Basel III Analysis Workbook

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					         Basel Committee on Banking Supervision                                                                                                                         Confidential
         Basel III monitoring template                                                     General Info

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     General information                                           v2.4.0

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     A) General bank data

3
     1) Reporting data
4
5        Country code
6        Region code
7        Bank number
8        CMG-relevant                                                    No
9        Bank is a single legal entity                                   No
         Bank is a subsidiary of a banking group                         No
10
         Bank is a subsidiary with a non-EU parent (EU only)             No
                                                                                                      The Basel III implementation monitoring workbook
11
                                                                     Joint stock                  available for download on the Committee’s website is for
         Bank type
12
                                                                      company                       information purposes only. While the structure of the
         Bank group
13
         Bank type (numeric)
                                                                                                   workbooks used for this data collection exercise is the
14
15       SIB surcharge                                                        0.00%                 same in all participating countries, it is important that
16       Conversion rate (in euros/reporting currency)                        1.0000                  banks only use the workbook obtained from their
         Submission date (yyyy-mm-dd)
17
18       Use capital data                                               Yes                        respective national supervisory agency to submit their
19        Comparable to the previous period                             Yes                       returns. Only these workbooks are adjusted to reflect the
20       Use leverage ratio data                                        Yes
                                                                                                        particularities of the regulatory frameworks in
          Comparable to the previous period                             Yes
21
22       Use liquidity data                                             Yes                                          participating countries.
23        Comparable to the previous period                             Yes
24       Reporting date (yyyy-mm-dd)
25       Reporting currency (ISO code)
26       Unit (1, 1000, 1000000)                                                   1
27       Accounting standard



28
     2) Approaches to credit risk
29
30       Basel I                                                         No                       Orange marks to the right of the panels indicate changes
31       Basel II/III standardised approach                              No                        or new rows compared to the previous version of the
         Basel II/III FIRB approach                                      No
32
         Basel II/III AIRB approach                                      No
                                                                                                                         workbook.
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34




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         Basel Committee on Banking Supervision                                                                                                                      Confidential
         Basel III monitoring template                                                                                    General Info

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35
     B) Current capital applying rules as of…
36
37       Data in cells C37 to C48 must be in line with regulatory reporting.
38
39                                                                                                 Reporting date    2022
40                                                                                                    Amount        Amount
41       Total capital
42        Total Common Equity Tier 1 capital
43          Prior to regulatory adjustments
44          Regulatory adjustments
45        Additional Tier 1 capital
46          Prior to regulatory adjustments
47          Regulatory adjustments
48          Check: Tier 1 adjustments should be ≤ additional Tier 1 prior to adjustments.               Yes
49        Tier 1 capital
50        Tier 2 capital
51          Prior to regulatory adjustments
52          Regulatory adjustments
53          Check: Tier 2 adjustments should be ≤ additional Tier 2 prior to adjustments.               Yes
54        Tier 3 capital
55       RWA impact of applying future definition of capital rules
56


57
     C) Capital distribution data (for the six months period ending on the reporting date)
58
59                                                                                                    Amount
60       Income
61         Profit after tax
62         Profit after tax prior to the deduction of relevant (ie expensed) distributions below
63       Distributions
64         Common share dividends
65         Other coupon/dividend payments on Tier 1 instruments
66         Common stock share buybacks
67         Other Tier 1 buyback or repayment (gross)
68         Discretionary staff compensation/bonuses
69         Tier 2 buyback or repayment (gross)
70       Capital raised (gross)
71         CET1
72         Additional Tier 1
73         Tier 2
74




         12/16/201311:54 AM                                                                                                                                           Page 2 of 43
      Basel Committee on Banking Supervision                                                                                                                                                                                                                                 Confidential
      Basel III monitoring template                                                                                                              General Info

      A                                                              B                                                         C                 D                    E                     F                      G                H                  I            J    K


75
      D) Overall capital requirements and actual capital ratios
76
          Data in green cells can typically be provided by national supervisors based on regulatory reporting data. Enter
77
          0 for capital charges not in force at a particular reporting date.


78
      1) Data for all banks

79
      a) Credit risk (including CCR and non-trading credit risk)
80
81                                                                                                                                                                RWA                                                                            Exposure amount
82                                                                                                                             According to rules at reporting date…                                                      Basel 2.5/Basel III rules
                                                                                                                                            Basel II/III                               Basel 2.5/III
                                                                                                                                                               Basel II/III IRB                            Basel 2.5/III IRB                    Standardised
                                                                                                                            Basel I        standardised                               standardised                                 CEM                             IMM
                                                                                                                                                                approaches                                  approaches                             method
83
                                                                                                                                             approach                                   approach
84        Corporate (not including receivables); of which:
85          Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs)
86          Specialised lending exposures
87          Other exposures
88        Sovereign; of which:
89          Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs)
90          Other exposures
91        Bank; of which:
92          Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs)
93          Other exposures
94        Retail; of which:
95          Counterparty credit risk exposures (not including CVA charges or charges for exposures to CCPs)
96          Other exposures
97        Equity
98        Purchased receivables
99        Securitisations
100       Related entities
101       Funds/collective investment schemes
102       Other assets
103       Partial use (if not assigned to a portfolio)
104       Trading book counterparty credit risk exposures (if not included above)
105       Trade-related exposures to CCPs
106       Credit risk-weighted assets which the bank is unable to assign to one of the above categories
107       Total                                                                                                                       0                    0                      0                    0                   0
108
109                                                                                                                            According to rules at reporting date…                                   Basel 2.5/Basel III rules
110                                                                                                                                                                                                                Exposure amount
                                                                                                                            RWA                                                           RWA             Externally rated        Unrated
111
                                                                                                                                                                                                             exposures           exposures
112       CVA capital charge (risk-weighted asset equivalent); of which:
113        Advanced CVA risk capital charge
114        Standardised CVA risk capital charge
115       Capital charge for CCP default fund exposures (risk-weighted asset equivalent)
116       Total risk-weighted assets for credit risk




      12/16/201311:54 AM                                                                                                                                                                                                                                                      Page 3 of 43
      Basel Committee on Banking Supervision                                                                                                                                                                                        Confidential
      Basel III monitoring template                                                                                                      General Info

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117
      b) Market risk
118
119                                                                                                                                           Capital charge                                     Exposure amount
120                                                                                                                                                                     Basel 2.5 rules

                                                                                                                        Rules as at                      of which:
                                                                                                                      reporting date                                   of which: unrated Externally rated    Unrated
                                                                                                                                       Total          externally rated
                                                                                                                                                                           exposures       exposures        exposures
                                                                                                                                                         exposures
121
122       Standardised measurement method, general interest rate and equity position risk
123       Standardised measurement method, specific interest rate and equity position risk; of which:
124         Specific interest rate risk
125         Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
126         Specific equity position risk
127       Standardised measurement method, foreign exchange and commodities risk
128       Internal model method, without the specific risk surcharge, actual capital charge
129         Current 10-day 99% value-at-risk (without applying the multiplier)
130         Check: positive VaR at reporting date requires positive Basel 2.5 VaR                                                       Yes
131         Check: positive VaR capital charge requires VaR which is positive but smaller than the capital charge.         Yes          Yes
132         10-day 99% stressed value-at-risk (without applying the multiplier)
133         Check: positive stressed VaR at reporting date requires positive Basel 2.5 stressed VaR                                     Yes
134         Check: positive Basel 2.5 VaR requires positive Basel 2.5 stressed VaR and vice versa                                       Yes
135       Internal model method, specific risk surcharge (2011 only)
136       Incremental risk capital charge
137       Correlation trading portfolio
138         Comprehensive risk model, before application of the floor
139         Standardised measurement method (100%) for exposures subject to the CRM
140         Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
141           Net long exposures
142           Net short exposures
143         Standardised measurement method for exposures not subject to the CRM
144         Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
145           Net long exposures
146           Net short exposures
147       Standardised measurement method for other securitisation exposures and n-th-to-default credit derivatives
148         Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
149         Net long exposures
150         Net short exposures
151       Other Pillar 1 requirements for market risk
152       Market risk capital charge which the bank is unable to assign to one of the above categories
153       Total capital charge for market risk

                                                                                                                                       FALSE
154
      c) Other Pillar 1 capital requirements
155                                                                                                                       RWA
156       Settlement risk
157       Other Pillar 1 requirements




      12/16/201311:54 AM                                                                                                                                                                                                             Page 4 of 43
      Basel Committee on Banking Supervision                                                                                                                                  Confidential
      Basel III monitoring template                                                                                                General Info

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158
      2) Data for Basel II/III banks

159
      a) Operational risk
160                                                                                                                          RWA
161       Basic indicator approach
162       Standardised approach
163       Alternative standardised approach
164       Advanced measurement approach
165       Total risk-weighted assets for operational risk



166
      b) Data on transitional floors
167                                                                                                                          RWA
168       Additional risk-weighted assets to adjust for the transitional floor
169
170                                                                                                                          [%]
171       Level of the floor according to the national implementation
172       Actual CET1 capital ratio (after application of the transitional floor)
173       Actual Tier 1 capital ratio (after application of the transitional floor)
174       Actual total capital ratio (after application of the transitional floor)



