Address https://gelex.eu/eli/EU/corrigendum/oj/L/2021/136/02@2021-04-21/en

Contents

1. Preamble
2. ANNEX
3. ANNEX XII REPORTING ON NET STABLE FUNDING RATIO C 80.00 — NSFR — REQUIRED STABLE FUNDING C 81.00 — NSFR — AVAILABLE STABLE FUNDING C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING C 84.00 — NSFR Summary Currency Currency Currency Currency Currency

On page 1468, Annex XII is replaced as follows:

ANNEX

ANNEX XII REPORTING ON NET STABLE FUNDING RATIO C 80.00 — NSFR — REQUIRED STABLE FUNDING C 81.00 — NSFR — AVAILABLE STABLE FUNDING C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING C 84.00 — NSFR Summary Currency Currency Currency Currency Currency

LIQUIDITY TEMPLATES Template number Template code Name of the template/group of templates NSFR 80 C 80.00 REQUIRED STABLE FUNDING 81 C 81.00 AVAILABLE STABLE FUNDING SIMPLIFIED NSFR 82 C 82.00 SIMPLIFIED REQUIRED STABLE FUNDING 83 C 83.00 SIMPLIFIED AVAILABLE STABLE FUNDING SUMMARY NSFR 84 C 84.00 SUMMARY NSFR Amount Standard RSF factor Applicable RSF factor Required stable funding Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0010 1 REQUIRED STABLE FUNDING 0020 1.1 RSF from central bank assets 0030 1.1.1 cash, reserves and HQLA exposures to central banks 0040 1.1.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 0 % 0 % 0 % 0050 1.1.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 50 % 50 % 0060 1.1.1.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 100 % 0070 1.1.2 other non-HQLA central bank exposures 0 % 50 % 100 % 0080 1.2 RSF from liquid assets 0090 1.2.1 level 1 assets eligible for 0 % LCR haircut 0100 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 0110 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0120 1.2.1.3 encumbered for a residual maturity of one year or more 100 % 0130 1.2.2 level 1 assets eligible for 5 % LCR haircut 0140 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months 5 % 0150 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0160 1.2.2.3 encumbered for a residual maturity of one year or more 100 % 0170 1.2.3 level 1 eligible for 7 % LCR haircut 0180 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months 7 % 0190 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0200 1.2.3.3 encumbered for a residual maturity of one year or more 100 % 0210 1.2.4 level 1 assets eligible for 12 % LCR haircut 0220 1.2.4.1 unencumbered or encumbered for a residual maturity of less than six months 12 % 0230 1.2.4.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0240 1.2.4.3 encumbered for a residual maturity of one year or more 100 % 0250 1.2.5 level 2A assets eligible for 15 % LCR haircut 0260 1.2.5.1 unencumbered or encumbered for a residual maturity of less than six months 15 % 0270 1.2.5.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0280 1.2.5.3 encumbered for a residual maturity of one year or more 100 % 0290 1.2.6 level 2A assets eligible for 20 % LCR haircut 0300 1.2.6.1 unencumbered or encumbered for a residual maturity of less than six months 20 % 0310 1.2.6.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0320 1.2.6.3 encumbered for a residual maturity of one year or more 100 % 0330 1.2.7 level 2B securitizations eligible for 25 % LCR haircut 0340 1.2.7.1 unencumbered or encumbered for a residual maturity of less than six months 25 % 0350 1.2.7.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0360 1.2.7.3 encumbered for a residual maturity of one year or more 100 % 0370 1.2.8 level 2B assets eligible for 30 % LCR haircut 0380 1.2.8.1 unencumbered or encumbered for a residual maturity of less than six months 30 % 0390 1.2.8.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0400 1.2.8.3 encumbered for a residual maturity of one year or more 100 % 0410 1.2.9 level 2B assets eligible for 35 % LCR haircut 0420 1.2.9.1 unencumbered or encumbered for a residual maturity of less than six months 35 % 0430 1.2.9.