columns 0010-0020 when the corresponding item is not eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.
0030 Amount of HQLA See instructions in columns 0010-0020. The amount shall be reported in column 0030 when the corresponding item is eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.
0040-0060 Standard RSF factor Section 2 of Chapter 7 of Title IV of Part Six CRR The standard factors in columns 0040-0060 are those specified in Chapter 7 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions.
0070-0900 Applicable RSF factor Chapter 2 and Chapter 7 CRR Institutions shall report in columns 0070-0900 the applicable factor applied to items in Chapter 7 of Title IV of Part Six CRR. Applicable factors may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.
0100 Required stable funding: Institutions shall report in Column 0100 the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR. This shall be calculated using the following formula: c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.

3. Instructions concerning specific rows

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