175
      c) Additional data on CCR RWA
176
177       Number of counterparties to which the ACVA is applied
178       Number of counterparties to which the SCVA is applied
179       Number of counterparties to which both the ACVA and SCVA are applied
180       Total number of counterparties for which a CVA charge is calculated
181
182       Total EAD that entered the ACVA calculation
183       Total EAD that entered the SCVA calculation; of which
184        CEM
185        Standardised method
186        IMM
187       Check: EAD in row 183 should equal total EAD in row 114.                                                           Yes
188       Check: EAD in rows 184 to 186 should add up to EAD in row 183.                                                     Yes
189       Total EAD for CVA charge
190
191       Number of ACVA counterparts that have actively traded credit spreads (ie liquid CDS)
192       Number of ACVA counterparts where a proxy was used to determine a counterparty's credit spreads
193
194       RWA from VaR component for ACVA
195       RWA from stressed VaR component for ACVA
196       Start of stress period used for exposure for stressed VaR component of ACVA (yyyy-mm-dd)
197       Start of stress period used for spreads for stressed VaR component of ACVA (yyyy-mm-dd)
198
199       Sum of CVA EADs belonging to margined exposures
200       Sum of CVA EADs for CCPs (if not excluded by the national supervisor per paragraph 99 of Basel III)
201       Sum of CVA EADs for repo lending EADs (if not excluded by the national supervisor per paragraph 99 of Basel III)
202       Sum of CVA EADs belonging to non-margined exposures
203       Total EAD
204       Check: total EAD in row 203 should equal total EAD in row 189.                                                     Yes
205
206       Advanced CVA banks only
207       Did you set the full maturity adjustment to 1 while calculating Basel III RWA?                                     No




      12/16/201311:54 AM                                                                                                                                                       Page 5 of 43
      Basel Committee on Banking Supervision                                                                                                                                        Confidential
      Basel III monitoring template                                                                                                      General Info

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208
      3) Risk-weighted assets and capital ratios (Basel II banks: before application of the Basel II floors)
209
210                                                                                                                     RWA
                                                                                                                                  Basel III rules
                                                                                                             Rules as at
                                                                                                                                     (partial
                                                                                                           reporting date
211
                                                                                                                                   application)
212       Impact of Basel III definition of capital
213       Total risk-weighted assets (Basel II/III banks: before application of the transitional floors)
214
215                                                                                                                         [%]
                                                                                                                                  Basel III rules
                                                                                                             Rules as at
216                                                                                                                                  (partial
                                                                                                           reporting date
217       Capital ratios (actual capital, rules as of the relevant date)                                                           application)
218        CET1 (Basel II/III banks: before application of the transitional floor)
219        Tier 1 (Basel II/III banks: before application of the transitional floor)
220        Total (Basel II/III banks: before application of the transitional floor)
221




      12/16/201311:54 AM                                                                                                                                                             Page 6 of 43
Basel Committee on Banking Supervision                                                                                                                                                                                                                    Confidential
Basel III monitoring template                                                                                                                            DefCapB3

      A       B                                                                                                                            C                                                                                                     D    E


 1
      Basel III definition of capital
 2
      A) Change in risk-weighted assets due to the application of the definition of capital (including changes related to the 10%/15% thresholds)
 3
 4        Increases in risk-weighted assets to be reported as a positive value and decreases as a negative value.
 5
 6                                                                                                                                                                                                                                              RWA
 7                   Goodwill
 8                   Other intangibles (excluding goodwill and mortgage servicing rights)
 9                   Own shares
 10                  Defined benefit pension fund assets
 11                  Deferred tax assets (assuming full deduction prior to application of 10/15% thresholds)
 12                  Mortgage servicing rights (assuming full deduction prior to application of 10/15% thresholds)
 13                  Significant investments in the common stock of other financial entities (assuming full deduction prior to application of 10/15% thresholds)
 14                  Investments in the Additional Tier 1 capital of other financial entities in which bank has significant common stock investment
 15                  Investments in the Tier 2 capital of other financial entities in which bank has significant common stock investment
 16                  Investments in the capital of financial entities where the bank does not own more than 10% of the issued common share capital (assuming full deduction of all such investments including amounts in cells D201 to D203
 17                  Risk-weighted assets resulting from amounts below the 10/15% thresholds and the threshold for investements in the capital of financial entities where the bank does not more than 10% of the issued common share capital
 18                  Impact on RWA due to Basel II 50:50 deductions; of which
 19                    Securitisation exposures (except securitisation gain on sale)
 20                    Equity exposures under the PD/LGD approach
 21                    Non-payment/delivery on non-DvP and non-PvP transactions
 22                    Significant investments in commercial entities
 23                  Other
 24                  Total
 25




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Basel Committee on Banking Supervision                                                                                                                                                                                                                                  Confidential
Basel III monitoring template                                                                                                                                  DefCapB3

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 26
      B) Definition of capital

 27
      1) Common Equity Tier 1 capital
 28
          Basel III
 29       para ref                                                                                                                            Item                                                                                                         Amount
                      Paid in capital
           52, 53     This should be equal to the sum of common stock (and related surplus only) and other instruments for non joint stock companies, both of which must meet the common stock critieria. This should be net of treasury stock and other
 30
                      investments in own shares to the extent that these are already derecognised on the balance sheet under the relevant accounting standards. Other paid in capital elements must be excluded. All minority interest must be excluded.
                      Retained earnings
           52, 53
 31
                      This should be the full amount prior to the application of all regulatory adjustments
                      Accumulated other comprehensive income (and other reserves); of which:
 32
                      This should be the full amount prior to the application of all filters and deductions
 33        52, 53       unrealised gains and losses on available for sale items (if applicable)
 34        52, 53       gains and losses on derivatives held as cash flow hedges (if applicable)
 35        52, 53       gains and losses resulting from converting foreign currency subsidiaries to the parent currency (if applicable)
 36        52, 53       actuarial reserve (if applicable)
 37        52, 53       unrealised gains and losses from a foreign currency hedge of a net investment in a foreign operation (if applicable)
 38        52, 53       property revaluation reserve (if applicable)
 39        52, 53       all other reserves (if applicable)
 40                   Total Common Equity Tier 1 capital attributable to parent company common shareholders
 41        62–64      Total minority interest given recognition in Common Equity Tier 1 capital (sum of relevant output of DefCapB3-MI worksheet after application to every subsidary that has issued capital held by third parties)
 42                   Total group Common Equity Tier 1 capital prior to regulatory adjustments
 43                   Goodwill, net of related deferred tax liability
 44                   Intangibles other than mortgage servicing rights, net of related deferred tax liability
 45                   Deferred tax assets (excluding temporary differences only), net of related deferred tax liabilities
 46                   Investments in own shares (excluding amounts already derecognised under the relevant accounting standards)
 47                   Reciprocal cross holdings in common equity
 48                   Shortfall of provisions to expected losses
 49                   Cash flow hedge reserve
 50                   Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
 51                   Defined benefit pension fund assets
 52                   Securitisation gain on sale (expected future margin income) as set out in paragraph 562 of the Basel II framework
 53                   Total Common Equity Tier 1 capital after the regulatory adjustments above
 54                   Investments in the capital of financial entities where the bank does not own more than 10% of the issued common share capital (amount above the 10% threshold)
 55                   Total Common Equity Tier 1 capital after the regulatory adjustments above
 56                   Significant investments in the common stock of financial entities (amount above 10% threshold)
 57                   Mortgage servicing rights (amount above 10% threshold)
 58                   Deferred tax assets arising from temporary differences (amount above 10% threshold)
 59                   Total Common Equity Tier 1 capital after the regulatory adjustments above
 60                   Regulatory adjustments to be applied to Common Equity Tier 1 due to insufficient Additional Tier 1 to cover deductions
 61                   Total Common Equity Tier 1 capital after the regulatory adjustments above
 62                   Amount exceeding the 15% threshold
 63                   Common Equity Tier 1 capital




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Basel Committee on Banking Supervision                                                                                                                                                                                                                                                         Confidential
Basel III monitoring template                                                                                                                                    DefCapB3

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 64
      2) Tier 1 capital
 65
          Basel III
 66       para ref                                                                                                                                Item                                                                                                                            Amount
 67                   Total common equity Tier 1 capital
 68        55, 56     Additional Tier 1 instruments issued by parent company of group (and any related surplus), including any compliant capital issued via SPVs as determined by paragraph 65 of Basel III
                      Instruments that meet the Additional Tier 1 criteria issued by subsidiaries to third parties that are given recognition in group Additional Tier 1 capital (sum of relevant output of DefCapB3-MI worksheet after application to every subsidary that has
           62–64
 69
                      issued capital held by third parties)
 70                   Total Tier 1 capital prior to regulatory adjustments
 71                   Regulatory adjustments to be deducted from Additional Tier 1 capital
 72                   Tier 2 regulatory adjustments which have to be deducted from Additional Tier 1 capital
 73                   Total regulatory adjustments to Additional Tier 1 capital; of which
 74                     Regulatory adjustments actually made to Additional Tier 1 capital
 75                   Tier 1 capital