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0440 1.2.9.3 encumbered for a residual maturity of one year or more 100 % 0450 1.2.10 level 2B assets eligible for 40 % LCR haircut 0460 1.2.10.1 unencumbered or encumbered for a residual maturity of less than six months 40 % 0470 1.2.10.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0480 1.2.10.3 encumbered for a residual maturity of one year or more 100 % 0490 1.2.11 level 2B assets eligible for 50 % LCR haircut 0500 1.2.11.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 0510 1.2.11.2 encumbered for a residual maturity of one year or more 100 % 0520 1.2.12 level 2B assets eligible for 55 % LCR haircut 0530 1.2.12.1 unencumbered or encumbered for a residual maturity of less than one year 55 % 0540 1.2.12.2 encumbered for a residual maturity of one year or more 100 % 0550 1.2.13 HQLAs encumbered for a residual maturity of one year or morein cover pool 85 % 0560 1.3 RSF from securities other than liquid assets 0570 1.3.1 non- HQLA securities and exchange traded equities 0580 1.3.1.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 50 % 85 % 0590 1.3.1.2 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0600 1.3.2 non-HQLA non-exchange traded equities 100 % 0610 1.3.3 non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool 85 % 85 % 85 % 0620 1.4 RSF from loans 0630 1.4.1 operational deposits 50 % 50 % 100 % 0640 1.4.2 securities financing transactions with financial customers 0650 1.4.2.1 collateralized by level 1 assets eligible for 0 % LCR haircut 0660 1.4.2.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 50 % 100 % 0670 1.4.2.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 100 % 0680 1.4.2.1.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0690 1.4.2.2 collateralized by other assets 0700 1.4.2.2.1 unencumbered or encumbered for a residual maturity of less than six months 5 % 50 % 100 % 0710 1.4.2.2.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 100 % 0720 1.4.2.2.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0730 1.4.3 other loans and advances to financial customers 10 % 50 % 100 % 0740 1.4.4 assets encumbered for a residual maturity of one year or morein cover pool 85 % 85 % 85 % 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 0760 1.4.5.0.1 of which, residential mortgages 0770 1.4.5.1 unencumbered or encumbered for a residual maturity of less than six months 50 % 50 % 65 % 0780 1.4.5.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 65 % 0790 1.4.5.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0800 1.4.6 other loans to non-financial customers other than central banks 0810 1.4.6.0.1 of which, residential mortgages 0820 1.4.6.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 50 % 85 % 0830 1.4.6.2 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0840 1.4.7 trade finance on-balance sheet products 10 % 50 % 85 % 0850 1.5 RSF from interdependent assets 0860 1.5.1 centralised regulated savings 0 % 0 % 0 % 0870 1.5.2 promotional loans and credit and liquidity facilities 0 % 0 % 0 % 0880 1.5.3 eligible covered bonds 0 % 0 % 0 % 0890 1.5.4 derivatives client clearing activities 0 % 0 % 0 % 0900 1.5.5 others 0 % 0 % 0 % 0910 1.6 RSF from assets within a group or an IPS if subject to preferential treatment 0920 1.7 RSF from derivatives 0930 1.7.1 required stable funding for derivative liabilities 5 % 0940 1.7.2 NSFR derivative assets 100 % 0950 1.7.3 initial margin posted 85 % 85 % 85 % 85 % 0960 1.8 RSF from contributions to CCP default fund 85 % 85 % 85 % 85 % 0970 1.9 RSF from other assets 0980 1.9.1 physically traded commodities 0990 1.9.1.1 unencumbered or encumbered for a residual maturity of less than one year 85 % 1000 1.9.1.2 encumbered for a residual maturity of one year or more 100 % 1010 1.9.2 trade date receivables 0 % 1020 1.9.3 non-performing assets 100 % 100 % 100 % 1030 1.9.4 other assets 50 % 50 % 100 % 1040 1.10 RSF from OBS items 1050 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment 1060 1.10.2 committed facilities 5 % 5 % 5 % 