C 80.00.w - NSFR - Required stable funding (I). Significant currencies





AmountApplicable RSF factorRequired stable funding
Non-HQLA by maturityHQLANon-HQLA by maturityHQLA
< 6 months? 6 months to < 1 year? 1 year < 6 months? 6 months to < 1 year? 1 year
CodeLabel001000200030004000900100011001200130
0010 - REQUIRED STABLE FUNDING
0020RSF from central bank assets455045455044455043455040458585
0030cash, reserves and HQLA exposures to central banks455049455048455047455041458586
0040unencumbered or encumbered for a residual maturity of less than six months455035455034455033455032458036458035458034458033458583
0050encumbered for a residual maturity of at least six months but less than one year455039455038455037455036458040458039458038458037458584
0060encumbered for a residual maturity of one year or more455031455030455029455028458032458031458030458029458582
0070other non-HQLA central bank exposures455053455052455051458047458046458045458587
0080RSF from liquid assets455168458653
0090level 1 assets eligible for 0% LCR haircut455103458628
0100unencumbered or encumbered for a residual maturity of less than six months455077458089458605
0110encumbered for a residual maturity of at least six months but less than one year455086458098458614
0120encumbered for a residual maturity of one year or more455055458067458588
0130level 1 assets eligible for 5% LCR haircut455229458694
0140unencumbered or encumbered for a residual maturity of less than six months465440469143469166
0150encumbered for a residual maturity of at least six months but less than one year465441469144469167
0160encumbered for a residual maturity of one year or more465439469142469165
0170level 1 eligible for 7% LCR haircut455106458631
0180unencumbered or encumbered for a residual maturity of less than six months455080458092458608
0190encumbered for a residual maturity of at least six months but less than one year455089458101458617
0200encumbered for a residual maturity of one year or more455059458071458592
0210level 1 assets eligible for 12% LCR haircut455225458690
0220unencumbered or encumbered for a residual maturity of less than six months455216458330458681
0230encumbered for a residual maturity of at least six months but less than one year455220458334458685
0240encumbered for a residual maturity of one year or more455211458325458676
0250level 2A assets eligible for 15% LCR haircut455107458632
0260unencumbered or encumbered for a residual maturity of less than six months455081458093458609
0270encumbered for a residual maturity of at least six months but less than one year455090458102458618
0280encumbered for a residual maturity of one year or more455060458072458593
0290level 2A assets eligible for 20% LCR haircut455226458691
0300unencumbered or encumbered for a residual maturity of less than six months455217458331458682
0310encumbered for a residual maturity of at least six months but less than one year455221458335458686
0320encumbered for a residual maturity of one year or more455212458326458677
0330level 2B securitizations eligible for 25% LCR haircut455108458633
0340unencumbered or encumbered for a residual maturity of less than six months455082458094458610
0350encumbered for a residual maturity of at least six months but less than one year455091458103458619
0360encumbered for a residual maturity of one year or more455061458073458594
0370level 2B assets eligible for 30% LCR haircut455109458634
0380unencumbered or encumbered for a residual maturity of less than six months455083458095458611
0390encumbered for a residual maturity of at least six months but less than one year455092458104458620
0400encumbered for a residual maturity of one year or more455062458074458595
0410level 2B assets eligible for 35% LCR haircut455105458630
0420unencumbered or encumbered for a residual maturity of less than six months455079458091458607
0430encumbered for a residual maturity of at least six months but less than one year455088458100458616
0440encumbered for a residual maturity of one year or more455057458069458590
0450level 2B assets eligible for 40% LCR haircut465442469168
0460unencumbered or encumbered for a residual maturity of less than six months455218458332458683
0470encumbered for a residual maturity of at least six months but less than one year455222458336458687
0480encumbered for a residual maturity of one year or more455213458327458678
0490level 2B assets eligible for 50% LCR haircut465429469162
0500unencumbered or encumbered for a residual maturity of less than one year455095458107458623
0510encumbered for a residual maturity of one year or more455058458070458591
0520level 2B assets eligible for 55% LCR haircut455228458693
0530unencumbered or encumbered for a residual maturity of less than one year455224458338458689
0540encumbered for a residual maturity of one year or more455214458328458679
0550HQLAs encumbered for a residual maturity of one year or more in a cover pool455075458087458603
0560RSF from securities other than liquid assets455130455129455128458643
0570non- HQLA securities and exchange traded equities455119455118455117458640
0580unencumbered or encumbered for a residual maturity of less than one year455099455098455097458111458110458109458625
0590encumbered for a residual maturity of one year or more455068455067455066458080458079458078458599
0600non-HQLA non-exchange traded equities455069458081458600
0610non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool455122455121455120458120458119458118458641
0620RSF from loans455126455125455124458642
0630operational deposits455116455115455114458117458116458115458639
0640securities financing transactions with financial customers455262455261455260458706
0650collateralized by level 1 assets eligible for 0% LCR haircut455254455253455252458703
0660unencumbered or encumbered for a residual maturity of less than six months455240455239455238458363458362458361458698
0670encumbered for a residual maturity of at least six months but less than one year455246455245455244458369458368458367458700
0680encumbered for a residual maturity of one year or more455232455231455230458355458354458353458695
0690collateralized by other assets455257455256455255458704