 76
      3) Total capital
 77
          Basel III
 78       para ref                                                                                                                                Item                                                                                                                            Amount
 79                   Tier 1 capital
 80        58, 59     Tier 2 capital instruments issued by parent company of group (and any related surplus), including any compliant capital issued via SPVs as determined by paragraph 65 of Basel III
 81        62–64      Instruments that meet the Tier 2 criteria issued by subsidiaries to third parties that are given recogntion in Tier 2 capital (sum of relevant output of DefCapB3-MI worksheet after application to every subsidary that has issued capital held by third
                      parties) included in Tier 2 capital
                      Provisions
 82
 83                   Total capital prior to regulatory adjustments
 84                   Regulatory adjustments to be deducted from Tier 2 capital; of which
 85                     Regulatory adjustments actually made to Tier 2 capital instruments
 86                   Total capital
 87


 88
      C) Regulatory adjustments

 89
      1) Goodwill
 90
          Basel III
 91       para ref                                                                                                                          Item                                                                                                                                  Amount
 92        67–68      Total gross value of goodwill
 93        67–68      Associated deferred tax liability which would be extinguished if the goodwill becomes impaired or derecognised under the relevant accounting standards
 94                   Goodwill net of related tax liability (amount to be deducted from Common Equity Tier 1 capital)



 95
      2) Intangibles (excluding goodwill and mortgage servicing rights only)
 96
          Basel III
 97       para ref                                                                                                                             Item                                                                                                                               Amount
 98        67–68      Total gross value of all assets classified as intangible under the relevant accounting standards (excluding goodwill and mortgage servicing rights)
 99        67–68      Associated deferred tax liability which would be extinguished if the intangible becomes impaired or derecognised under the relevant accounting standards
100                   Intangibles (excluding goodwill and mortgage servicing rights) net of related tax liability (amount to be deducted from Common Equity Tier 1 capital)




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Basel Committee on Banking Supervision                                                                                                                                                                              Confidential
Basel III monitoring template                                                                                                                                     DefCapB3

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 101
       3) Deferred tax assets
 102
           Basel III
 103       para ref                                                                                                                                Item                                                Amount
 104                   Deferred tax assets which do not rely on the future profitability of the bank to be realised
 105          70       Total value of deferred tax assets which do not rely on the future profitability of the bank to be realised (gross amount)
 106          70       Total value of deferred tax assets which do not rely on the future profitability of the bank to be realised (net amount)
 107                   Deferred tax assets which do rely on the future profitability of the bank to be realised
 108                   Total value of deferred tax assets which do rely on the future profitability of the bank to be realised (gross amount)
 109          69       Total value of deferred tax assets which do rely on the future profitability of the bank to be realised (net amount); of which:
 110          69        amounts arising from carryforwards of unused tax losses, unused tax credits and all other (net of pro rata share of any DTLs)
 111          69        amounts arising from temporary differences (net of pro rata share of any DTLs)
 112                   Amount to be deducted from Common Equity Tier 1 capital in full
 113                   Amount to be subject to the threshold for deduction



 114
       4) Investments in own shares, own Additional Tier 1 and own Tier 2 capital
 115
           Basel III
 116       para ref                                                                                                                                Item                                                Amount
 117         78        Direct investments in own shares, net of any short positions if the short positions involve no counterparty risk
 118         78        Indirect investments in own shares (eg through holdings of index securities in which the bank itself is a constituent), net of any short positions
 119         78        For own shares which the group could be contractually obliged to purchase, the total potential purchase cost
 120                   Total amount to be deducted from Common Equity Tier 1 capital
 121          78       Direct investments in own Additional Tier 1 capital, net of any short positions if the short positions involve no counterparty risk
 122          78       Indirect investments in own Additional Tier 1 capital (eg through holdings of index securities in which the bank itself is a constituent), net of any short positions
 123          78       For own Additional Tier 1 capital which the group could be contractually obliged to purchase, the total potential purchase cost
 124                   Total amount to be deducted from Additional Tier 1 capital
 125          78       Direct investments in own Tier 2 capital, net of any short positions if the short positions involve no counterparty risk
 126          78       Indirect investments in own Tier 2 capital (eg through holdings of index securities in which the bank itself is a constituent), net of any short positions
 127          78       For own Tier 2 capital which the group could be contractually obliged to purchase, the total potential purchase cost
 128                   Total amount to be deducted from Tier 2 capital



 129
       5) Reciprocal cross holdings in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation
 130
           Basel III
 131       para ref                                                                                                                              Item                                                  Amount
 132         79        Holdings of common stock that are part of a reciprocal cross holding arrangement
 133         79        Holdings of Additional Tier 1 capital or similar instruments that are part of a reciprocal cross holding arrangement (= amount to be deducted from Additional Tier 1 capital)
 134         79        Holdings of Tier 2 capital or similar instruments that are part of a reciprocal cross holding arrangement (= amount to be deducted from Tier 2 capital)




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Basel Committee on Banking Supervision                                                                                                                                                                                                                                                          Confidential
Basel III monitoring template                                                                                                                                   DefCapB3

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 135
       6) Provisions and expected losses
 136
           Basel III
 137       para ref                                                                                                                              Item                                                                                                                              Amount
 138                   For IRB portfolios
 139          73        Total gross provisions eligible for inclusion in the adjustment to capital in respect of the difference between expected loss and provisions
 140          73        Total expected loss eligible for inclusion in the adjustment to capital in respect of the difference between expected loss and provisions
 141                    Shortfall of provisions to expeced losses to be deducted from Common Equity Tier 1 capital (gross of any tax adjustement)
 142          61        Cap for inclusion of excess provisions in Tier 2 capital (0.6% of credit risk-weighted assets)
 143                    Excess of provisions to expected losses related to IRB portfolios to be included in Tier 2 capital
 144                   For standardised approach portfolios
 145          60        Total gross provisions eligible for inclusion in Tier 2 capital
 146          60        Cap for inclusion of provisions in Tier 2 capital (1.25% of credit risk-weighted assets)
 147                    Total provisions related to standardised approach to be included in Tier 2 capital
 148                   For portfolios subject to Basel I
 149                    Total gross provisions eligible for inclusion in Tier 2 capital
 150                    Cap for inclusion of provisions in Tier 2 capital (1.25% of credit risk-weighted assets)
 151                    Total provisions related to Basel I portfolios to be included in Tier 2 capital
 152                    Total amount in respect of provisions to be included in Tier 2



 153
       7) Cash flow hedge reserve
 154
           Basel III
 155       para ref                                                                                                                              Item                                                                                                                              Amount
 156                   Total positive or negative value of the cash flow hedge reserve as stated on the balance sheet; of which:
 157        71–72       positive or negative amount that relates to the hedging of projected cash flows that are not recognised on the balance sheet (if gain report as positive; if loss report as negative)
                        positive or negative amount that relates to the hedging of projected cash flows on assets that are recognised on the balance sheet but are not fair valued on the balance sheet (eg loans and receivable) (if gain report as positive; if loss report as
            71–72
 158
                        negative)
 159        71–72       positive or negative amount that relates to the hedging of projected cash flows on liabilities that are recognised on the balance sheet but are not fair valued on the balance sheet (if gain report as positive; if loss report as negative)
 160        71–72       other items, including those related to projected cash flows on assets and liabilities which are recognised on the balance sheet and are fair valued (if gain report as positive; if loss report as negative)
 161                   Amount to be deducted from (or added to if negative) Common Equity Tier 1 capital



 162
       8) Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
 163
           Basel III
 164       para ref                                                                                                                             Item                                                                                                                               Amount
                       Total cumulative net gains and (losses) in equity due to changes in the fair value of liabilities that are due to a change in the bank's own credit risk. Amount to be deducted from (or added to if negative) Common Equity
              75
 165
                       Tier 1 capital (if gain report as positive; if loss report as negative)
            CP on       of which: total cumulative net gains and (losses) in equity due to changes in the fair value of derivatives that are due to a change in the bank's own credit risk. Amount to be deducted from (or added to if negative) Common Equity Tier 1 capital
 166
            DVAs        (if gain report as positive; if loss report as negative)
 167
            CP on
                       Total derivative debit valuations adjustments
 168
            DVAs



 169
       9) Defined benefit pension fund assets
 170
           Basel III
 171       para ref                                                                                                                           Item                                                                                                                                 Amount
 172        76–77      For every separate defined benefit pension scheme which gives rise to a net asset on the balance sheet, the total of such net assets less any associated deferred tax liability that would be extinguished if the asset should be impaired
 173        76–77      Amount by which the above deduction from capital can be reduced by demonstrating unrestricted and unfettered access to assets in the relevant funds
 174        76–77      Amount to be included in risk-weighted assets in respect of the amounts used above to offset the deduction of pension fund assets
 175                   Total amount to be deducted from Common Equity Tier 1 capital




12/16/201311:54 AM                                                                                                                                                                                                                                                                              Page 11 of43
Basel Committee on Banking Supervision                                                                                                                                                                               Confidential
Basel III monitoring template                                                                                                                   DefCapB3

       A       B                                                                                                                      C                                                                   D      E




 176
       10) Securitisation gain on sale (expected future margin income) as set out in paragraph 562 of the Basel II framework
 177
           Basel III
 178       para ref                                                                                                                Item                                                                 Amount
 179         74        Securitisation gain on sale (expected future margin income) as set out in paragraph 562 of the Basel II framework