1070 1.10.3 trade finance off-balance sheet items 5 % 7.5 % 10 % 1080 1.10.4 non-performing off-balance sheet items 100 % 100 % 100 % 1090 1.10.5 other off-balance sheet exposures for which the competent authority has determined RSF factors Row ID Item Amount Standard ASF factor Applicable ASF factor Available stable funding < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year Total 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 2 AVAILABLE STABLE FUNDING 0020 2.1 ASF from capital items and instruments 0030 2.1.1 Common Equity Tier 1 100 % 0040 2.1.2 Additional Tier 1 0 % 0 % 100 % 0050 2.1.3 Tier 2 0 % 0 % 100 % 0060 2.1.4 Other capital instruments 0 % 0 % 100 % 0070 2.2 ASF from retail deposits 0080 2.2.0.1 of which, retail bonds 0090 2.2.1 Stable retail deposits 95 % 95 % 100 % 0100 2.2.0.2 of which with a material early withdrawable penalty 100 % 0110 2.2.2 Other retail deposits 90 % 90 % 100 % 0120 2.2.0.3 of which with a material early withdrawable penalty 100 % 0130 2.3 ASF from other non-financial customers (except central banks) 0140 2.3.0.1 of which, securities financing transactions 0150 2.3.0.2 of which, operational deposits 0160 2.3.1 Liabilities provided by the central government of a Member State or a third country 50 % 50 % 100 % 0170 2.3.2 Liabilities provided by regional governments or local authorities of a Member State or a third country 50 % 50 % 100 % 0180 2.3.3 Liabilities provided by public sector entities of a Member State or a third country 50 % 50 % 100 % 0190 2.3.4 Liabilities provided by multilateral development banks and international organisations 50 % 50 % 100 % 0200 2.3.5 Liabilities provided by non-financial corporate customers 50 % 50 % 100 % 0210 2.3.6 Liabilities provided by credit unions, personal investment companies and deposit brokers 50 % 50 % 100 % 0220 2.4 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment 0230 2.5 ASF from financial customers and central banks 0240 2.5.0.1 of which, sight deposits provided by network member to central institution 0250 2.5.1 Liabilities provided by the ECB or the central bank of a Member State 0 % 50 % 100 % 0260 2.5.2 Liabilities provided by the central bank of a third country 0 % 50 % 100 % 0270 2.5.3 Liabilities provided by financial customers 0280 2.5.3.1 Operational deposits 50 % 50 % 100 % 0290 2.5.3.2 Excess operational deposits 0 % 50 % 100 % 0300 2.5.3.3 Other liabilities 0 % 50 % 100 % 0310 2.6 ASF from liabilities provided where the counterparty cannot be determined 0 % 50 % 100 % 0320 2.7 ASF from net derivatives liabilities 0 % 0 % 0 % 0330 2.8 ASF from interdependent liabilities 0340 2.8.1 Centralised regulated savings 0 % 0 % 0 % 0350 2.8.2 Promotional loans and relevant credit and liquidity facilities 0 % 0 % 0 % 0360 2.8.3 Eligible covered bonds 0 % 0 % 0 % 0370 2.8.4 Derivatives client clearing activities 0 % 0 % 0 % 0380 2.8.5 Others 0 % 0 % 0 % 0390 2.9 ASF from other liabilities 0400 2.9.1 Trade date payables 0 % 0 % 0 % 0410 2.9.2 Deferred tax liabilities 0 % 50 % 100 % 0420 2.9.3 Minority interests 0 % 50 % 100 % 0430 2.9.4 Other liabilities 0 % 50 % 100 % Amount Standard RSF factor Applicable RSF factor Required stable funding Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA < 1 year ≥ 1 year < 1 year ≥ 1 year < 1 year ≥ 1 year Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 1 REQUIRED STABLE FUNDING 0020 1.1 RSF from central bank assets 0030 1.1.1 cash, reserves and HQLA exposures to central banks 0 % 0 % 0 % 0040 1.1.2 other non-HQLA central bank exposures 0 % 100 % 0050 1.2 RSF from liquid assets 0060 1.2.1 level 1 assets eligible for 0 % LCR haircut 0070 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 0080 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0090 1.2.1.3 encumbered for a residual maturity of one year or more 100 % 0100 1.2.2 level 1 assets eligible for 7 % LCR haircut 0110 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months 10 % 0120 