0700unencumbered or encumbered for a residual maturity of less than six months455243455242455241458366458365458364458699
0710encumbered for a residual maturity of at least six months but less than one year455249455248455247458372458371458370458701
0720encumbered for a residual maturity of one year or more455235455234455233458358458357458356458696
0730other loans and advances to financial customers455133455132455131458123458122458121458644
0740assets encumbered for a residual maturity of one year or more in a cover pool455072455071455070458084458083458082458601
0750loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35% or less455284455283455282458714
0760of which, residential mortgages455293455290455287458716
0770unencumbered or encumbered for a residual maturity of less than six months455273455272455271458407458406458405458710
0780encumbered for a residual maturity of at least six months but less than one year455276455275455274458410458409458408458711
0790encumbered for a residual maturity of one year or more455269455267455265458403458401458399458708
0800other loans to non-financial customers other than central banks455294455291455288458717
0810of which, residential mortgages455295455292455289458718
0820unencumbered or encumbered for a residual maturity of less than one year455281455280455279458415458414458413458713
0830encumbered for a residual maturity of one year or more455270455268455266458404458402458400458709
0840trade finance on-balance sheet products455137455136455135458127458126458125458645
0850RSF from interdependent assets455172455171455170458654
0860centralised regulated savings455178455177455176458158458157458156458656
0870promotional loans and credit and liquidity facilities455181455180455179458161458160458159458657
0880eligible covered bonds455175455174455173458155458154458153458655
0890derivatives client clearing activities455184455183455182458164458163458162458658
0900others455187455186455185458167458166458165458659
0910RSF from assets within a group or an IPS if subject to preferential treatment455193455192455191458173458172458171458666
0960RSF from contributions to CCP default fund455197455196455195455189458184458183458182458169458669
0970RSF from other assets455206455205455204458674
0980physically traded commodities455201458188458671
0990unencumbered or encumbered for a residual maturity of less than one year455102458114458627
1000encumbered for a residual maturity of one year or more455076458088458604
1010trade date receivables455202458189458672
1020non-performing assets465432465431465430469138469137469136469163
1030other assets465435465434465433469141469140469139469164
1040RSF from OBS items455153455151455149458648
1050committed facilities within a group or an IPS if subject to preferential treatment455161455159455157458145458143458141458650
1060committed facilities455162455160455158458146458144458142458651
1070trade finance off-balance sheet items455154455152455150458138458137458136458649
1080non-performing off-balance sheet items455143455142455141458131458130458129458646
1090other off-balance sheet exposures for which the competent authority has determined RSF factors455166455165455164458150458149458148458652




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Related parties/Relationship of the collateralDefines the relationship between counterparty of the collateral with an entity or a person; in particular, it specifies the type of related party.
Related parties/Relationships - Defines the relationship between the reporting institution with an entity or a person; in particular, it specifies the type of related party.
Counterparty sectorDefines the sector of the counterparty of financial instruments (e.g. Central banks or Credit institutions).
Counterparty - Party other than the reporting institution in a contract or transaction.
LCR haircut eligibility
Percentages - Percentages
General liquidity requirementsGeneral conditions related to liquidity under the liquidity provisions framework
Liquidity - Defines different liquidity-related conditions of assets and liabilities
Impairment statusStatus for monitoring credit quality of financial assets and off-balance sheet items (e.g. past due, impaired, defaulted).
Impairment - Concepts related with monitoring credit quality of financial assets and off-balance sheet items (e.g. past due, impaired, defaulted)
Liquidity quality of assetsLiquidity conditions specified for assets under the liquidity provisions framework
Liquidity - Defines different liquidity-related conditions of assets and liabilities
Liquidity quality of collateral receivedLiquidity conditions specified for collateral received under the liquidity provisions framework
Liquidity - Defines different liquidity-related conditions of assets and liabilities
Residual maturityTime remaining from the reporting date to the maturity date.
Time interval - Time bands (e.g. > 60 days <= 90 days).
Risk weightsSpecifies the value of the risk weights that are applied to an exposure for capital requirement purposes.
Percentages - Percentages
Specific liquidity requirementsSpecific conditions related to liquidity under the liquidity provisions framework
Liquidity - Defines different liquidity-related conditions of assets and liabilities
Time of encumbranceSpecifies the time that the assets is expected to remain encumbered.
Time interval - Time bands (e.g. > 60 days <= 90 days).
Type of activityDefines the type of activity (e.g. asset management or custody).
Type of activity - Defines the type of activity reported (e.g. asset management or custody)
Type of credit protectionSpecifies the type of credit protection
Credit protection - Concepts related with the application of Credit Risk Mitigation techniques.
Currency with significant liabilitiesDefines the currencies of the significant liabilities
Currency - Currency
Currency conversion approachIndicates how monetary values should be reported, i.e. if they should be converted to a single reporting currency or reported as-is in the underlying currency
Currency conversion approach - Indicates how monetary values should be reported i.e. if they should be converted to a single reporting currency, or reported as-is in the underlying currency