       11) Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation and where the bank does not own more than 10% of the issued
 180
       common share capital (excluding amounts held for underwriting purposes only if held for 5 working days or less)
 181
           Basel III
 182       para ref                                                                                                                  Item                                                               Amount
 183        80–83      Gross holdings of common stock
 184        80–83      Permitted offsetting short positions in relation to the specific gross holdings included above
 185                   Holdings of common stock net of short positions
 186        80–83      Gross holdings of Additional Tier 1 capital
 187        80–83      Permitted offsetting short positions in relation to the specific gross holdings included above
 188                   Holdings of Additional Tier 1 capital net of short positions
 189        80–83      Gross holdings of Tier 2 capital
 190        80–83      Permitted offsetting short positions in relation to the specific gross holdings included above
 191                   Holdings of Tier 2 capital net of short positions
 192
 193                   Sum of all net holdings where the bank does not own more than 10% of the issued share capital
 194                   Common Equity Tier 1 capital after all regulatory adjustments that do not depend on a threshold
                       Amount by which the sum of all holdings exceeds 10% of the Common Equity Tier 1 capital of the bank after all deductions that do not depend on a threshold
 195
                       (this is the amount to be deducted from regulatory capital)
 196                   Allocation of the deduction to Common Equity Tier 1 capital
 197                   Allocation of the deduction to Additional Tier 1 capital
 198                   Allocation of the deduction to Tier 2 capital
 199
 200                   Amounts not deducted (to be subject to relevant risk weighting with amounts below allocated on a pro rata basis in accordance with paragraph 83 of Basel III)
 201                    Holdings of common stock net of short positions
 202                    Holdings of Additional Tier 1 capital net of short positions
 203                    Holdings of Tier 2 capital net of short positions
 204
 205                   Total risk weighted assets of amounts not deducted (set out in cells D201 to D203); of which amounts that relate to:
 206                    Holdings of common stock net of short positions (ie risk weighted assets of exposures in cell D201)
 207                    Holdings of Additional Tier 1 capital net of short positions (ie risk weighted assets of exposures in cell D202)
 208                    Holdings of Tier 2 capital net of short positions (ie risk weighted assets of exposures in cell D203)




12/16/201311:54 AM                                                                                                                                                                                                   Page 12 of43
Basel Committee on Banking Supervision                                                                                                                                                                     Confidential
Basel III monitoring template                                                                                                                               DefCapB3

       A       B                                                                                                                              C                                                 D      E



       12) Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (ie where the bank owns more than 10%
 209
       of the issued common share capital or where the entity is an affiliate), excluding amounts held for underwriting purposes only if held for 5 working days or less
 210
           Basel III
 211       para ref                                                                                                                         Item                                              Amount
 212        84–86      Gross holdings of common stock
 213        84–86      Permitted offsetting short positions in relation to the specific gross holdings included above
 214                   Holdings of common stock net of short positions
 215        84–86      Gross holdings of Additional Tier 1 capital
 216        84–86      Permitted offsetting short positions in relation to the specific gross holdings included above
 217                   Holdings of Additional Tier 1 capital net of short positions
 218        84–86      Gross holdings of Tier 2 capital
 219        84–86      Permitted offsetting short positions in relation to the specific gross holdings included above
 220                   Holdings of Tier 2 capital net of short positions
 221
 222                   Common Equity Tier 1 capital after all regulatory adjustments except significant investments in financials, MSRs and DTA temporary difference)
 223                   Amount to be deducted from Common Equity Tier 1 capital as a result of application of 10% cap
 224                   Amount to be deducted from Additional Tier 1 capital
 225                   Amount to be deducted from Tier 2 capital



 226
       13) Mortgage servicing rights
 227
           Basel III
 228       para ref                                                                                                                          Item                                             Amount
 229         87        Total mortgage servicing rights classified as intangible
 230         87        Associated deferred tax liability which would be extinguished if the intangible becomes impaired or derecognised under the relevant accounting standards
 231                   Mortgage servicing rights net of related tax liability
 232                   Common Equity Tier 1 after all regulatory adjustments except significant investments in financials, MSRs and DTA temporary difference)
 233                   Amount to be deducted from Common Equity Tier 1 capital as a result of application of 10% cap



 234
       14) Deferred tax assets due to temporary differences
 235                                                                                                                                                                                          Amount
 236                   Net deferred tax assets due to temporary differences
 237                   Common Equity Tier 1 capital after all regulatory adjustments except significant investments in financials, MSRs and DTA temporary differences)
 238                   Amount to be deducted from Common Equity Tier 1 capital as a result of application of 10% cap



 239
       15) Aggregate of items subject to the 15% limit (significant investments in financial institutions, mortgage servicing rights and DTAs that arise from temporary differences)
 240                                                                                                                                                                                          Amount
 241                   Significant investments in the common equity of financial entities not deducted as part of the 10% cap
 242                   Mortgage servicing rights not deducted as part of the 10% cap
 243                   Deferred tax assets due to temporary differences not deducted as part of the 10% cap
 244                   Sum of significant investments in financials, mortgage servicing rights and DTA temporary differences not deducted as a result of the 10% cap
 245                   Deduction from Common Equity Tier 1 capital in respect of amounts above the 15% cap
 246
 247                   Assumed amounts not deducted (to be subject to 250% risk weighting)
 248                    Significant investments in the common equity of financial entities
 249                    Mortgage servicing rights
 250                    Deferred tax assets due to temporary differences
 251                    Total
 252




12/16/201311:54 AM                                                                                                                                                                                         Page 13 of43
Basel Committee on Banking Supervision                                                                                                                                                                                                                                                                 Confidential
Basel III monitoring template                                                                                                                                   DefCapB3-MI

      A        B                                                                                                                                   C                                                                                                                                D          E


 1
      Basel III definition of capital minority interest calculation
 2
      D) Capital issued out of subsidiaries to third parties (paragraphs 62-65)

          (A separate column should be completed for each subsidairy issuing capital to third parties)
 3
           Basel III
 4         para ref                                                                                                                              Item                                                                                                                             Amount       1
                       Total Common Equity Tier 1 capital of the subsidiary net of deductions (if the subsidiary is not a bank, as defined in footnote 23 of the rules text, zero must be entered into this cell with the common equity to be included in the Total Tier 1 cell
              62
 5
                       below);
 6           62         paid in amount plus related reserves/retained earnings owned by group gross of all deductions
 7           62         paid in amount plus related reserves/retained earnings owned by third parties gross of all deductions
 8           63        Total Tier 1 (CET1 + AT1) of the subsidiary net of deductions
 9           63         paid in amount plus related reserves/retained earnings owned by group gross of all deductions
 10          63         paid in amount plus related reserves/retained earnings owned by third parties gross of all deductions
 11          64        Total capital (CET1 + AT1 + T2) of the subsidiary net of deductions
 12          64         paid in amount plus related reserves/retained earnings owned by group gross of all deductions
 13          64         paid in amount plus related reserves/retained earnings owned by third parties gross of all deductions
 14         62–64      Total risk-weighted assets of the subsidiary
 15         62–64      Risk-weighted assets of the consolidated group that relate to the subsidiary (ie risk-weighted assets of the subsidiary excluding intra-group transactions)
 16                    Lower of the risk-weighted assets of the subsidiary and the contribution to consolidated risk-weighted assets                                                                                                                                                               0
 17                    Common Equity Tier 1 capital
 18                    Surplus Common Equity Tier 1 capital of the subsidiary; of which                                                                                                                                                                                                            0
 19                     amount attributable to third parties                                                                                                                                                                                                                                       0
 20                    Total Common Equity Tier 1 capital of the subsidiary held by third parties less surplus attributable to third party investors                                                                                                                                               0
 21                    Total Tier 1 capital
 22                    Surplus Total Tier 1 capital of the subsidiary; of which                                                                                                                                                                                                                    0
 23                     amount attributable to third parties                                                                                                                                                                                                                                       0
 24                    Total Tier 1 capital of the subsidiary held by third parties less surplus attributable to third party investors                                                                                                                                                             0
 25                    Total capital
 26                    Surplus Total capital of the subsidiary; of which                                                                                                                                                                                                                           0
 27                     amount attributable to third parties                                                                                                                                                                                                                                       0
 28                    Total capital of the subsidiary held by third parties less surplus attributable to third party investors                                                                                                                                                                    0
 29                    Amount of Common Equity Tier 1 capital held by third parties to be included in consolidated Common Equity Tier 1 capital                                                                                                                                            0       0
 30                    Amount of Tier 1 capital held by third parties to be included in consolidated Additional Tier 1 capital                                                                                                                                                             0       0
 31                    Amount of Total capital held by third parties to be included in consolidated Tier 2 capital                                                                                                                                                                         0       0
 32




12/16/201311:54 AM                                                                                                                                                                                                                                                                                     Page 14 of43
Basel Committee on Banking Supervision                                                                                                                    Confidential
Basel III monitoring template                                                    DefCapB3-MI

          F               G              H       I       J       K       L        M            N        O        P        Q        R        S        T


 1


 2




 3


 4        2               3              4       5       6       7       8        9            10       11       12       13       14       15       16


