1 | Capital is the sum of rows 2 and 3. | | |
2 | Regulatory capital before the application of capital deductions, as defined in paragraph 49 of the Basel III text. | 21(a), 24(d) and 25(a) | 16(a), 21(d) and 23(a) |
3 | Total amount of any capital instruments not included in row 2. | 21(b), 24(d) and 25(a) | 16(b), 21(d) and 23(a) |
4 | Retail deposits and deposits from small business customers, as defined in the LCR paragraphs 73–84 and 89–92, are the sum of row 5 and 6. | | |
5 | Stable deposits comprise "stable" (as defined in the LCR in paragraphs 75–8) non-maturity (demand) deposits and/or term deposits provided by retail and small business customers. | 21(c) and 22 | 16(c) and 17 |
6 | Less stable deposits comprise "less stable" (as defined in the LCR in paragraphs 79–81) non-maturity (demand) deposits and/or term deposits provided by retail and small business customers. | 21(c) and 23 | 16(c) and 19 |
7 | Wholesale funding is the sum of rows 8 and 9. | | |
8 | Operational deposits: as defined in LCR paragraphs 93–104, including deposits in institutional networks of cooperative banks. | 21(c), 24(b) and 25(a), including footnote 10. | 16(c), 21(b) and 23(a) |
9 | Other wholesale funding include funding (secured and unsecured) provided by non-financial corporate customer, sovereigns, public sector entities (PSEs), multilateral and national development banks, central banks and financial institutions. | 21(c), 24(a), (c), and (d) and 25(a) | 16(c), 21(a), (c) and (d), 22 and 23(a) |
10 | Liabilities with matching interdependent assets. | 45 | 53 |
11 | Other liabilities are the sum of rows 12 and 13. | | |
12 | In the unweighted cells, report NSFR derivatives liabilities as calculated according to NSFR paragraphs 19 and 20. There is no need to differentiate by maturities. [The weighted value under NSFR derivative liabilities is cross-hatched given that it will be zero after the 0% ASF is applied.] | 19, 20, 25(c) | 13, 14 and 23(c) |
13 | All other liabilities and equity not included in above categories. | 25(a), (b) and (d) | 23(a), (b) and (d) and 39 |
14 | Total ASF is the sum of all weighted values in rows 1, 4, 7, 10 and 11. | | |
15 | Total HQLA as defined in the LCR paragraphs 49–68 (encumbered and unencumbered), without regard to LCR operational requirements and LCR caps on Level 2 and Level 2B assets that might otherwise limit the ability of some HQLA to be included as eligible in calculation of the LCR: - Encumbered assets including assets backing securities or covered bonds.
- Unencumbered means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer or assign the asset.
| Footnote 12, 36(a) and (b), 37, 39(a), 40(a) and (b), 42(a) and 43(a) | Footnote 14, 44(a), (b) and (c), 47(a), 48(a) and (b), 50(a) and 51(a) |
16 | Deposits held at other financial institutions for operational purposes as defined in the LCR paragraphs 93–104. | 40(d) | 48(d) |
17 | Performing loans and securities are the sum of rows 18, 19, 20, 22 and 24. | | |
18 | Performing loans to financial institutions secured by Level 1 HQLA, as defined in the LCR paragraphs 50(c), (d) and (e). | 38, 40(c) and 43(c) | 39, 45, 48(c) and 51(c) |
19 | Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions. | 39(b), 40(c) and 43(c) | 39, 46, 47(b) and 51(c) |
20 | Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs. | 36(c), 40(e), 41(b),
42(b) and 43(a) | 39, 44(d), 48(e), 49(b), 50(b) and (c) and 51(a) |
21 | Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs with risk weight of less than or equal to 35% under the Standardised Approach. | 36(c), 40(e), 41(b) and 43(a) | 44(d), 48(e), 49(b) and 51(a) |
22 | Performing residential mortgages. | 40(e), 41(a), 42(b) and 43(a) | 48(e), 49(a) and (c) and 51(a) |
23 | Performing residential mortgages with risk weight of less than or equal to 35% under the Standardised Approach. | 40(e), 41(a) and 43(a) | 48(e), 49(a) and (c) and 51(a) |
24 | Securities that are not in default and do not qualify as HQLA including exchange-traded equities. | 40(e), 42(c) and 43(a) | 48(e), 50(d) and 51(a) |
25 | Assets with matching interdependent liabilities. | 45 | 53 |
26 | Other assets are the sum of rows 27 to 31. | | |
27 | Physical traded commodities, including gold. | 42(d) | 50(e) |
28 | Cash, securities or other assets posted as initial margin for derivative contracts and contributions to default funds of CCPs. | 42(a) | 50(a) |
29 | In the unweighted cell, report NSFR derivative assets, as calculated according to NSFR paragraphs 34 and 35. There is no need to differentiate by maturities. In the weighted cell, if NSFR derivative assets are greater than NSFR derivative liabilities, (as calculated according to NSFR paragraphs 19 and 20), report the positive difference between NSFR derivative assets and NSFR derivative liabilities. | 34, 35 and 43(b) | 40, 41 and 51(b) |
30 | In the unweighted cell, report derivative liabilities as calculated according to NSFR paragraph 19, ie before deducting variation margin posted. There is no need to differentiate by maturities. In the weighted cell, report 5% of derivatives liabilities' unweighted value (subject to 100% RSF). | 19 and 43(d) | 13 and 51(d) |
31 | All other assets not included in the above categories. | 36(d) and 43(c) | 44(e) and 51(c) |
32 | Off-balance sheet items. | 46 and 47 | 54-55 |
33 | Total RSF is the sum of all weighted value in rows 15, 16, 17, 25, 26 and 32. | | |
34 | Net stable funding ratio (%), as stated in paragraph 12 of this document. | 9 | 4 |