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0130 1.2.2.3 encumbered for a residual maturity of one year or more 100 % 0140 1.2.3 level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts 0150 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months 20 % 0160 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0170 1.2.3.3 encumbered for a residual maturity of one year or more 100 % 0180 1.2.4 Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts 0190 1.2.4.1 unencumbered or encumbered for a residual maturity of less than one year 55 % 0200 1.2.4.2 encumbered for a residual maturity of one year or more 100 % 0210 1.3 RSF from securities other than liquid assets 0220 1.3.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 85 % 0230 1.3.2 encumbered for a residual maturity of one year or more 100 % 100 % 0240 1.4 RSF from loans 0250 1.4.1 loans to non-financials 0260 1.4.1.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 85 % 0270 1.4.1.2 encumbered for a residual maturity of one year or more 100 % 100 % 0280 1.4.2 loans to financials 0290 1.4.2.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 100 % 0300 1.4.2.2 encumbered for a residual maturity of one year or more 100 % 100 % 0310 1.4.3 trade finance on-balance sheet products 50 % 85 % 0320 1.5 RSF from interdependent assets 0 % 0 % 0330 1.6 RSF from assets within a group or an IPS if subject to preferential treatment 0340 1.7 RSF from derivatives 0350 1.7.1 required stable funding for derivative liabilities 5 % 0360 1.7.2 NSFR derivative assets 100 % 0370 1.7.3 Initial margin posted 85 % 85 % 85 % 0380 1.8 RSF from contributions to CCP default fund 0390 1.9 RSF from other assets 100 % 100 % 0400 1.10 RSF from OBS items 0410 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment 0420 1.10.2 commited facilities 5 % 5 % 0430 1.10.3 trade finance off-balance sheet items 10 % 10 % 0440 1.10.4 non-performing off-balance sheet items 100 % 100 % 0450 1.10.5 other off-balance sheet exposures determined by competent authorities Row ID Item Amount Standard ASF factor Applicable ASF factor Available stable funding < 1 year ≥ 1 year < 1 year ≥ 1 year < 1 year ≥ 1 year 0010 0020 0030 0040 0050 0060 0070 0010 2 AVAILABLE STABLE FUNDING 0020 2.1 ASF from capital items and instruments 0 % 100 % 0030 2.2 ASF from retail deposits 0040 2.2.1 Stable retail deposits 95 % 100 % 0050 2.2.2 Other retail deposits 90 % 100 % 0060 2.3 ASF from other non-financial customers (except central banks) 50 % 100 % 0070 2.4 ASF from operational deposits 50 % 100 % 0080 2.5 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment 0090 2.6 ASF from financial customers and central banks 0 % 100 % 0100 2.7 ASF from liabilities provided where the counterparty cannot be determined 0 % 100 % 0110 2.8 ASF from interdependent liabilities 0 % 0120 2.9 ASF from other liabilities 0 % 100 % Row ID Item Amount Required stable funding Available stable funding Ratio 0010 0020 0030 0040 0010 1 REQUIRED STABLE FUNDING 0020 1.1 RSF from central bank assets 0030 1.2 RSF from liquid assets 0040 1.3 RSF from securities other than liquid assets 0050 1.4 RSF from loans 0060 1.5 RSF from interdependent assets 0070 1.6 RSF from assets within a group or an IPS if subject to preferential treatment 0080 1.7 RSF from derivatives 0090 1.8 RSF from contributions to CCP default fund 0100 1.9 RSF from other assets 0110 1.10 RSF from OBS items 0120 2 AVAILABLE STABLE FUNDING 0130 2.1 ASF from capital items and instruments 0140 2.2 ASF from retail deposits 0150 2.3 ASF from other non-financial customers (except central banks) 0160 2.4 ASF from operational deposits 0170 2.5 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment 0180 2.6 ASF from financial customers and central banks 0190 2.7 ASF from liabilities provided where the counterparty cannot be determined 0200 2.8 ASF from interdependent liabilities 0210 2.9 ASF from other liabilities 0220 3 NSFR

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1. 2021-04-21