 5
 6
 7
 8
 9
 10
 11
 12
 13
 14
 15
 16              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 17
 18              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 19              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 20              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 21
 22              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 23              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 24              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 25
 26              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 27              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 28              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 29              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 30              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 31              0              0            0       0       0       0       0          0           0        0        0        0        0        0        0
 32




12/16/201311:54 AM                                                                                                                                        Page 15 of43
Basel Committee on Banking Supervision                                                                                                                         Confidential
Basel III monitoring template                                                         DefCapB3-MI

          U               V              W        X        Y        Z        AA        AB           AC       AD       AE       AF       AG       AH       AI


 1


 2




 3


 4        17              18             19       20       21       22       23        24           25       26       27       28       29       30


 5
 6
 7
 8
 9
 10
 11
 12
 13
 14
 15
 16              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 17
 18              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 19              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 20              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 21
 22              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 23              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 24              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 25
 26              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 27              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 28              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 29              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 30              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 31              0              0             0        0        0        0        0          0           0        0        0        0        0        0
 32




12/16/201311:54 AM                                                                                                                                             Page 16 of43
            Basel Committee on Banking Supervision                                                                                                                                                                                                                                                         Confidential
            Basel III monitoring template                                                                                                                   Leverage Ratio

     A       B                                                    C                                                D                  E                 F                    G              H           I           J                  K                 L                  M                  N           O


1
     Leverage ratio
2
     A) On-balance sheet items
3
4                    Amounts should be net of specific provisions and valuations adjustments.
5
6                                                                                                                                                Previous quarter                                                                                 Reporting date
                                                                                                             Accounting          Gross value      Value with Basel II netting rules      Check:               Accounting          Gross value      Value with Basel II netting rules        Check:
7        Basel III
                                                                                                            balance sheet        (assume no                                           accounting ≤           balance sheet        (assume no                                             accounting ≤
         para ref
                                                                                                                value          netting or CRM)      Method 1           Method 2        gross value               value          netting or CRM)      Method 1           Method 2          gross value
8
9        160, 161    Derivatives:
10                    Credit derivatives (protection sold)                                                                                                                                 Yes                                                                                               Yes
11                    Credit derivatives (protection bought)                                                                                                                               Yes                                                                                               Yes
12                    Financial derivatives                                                                                                                                                Yes                                                                                               Yes
13         159       Securities financing transactions
14                    SFT covered by a Basel II netting agreement                                                                                                                          Yes                                                                                               Yes
15                    Other SFT                                                                                                                                                            Yes                                                                                               Yes
16       157, 158    Other assets                                                                                                                                                          Yes                                                                                               Yes
17                   Totals
18
19                   Check: Derivatives value with Basel II netting rules ≤ gross values                                                               Yes                                                                                              Yes
20                   Check: SFT value with Basel II netting rules ≤ gross values                                                                       Yes                Yes                                                                           Yes                Yes
21


22
     B) Derivatives and off-balance sheet items
23
24                                                                                                                                               Previous quarter                                                                                 Reporting date

                                                                                                                               Potential future exposure (current                                                               Potential future exposure (current
                                                                                                            Potential future    exposure method; apply Basel II                                              Potential future    exposure method; apply Basel II
                                                                                                               exposure                   netting rules)                                                        exposure                   netting rules)
25       Basel III                                                                                         (current exposure                                                        Check: notional ≥       (current exposure                                                          Check: notional ≥
                                                                                                                                                                    Notional amount                                                                                  Notional amount
         para ref                                                                                           method; assume                                                          accounting value         method; assume                                                            accounting value
                                                                                                             no netting or                                                                                    no netting or
                                                                                                                 CRM)             Method 1          Method 2                                                      CRM)             Method 1          Method 2

26
27         161       B1 ) Derivatives
28                   Derivatives:
29                    Credit derivatives (protection sold); of which:                                                                                                                      Yes                                                                                               Yes
30                       subject to close out clause
31                       not subject to close out clause
32                    Credit derivatives (protection bought)                                                                                                                               Yes                                                                                               Yes
33                    Financial derivatives                                                                                                                                                Yes                                                                                               Yes
34       162, 163    B2) Off-balance sheet items
35                   Off-balance sheet items with a 0% CCF in the RSA; of which:
36         164        Unconditionally cancellable credit cards commitments
37         164        Other unconditionally cancellable commitments
38                   Off-balance sheet items with a 20% CCF in the RSA
39                   Off-balance sheet items with a 50% CCF in the RSA
40                   Off-balance sheet items with a 100% CCF in the RSA
41                   Total off-balance sheet items
42
43                   Check: Unconditionally cancellable commitments should not exceed off-balance items with a 0% CCF                                                     Yes                                                                                              Yes
44




            12/16/201311:54 AM                                                                                                                                                                                                                                                                             Page 17 of43
            Basel Committee on Banking Supervision                                                                                                                                                                                                   Confidential
            Basel III monitoring template                                                                                                                 Leverage Ratio

     A       B                                                   C                                               D                 E                  F                    G   H   I          J                 K                 L          M   N   O


45
     C) On- and off-balance sheet items – additional breakdown of exposures
46
47                                                                                                                                             Previous quarter                                                             Reporting date


                                                                                                          On-balance sheet Off-balance sheet                                           On-balance sheet Off-balance sheet
         Basel III                                                                                        exposures: EAD/     exposures:                                               exposures: EAD/     exposures:
         para ref                                                                                          solvency-based      notional x                                               solvency-based      notional x
                                                                                                                value       regulatory CCF                                                   value       regulatory CCF

48
                     Total on- and off-balance sheet exposures belonging to the banking book (breakdown
           165
49
                     according to the effective risk weight):
50                   = 0%
51                   > 0 and ≤ 12%
52                   > 12 and ≤ 20%
53                   > 20 and ≤ 50%
54                   > 50 and ≤ 75%
55                   > 75 and ≤ 100%
56                   > 100 and ≤ 425%
57                   > 425 and ≤ 1250%
58                   Defaulted exposures under the IRB approach
60


61
     D) Reconciliation (following relevant accounting standards)
62
63                                                                                                                                             Previous quarter                                                             Reporting date

         Basel III
                                                                                                              Amount                                                                       Amount
         para ref
64
65                   Accounting total assets
66                   Check: Total equals total accounting values in panel A                                     Yes                                                                          Yes
67                   Reverse out on-balance sheet netting
68                   Reverse out derivatives netting
69                   Reverse out SFT netting
70                   Reverse out other netting and other adjustments
71                   Totals
72                   Check: Total equals total gross values in panel A                                          Yes                                                                          Yes
73




            12/16/201311:54 AM                                                                                                                                                                                                                       Page 18 of43
            Basel Committee on Banking Supervision                                                                                                                                                                                                                          Confidential
            Basel III monitoring template                                                                                                                          Leverage Ratio

     A       B                                                     C                                                         D                E                F                    G      H   I          J                K                L               M           N   O


74
     E) Offsetting
75
76                                                                                                                                                      Previous quarter                                                              Reporting date

                                                                                                                                                        Notional amount Notional amount                                              Notional amount Notional amount
                                                                                                                                        Notional amount (same reference (same reference                              Notional amount (same reference (same reference
         Basel III
                                                                                                                      Notional amount   (same reference    name and      name and bought           Notional amount   (same reference    name and      name and bought
         para ref
                                                                                                                                             name)       counterparty or protection from                                  name)       counterparty or protection from
                                                                                                                                                             CCP)             CCP)                                                        CCP)             CCP)
77
78         165       Credit derivatives:
79                    Credit derivatives (protection sold)
80                    Credit derivatives (protection bought)
81                    Credit derivatives (protection sold less protection bought)
83
84                   Check: Sum of total credit derivatives should be the same as that in panel B                           Yes                                                                          Yes
85                   Check: Credit derivatives (protection sold) should be the same as that in panel B                      Yes                                                                          Yes
86                   Check: Credit derivatives (protection bought) should be the same as that in panel B                    Yes                                                                          Yes
                     Check: Credit derivatives purchased are consistently filled-in (see reporting instructions for
                                                                                                                            Yes              Yes              Yes               Yes                      Yes              Yes              Yes             Yes
87
                     more details)
88


89
     F) Calculation of the leverage ratio
90
91                                                                                                                                                      Previous quarter                                                              Reporting date
         Basel III
                                                                                                                         Amount                                                                       Amount
92
         para ref
93         154       Tier 1 capital
94                   Total exposures
95         156       Total additional assets to be included due to paragraph 156
96         155       Regulatory adjustments
97                   Total exposures for the calculation of the leverage ratio
98         153       Leverage ratio
99




            12/16/201311:54 AM                                                                                                                                                                                                                                              Page 19 of43
             Basel Committee on Banking Supervision                                                                                                                                                                    Confidential
             Basel III monitoring template                                                                                                          Leverage Ratio

      A       B                                                  C                                                     D                   E        F                G   H   I     J      K         L          M   N   O


100
      G) Business model categorisation
101
102       Total on and off balance sheet exposures. Amounts shown should be the LR exposure measure values.                                                                                   Reporting date
103                                                                                                                                                                              Amount
104                   Total exposures; of which:
105                    Total trading book exposures; of which:
106                      Derivatives, SFTs
107                      Other trading book exposures
108                    Total banking book exposures; of which:
109                      Derivatives, SFTs
110                      Investments in covered bonds
111                      Other banking book exposures; of which:
112                         Sovereigns; of which:
113                          Public sector entities (PSEs); of which:
114                            PSEs guaranteed by central government
115                            PSEs not guaranteed by central government but treated as a sovereign under paragraph 229 of the Basel II framework
116                            Check: PSEs in rows 114 and 115 should be less than or equal to overall PSEs in row 113                                                            Yes
117                          MDBs
118                          Other sovereign exposures
119                         Banks
120                         Retail exposures; of which;
121                          Residential real estate exposures
122                          SME exposures
123                          Qualifying revolving retail exposures
124                          Other retail exposures
125                         Corporate; of which;
126                          Financial
127                          Non-financial; of which:
128                            SME exposures
129                            Commercial real estate
130                            Other corporate non-financial
131                         Other exposures (eg equity and other non-credit obligation assets); of which:
132                          Securitisation exposures
133                          Check: Securitisation exposures should be lower than total other exposures                                                                           Yes
134                   Check: Total value in cell J104 should equal total in cell J94.                                                                                             Yes
135
136                   Memo item: trade finance exposures
137




             12/16/201311:54 AM                                                                                                                                                                                        Page 20 of43
Basel Committee on Banking Supervision                                                                                                                                                                                Confidential
Basel III monitoring template                                                                                                                                LCR

      A                                                               B                                                                      C               D         E   F     G                H       I   J   K


 1
      LCR
 2
      A) Stock of high quality liquid assets

 3
      a) Level 1 assets
 4
                                                                                                                                      Paragraph nr in    Amount/                               Weighted
                                                                                                                                                                               Weight
 5
                                                                                                                                         rules doc      market value                            amount
 6        Cash                                                                                                                             40 (a)                                       1.00
 7        Central bank reserves; of which:
 8          part of central bank reserves that can be drawn in times of stress                                                             40 (b)                                       1.00
 9          Check: row 8 ≤ row 7                                                                                                                           Pass
 10       Securities with a 0% risk weight:                                                                                               40 (c)
 11         issued by sovereigns                                                                                                          40 (c)                                        1.00
 12         guaranteed by sovereigns                                                                                                      40 (c)                                        1.00
 13         issued or guaranteed by central banks                                                                                         40 (c)                                        1.00
 14         issued or guaranteed by non-central government PSEs                                                                           40 (c)                                        1.00
 15         issued or guaranteed by BIS, IMF, EC, or MDBs                                                                                 40 (c)                                        1.00
          Of the amount in row 8 and rows 11 to 15, that which was assigned a rating by an external ratings agency that
 16
          corresponds to a 0% risk weight
          Of the amount in row 8 and rows 11 to 15, that which was not assigned a rating by an external rating agency that
          corresponds to a 0% risk weight but which was nevertheless given a 0% risk weight due to the local currency exemption
 17
          per paragraph 54 of Basel II
 18       Check: row 16 + 17 ≤ sum of rows 8 and 11 to 15                                                                                                  Pass
 19       For non-0% risk-weighted sovereigns:
           sovereign or central bank debt securities issued in domestic currencies by the sovereign or central bank in the country
                                                                                                                                          40 (d)                                        1.00
 20
           in which the liquidity risk is being taken or in the bank’s home country
           domestic sovereign or central bank debt securities issued in foreign currencies, to the extent that holding of such debt
                                                                                                                                          40 (e)                                        1.00
 21
           matches the currency needs of the bank’s operations in that jurisdiction
 22       Total stock of Level 1 assets                                                                                                     39
 23       Adjustment to stock of Level 1 assets                                                                                             37
 24       Adjusted amount of Level 1 assets                                                                                                 37



 25
      b) Level 2 assets
                                                                                                                                      Paragraph nr in                                          Weighted
                                                                                                                                                        Market value           Weight
 26
                                                                                                                                         rules doc                                              amount
 27       Securities with a 20% risk weight:                                                                                               42 (a)
 28        issued by sovereigns                                                                                                            42 (a)                                       0.85
 29        guaranteed by sovereigns                                                                                                        42 (a)                                       0.85
 30        issued or guaranteed by central banks                                                                                           42 (a)                                       0.85
 31        issued or guaranteed by non-central government PSEs                                                                             42 (a)                                       0.85
 32        issued or guaranteed by MDBs                                                                                                    42 (a)                                       0.85
          Of the amount in rows 28 to 32, that which was assigned a rating by an external ratings agency that corresponds to a
 33
          20% risk weight
 34       Check: row 33 ≤ row 27                                                                                                                           Pass
 35       Non-financial corporate bonds, rated AA- or better                                                                               42 (b)                                       0.85
 36       Covered bonds, not self-issued, rated AA- or better                                                                              42 (b)                                       0.85
 37       Total stock of Level 2 assets                                                                                                  42 (a),(b)
 38       Adjustment to stock of Level 2 assets                                                                                             37
 39       Adjusted amount of Level 2 assets                                                                                                 37                                          0.85
 40       Adjustment to stock of high quality liquid assets due to cap on Level 2 assets                                                 36–37, 41




12/16/201311:54 AM                                                                                                                                                                                                    Page 21 of43
Basel Committee on Banking Supervision                                                                                                                                                                                        Confidential
Basel III monitoring template                                                                                                                             LCR

      A                                                                 B                                                                    C             D                E      F     G                H       I   J   K




 41
      c) Total stock of high quality liquid assets
                                                                                                                                                                                                       Weighted
 42
                                                                                                                                                                                                        amount
 43       Total stock of high quality liquid assets
 44
 45                                                                                                                                   Paragraph nr in         Market value
 46
                                                                                                                                         rules doc      Level 1          Level 2
 47       Assets held at the entity level, but excluded from the consolidated stock of high quality liquid assets                       30, 193–194
 48         of which, can be included in the consolidated stock by the time the standard is implemented
 49         Check: row 48 ≤ row 47                                                                                                                       Pass             Pass
          Assets excluded from the stock of high quality liquid assets due to operational restrictions as per pargaphs 28 and 29 of
                                                                                                                                          28–29
 50
          the rules text
 51         of which, can be brought back into the qualifying stock by the time the standard is implemented
 52         Check: row 51 ≤ row 50                                                                                                                       Pass             Pass



 53
      d) Treatment for jurisdictions with insufficient liquid assets
 54
 55       Panel d) to be filled in in your jurisdiction:                                                                                    No
 56
                                                                                                                                      Paragraph nr in                                                  Weighted
                                                                                                                                                        Amount                         Weight
 57
                                                                                                                                         rules doc                                                      amount
 58       Option 1 – Contractual committed liquidity facilities from the relevant central bank                                               47                                                 0.00
 59       Option 2 – Foreign currency liquid assets; of which:                                                                               48
 60        Level 1 assets                                                                                                                                                                       0.00
 61        Level 2 assets                                                                                                                                                                       0.00
 62       Option 3 – Additional use of Level 2 assets at a higher haircut                                                                   49                                                  0.00
 63       Total usage of alternative treatment (post-haircut) before applying the cap
 64       Cap on usage of alternative treatment
 65       Total usage of alternative treatment (post-haircut) after applying the cap



 66
      e) Total stock of high quality liquid assets plus usage of alternative treatment
 67
 68       Total stock of high quality liquid assets plus usage of alternative treatment
 69




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Basel Committee on Banking Supervision                                                                                                                                                             Confidential
Basel III monitoring template                                                                                                                LCR

      A                                                              B                                                          C            D      E   F     G                H       I   J   K


 70
      B) Net cash outflows

 71
      1) Cash outflows

 72
      a) Retail deposit run-off
                                                                                                                         Paragraph nr in                                    Weighted
                                                                                                                                           Amount           Weight
 73
                                                                                                                            rules doc                                        amount
 74       Total retail deposits; of which:
 75        Insured deposits; of which:
 76          in transactional accounts                                                                                       56, 58                                  0.05
 77          in non-transactional accounts with established relationships that make deposit withdrawal highly unlikely         56                                    0.05
 78          in non-transactional and non-relationship accounts                                                                57                                    0.10
 79        Uninsured deposits                                                                                                  57                                    0.10
 80        Additional deposit categories with higher run-off rates as specified by supervisor                                  57
 81          Category 1                                                                                                                                              0.00
 82          Category 2                                                                                                                                              0.00
 83          Category 3                                                                                                                                              0.00
 84        Fixed-term deposits (treated as having >30 day remaining maturity); of which:                                     62, 64
 85          With a supervisory run-off rate                                                                                   64                                    0.00
 86          Without a supervisory run-off rate                                                                                62                                    0.00
 87       Total retail deposits run-off




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Basel III monitoring template                                                                                                                   LCR

       A                                                               B                                                            C            D      E   F     G                H       I   J   K




 88
       b) Unsecured wholesale funding run-off
                                                                                                                             Paragraph nr in                                    Weighted
                                                                                                                                               Amount           Weight
 89
                                                                                                                                rules doc                                        amount
 90        Total unsecured wholesale funding                                                                                      65–83
 91         Total funding provided by small business customers; of which:                                                         69–71
 92           Insured deposits; of which:                                                                                           69
 93              in transactional accounts                                                                                          69                                   0.05
 94              in non-transactional accounts with established relationships that make deposit withdrawal highly unlikely          69                                   0.05
 95              in non-transactional and non-relationship accounts                                                                 69                                   0.10
 96           Uninsured deposits                                                                                                    69                                   0.10
 97           Additional deposit categories with higher run-off rates as specified by supervisor                                    69
 98              Category 1                                                                                                                                              0.00
 99              Category 2                                                                                                                                              0.00
 100             Category 3                                                                                                                                              0.00
 101          Fixed-term deposits (treated as having >30 day maturity); of which:                                                 71
 102             With a supervisory run-off rate                                                                                  71                                     0.00
 103             Without supervisory run-off rate                                                                                 71                                     0.00
 104        Total operational deposits; of which:                                                                                72–78
 105          provided by non-financial corporates                                                                               72–78
 106             insured                                                                                                          78                                     0.05
 107             uninsured                                                                                                       72–77                                   0.25
 108          provided by sovereigns, central banks, PSEs and MDBs                                                               72–77
 109             insured                                                                                                          78                                     0.05
 110             uninsured                                                                                                       72–77                                   0.25
 111          provided by banks                                                                                                  72–77                                   0.25
 112          provided by other financial institutions and other legal entities                                                  72–77                                   0.25




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Basel Committee on Banking Supervision                                                                                                                                                                                               Confidential
Basel III monitoring template                                                                                                                              LCR

       A                                                              B                                                                     C                D                 E          F     G                H       I   J   K
 113        Total non-operational deposits; of which                                                                                      79–82
 114          provided by non-financial corporates                                                                                         81                                                          0.75
 115          provided by sovereigns, central banks, PSEs and MDBs; of which amounts which relate to cases where the:                      81                                                          0.75
 116          provided by members of the institutional networks of cooperative (or otherwise named) banks                                  79                                                          0.25
 117          provided by other banks                                                                                                      82                                                          1.00
 118          provided by other financial institutions and other legal entities                                                            82                                                          1.00
 119        Unsecured debt issuance                                                                                                        83                                                          1.00
 120        Additional balances required to be installed in central bank reserves                                                                                                                      1.00
 121       Total unsecured wholesale funding run-off
 122
           Of the non-operational deposits reported above, amounts that could be considered operational in nature but per the rules
 123
           text have been excluded due to:
 124         correspondent banking activity                                                                                                 74
 125         Check: row 124 ≤ sum of rows 117 and 118                                                                                                      Pass
 126         prime brokerage services                                                                                                       74
 127         Check: row 126 ≤ sum of rows 117 and 118                                                                                                      Pass
             excess balances in operational accounts that could be withdrawn and would leave enough funds to fulfil operational
                                                                                                                                            72
 128
             requirements
 129         Check: row 128 ≤ sum of rows 114 to 118                                                                                                       Pass



 130
       c) Secured funding run-off
                                                                                                                                                                        Market value of
                                                                                                                                      Paragraph nr in                                                         Weighted
                                                                                                                                                      Amount received     extended            Weight
                                                                                                                                         rules doc                                                             amount
 131
                                                                                                                                                                          collateral
 132       Transactions backed by Level 1 assets; of which:                                                                               86–87                                                        0.00
 133         Transactions involving eligible liquid assets – see instructions for more detail                                             86–87
 134         Check: row 133 ≤ row 132                                                                                                                      Pass              Pass
 135       Transactions backed by Level 2 assets; of which:                                                                               86–87                                                        0.15
 136         Transactions involving eligible liquid assets – see instructions for more detail                                             86–87
 137         Check: row 136 ≤ row 135                                                                                                                      Pass              Pass
 138       Transactions backed by other assets:                                                                                           86–87
 139         where the counterparties are domestic sovereigns, central banks or 20% risk weight PSEs                                      86–87                                                        0.25
 140         with other counterparties                                                                                                    86–87                                                        1.00
 141       Total secured wholesale funding run-off




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Basel III monitoring template                                                                                                                                 LCR

       A                                                                   B                                                                      C            D           E                F            G                H       I   J   K




 142
       d) Additional requirements
                                                                                                                                           Paragraph nr in                                                             Weighted
                                                                                                                                                             Amount                                    Weight
 143
                                                                                                                                              rules doc                                                                 amount
 144       Net known derivatives payables (=0 if net receivable)                                                                                  88                                                            1.00
 145       Check: row 144 = 0 if row 236 > 0                                                                                                                  Pass
 146       Increased liquidity needs due to downgrade triggers in derviatives and other financing transactions                                   89                                                             1.00
           Increased liquidity needs related to the potential for valuation changes on posted collateral securing derivative and other
                                                                                                                                                 90
 147
           transactions:
 148         Cash and Level 1 liquid assets                                                                                                                                                                     0.00
 149         For other collateral (ie all non-Level 1 collateral)                                                                                                                                               0.20
           Increased liquidity needs related to collateral requirements that have yet-to-be fulfilled in respect of collateral posted to
 150
           the reporting institution on derivatives transactions that is in excess of collateral required
           Increased liquidity needs related to collateral requirements that have yet-to-be fulfilled in respect of collateral that is
 151
           contractually due from the reporting institution on derivatives transactions
           Increased liquidity needs related to derivative transactions that allow collateral substitution to non-Level 1 or non-Level 2
 152
           assets
 153       Loss of funding on ABS and other structured financing instruments issued by the bank, excluding covered bonds                         91                                                             1.00
 154       Loss of funding on ABCP, conduits, SIVs and other such financing activities; of which:                                                92
 155         debt maturing ≤ 30 days                                                                                                             92                                                             1.00
 156         with embedded options in financing arrangements                                                                                     92                                                             1.00
 157         other potential loss of such funding                                                                                                92                                                             1.00
 158       Loss of funding on covered bonds issued by the bank                                                                                   91                                                             1.00
 159       Undrawn committed credit and liquidity facilities to retail and small business customers                                             97 (a)                                                          0.05
 160       Undrawn committed credit facilities to
 161         non-financial corporates; of which:                                                                                                97 (b)                                                          0.10
 162           relates to available, unused capacity of liqudity facilities to non-financial corporates
 163         sovereigns, central banks, PSEs and MDBs; of which:                                                                                97 (b)                                                          0.10
 164           relates to available, unused capacity of liqudity facilities to sovereigns, central banks, PSEs and MDBs
 165       Undrawn committed liquidity facilities to
 166         non-financial corporates                                                                                                           97 (c)                                                          1.00
 167         sovereigns, central banks, PSEs and MDBs                                                                                           97 (c)                                                          1.00
 168       Undrawn committed credit and liquidity facilities to financial institutions and other legal entities                                 97 (d)                                                          1.00
 169
                                                                                                                                           Paragraph nr in            roll-over of                                     Weighted
                                                                                                                                                             Amount                  excess outflows   Weight
 170       Other contractual obligations to extend funds to                                                                                   rules doc                 inflows                                         amount
 171        financial institutions                                                                                                                98                                                            1.00
 172        retail clients                                                                                                                        99
 173        small business customers                                                                                                              99
 174        non-financial corporates                                                                                                              99
 175        other clients                                                                                                                         99
 176        retail, small business customers, non-financials and other clients                                                                                                                                  1.00

           Total contractual obligations to extend funds in excess of 50% roll-over assumption
 177




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Basel Committee on Banking Supervision                                                                                                                                                     Confidential
Basel III monitoring template                                                                                                       LCR

       A                                                                B                                               C            D      E   F     G                H       I   J   K
 178
                                                                                                                                                                    Weighted
 179
                                                                                                                                                                     amount
 180       Total additional requirements run-off
 181
                                                                                                                 Paragraph nr in                                    Weighted
           Other contingent funding obligations                                                                                    Amount           Weight
 182
                                                                                                                    rules doc                                        amount
 183       Unconditionally revocable "uncommitted" credit and liquidity facilities                                     103                                   0.00
 184       Guarantees                                                                                                  103                                   0.00
 185       Letters of credit                                                                                           103                                   0.00
 186       Other trade finance instruments                                                                             103                                   0.00
 187       Non-contractual obligations:                                                                                103
 188         Debt-buy back requests (incl related conduits)                                                            103                                   0.00
 189         Structured products                                                                                       103                                   0.00
 190         Managed funds                                                                                             103                                   0.00
 191         Other non-contractual obligations                                                                         103                                   0.00
 192       Outstanding debt securities with remaining maturity > 30 days                                               103                                   0.00
 193       Increased liquidity needs relating to market valuation changes on derivatives or other transactions         103                                   0.00
 194       Other contractual cash outflows; of which:                                                                  104                                   1.00
 195         outflow due to a short position
 196         Check: row 195 ≤ row 194                                                                                               Pass
 197       Total run-off on other contingent funding obligations



 198
       e) Total cash outflows
 199
 200       Total cash outlfows




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Basel Committee on Banking Supervision                                                                                                                                                                                                Confidential
Basel III monitoring template                                                                                                                                   LCR

       A                                                                 B                                                                         C             D              E          F     G                H       I   J   K




 201
       2) Cash inflows

 202
       a) Reverse repo and securities borrowing
                                                                                                                                                                         Market value of
                                                                                                                                            Paragraph nr in    Amount                                          Weighted
                                                                                                                                                                            received           Weight
                                                                                                                                               rules doc      extended                                          amount
 203
                                                                                                                                                                           colllateral
 204       Reverse repo and other secured lending or securities borrowing transactions maturing ≤ 30 days                                      108–109
            Of which collateral is not re-used (ie is not rehypothecated) to cover the reporting institutions outright short positions in
                                                                                                                                               108–109
 205
            transactions in which the collateral is tied up for > 30 days
 206          Transactions backed by Level 1 assets; of which:                                                                                 108–109                                                  0.00
 207            Transactions involving eligible liquid assets – see instructions for more detail                                               108–109
 208            Check: row 207 ≤ row 206                                                                                                                        Pass          Pass
 209          Transactions backed by Level 2 assets; of which:                                                                                 108–109                                                  0.15
 210            Transactions involving eligible liquid assets – see instructions for more detail                                               108–109
 211            Check: row 210 ≤ row 209                                                                                                                        Pass          Pass
 212          Transactions backed by other collateral                                                                                          108–109                                                  1.00
            Of which collateral is re-used (ie is rehypothecated) in transactions to cover the reporting insitution's outright short
                                                                                                                                               108–109
 213
            positions in which the collateral is tied up for > 30 days
 214          Transactions backed by Level 1 assets                                                                                            108–109                                                  0.00
 215          Transactions backed by Level 2 assets                                                                                            108–109                                                  0.00
 216          Transactions backed by other collateral                                                                                          108–109                                                  0.00
 217       Total inflows on reverse repo and securities borrowing transactions




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Basel Committee on Banking Supervision                                                                                                                                                           Confidential
Basel III monitoring template                                                                                                             LCR

       A                                                                B                                                     C            D      E   F     G                H       I   J   K




 218
       b) Other inflows by counterparty
 219
                                                                                                                       Paragraph nr in                                    Weighted
                                                                                                                                         Amount           Weight
 220
                                                                                                                          rules doc                                        amount
 221       Contractual inflows due in ≤ 30 days from fully performing loans, not reported in lines 206 to 216, from:
 222        Retail customers                                                                                                113                                    0.50
 223        Small business customers                                                                                        113                                    0.50
 224        Non-financial corporates                                                                                        114                                    0.50
 225        Central banks                                                                                                   114                                    0.50
 226        Financial institutions, of which                                                                                114
 227          operational relationship deposits                                                                             115                                    0.00
 228          deposits at the centralised institution of an institutional network that receive 25% run-off                  116                                    0.00
 229          all payments on other loans and deposits due in ≤ 30 days                                                     114                                    1.00
 230        Other entities                                                                                                  114                                    0.50
 231       Total of other inflows by counterparty



 232
       c) Other cash inflows
 233
                                                                                                                       Paragraph nr in                                    Weighted
                                                                                                                                         Amount           Weight
 234
                                                                                                                          rules doc                                        amount
 235       Other cash inflows
 236        Net known derivatives receivables                                                                               117                                    1.00
 237        Check: row 236 = 0 if row 144 > 0                                                                                             Pass
 238        Contractual inflows from securities maturing ≤ 30 days, not included anywhere above                             114                                    1.00
 239        Other contractual cash inflows                                                                                  118                                    0.00
 240       Total of other cash inflows



 241
       d) Total cash inflows
 242
                                                                                                                       Paragraph nr in                                    Weighted
                                                                                                                                         Amount           Weight
 243
                                                                                                                          rules doc                                        amount
 244       Total cash inflows before applying the cap                                                                        107
 245       Cap on cash inflows                                                                                             50, 107                                 0.75
 246       Total cash inflows after applying the cap                                                                       50, 107
 247




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Basel Committee on Banking Supervision                                                                                                                                                                                                                                       Confidential
Basel III monitoring template                                                                                                                                  LCR

       A                                                                 B                                                                   C                   D                 E          F          G                 H                I                 J          K


 248
       C) Collateral swaps
 249
                                                                                                                                                                            Market value of
                                                                                                                                     Paragraph nr in      Market value of                                             Weighted                            Weighted
                                                                                                                                                                              collateral          Weight outflows                     Weight inflows
                                                                                                                                        rules doc         collateral lent                                           amount outflows                     amount inflows
 250
                                                                                                                                                                              borrowed
 251       Collateral swaps maturing ≤ 30 days:
            Of which the borrowed assets are not re-used (ie are not rehypothecated) to cover short positions in transactions in
 252
            which the assets are tied up for > 30 days
 253          Level 1 assets are lent and Level 1 assets are borrowed; of which:                                                     36–37, 41, 85, 109                                                      0.00                                0.00
 254            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 255            Check: row 254 ≤ row 253                                                                                                                       Pass              Pass
 256          Level 1 assets are lent and Level 2 assets are borrowed; of which:                                                     36–37, 41, 85, 109                                                                                          0.15
 257            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 258            Check: row 257 ≤ row 256                                                                                                                       Pass              Pass
 259          Level 1 assets are lent and other assets are borrowed; of which:                                                       36–37, 41, 85, 109                                                                                          1.00
 260            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 261            Check: row 260 ≤ row 259                                                                                                                       Pass              Pass
 262          Level 2 assets are lent and Level 1 assets are borrowed; of which:                                                     36–37, 41, 85, 109                                                      0.15
 263            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 264            Check: row 263 ≤ row 262                                                                                                                       Pass              Pass
 265          Level 2 assets are lent and Level 2 assets are borrowed; of which:                                                     36–37, 41, 85, 109                                                      0.15                                0.15
 266            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 267            Check: row 266 ≤ row 265                                                                                                                       Pass              Pass
 268          Level 2 assets are lent and other assets are borrowed; of which:                                                       36–37, 41, 85, 109                                                                                          0.85
 269            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 270            Check: row 269 ≤ row 268                                                                                                                       Pass              Pass
 271          Other assets are lent and Level 1 assets are borrowed; of which:                                                       36–37, 41, 85, 109                                                      1.00
 272            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 273            Check: row 272 ≤ row 271                                                                                                                       Pass              Pass
 274          Other assets are lent and Level 2 assets are borrowed; of which:                                                       36–37, 41, 85, 109                                                      0.85
 275            Involving eligible liquid assets – see instructions for more detail                                                  36–37, 41, 85, 109
 276            Check: row 275 ≤ row 274                                                                                                                       Pass              Pass
 277          Other assets are lent and other assets are borrowed                                                                    36–37, 41, 85, 109                                                      0.00                                0.00
            Of which the borrowed assets are re-used (ie are rehypothecated) in transactions to cover short positions in which the
 278
            assets are tied up for > 30 days
 279          Level 1 assets are lent and Level 1 assets are borrowed                                                                36–37, 41, 85, 109                                                      0.00                                0.00
 280          Level 1 assets are lent and Level 2 assets are borrowed                                                                36–37, 41, 85, 109                                                                                          0.00
 281          Level 1 assets are lent and other assets are borrowed                                                                  36–37, 41, 85, 109                                                                                          0.00
 282          Level 2 assets are lent and Level 1 assets are borrowed                                                                36–37, 41, 85, 109                                                      0.15
 283          Level 2 assets are lent and Level 2 assets are borrowed                                                                36–37, 41, 85, 109                                                      0.00                                0.00
 284          Level 2 assets are lent and other assets are borrowed                                                                  36–37, 41, 85, 109                                                                                          0.00
 285          Other assets are lent and Level 1 assets are borrowed                                                                  36–37, 41, 85, 109                                                      1.00
 286          Other assets are lent and Level 2 assets are borrowed                                                                  36–37, 41, 85, 109                                                      0.85
 287          Other assets are lent and other assets are borrowed                                                                    36–37, 41, 85, 109                                                      0.00                                0.00
 288       Total outflows and total inflows from collateral swaps
 289
 290                                                                                                                                                         Addition         Reduction
 291       Adjustments to Level 1 assets due to collateral swaps
 292       Adjustments to Level 2 assets due to collateral swaps
 293


 294
       D) LCR
 295
 296       Total stock of high quality liquid assets plus usage of alternative treatment
 297       Net cash outflows
 298       LCR
 299




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Basel Committee on Banking Supervision                                                                                                                                                                                                                                            Confidential
Basel III monitoring template                                                                                                                      NSFR

      A                                            B                                               C               D                  E                 F              G      H        I                 J           K          L               M                 N           O


 1
      NSFR
 2
      A) Available stable funding
 3
 4                                                                                                                                Amount
                                                                                                                                                                                     ASF               ASF               Calculated ASF   Calculated ASF   Calculated Total
                                                                                                            ≥ 3 months to < 6 ≥ 6 months to < 9 ≥ 9 months to < 1                 Factor <1yr      Factor ≥1 year             <1yr            ≥1 year            ASF
 5                                                                                             < 3 months        months            months             year          ≥1 year
 6        Tier 1 and Tier 2 capital (Basel III 2022)                                                                                                                                                          1.00
 7          Check: row 6 = D49 + D50 in the General Info worksheet                                                                                                   Pass
 8        Preferred stock not included above                                                                                                                                                                  1.00
          "Stable" (as defined in the LCR) demand and/or term deposits from retail and small
                                                                                                                                                                                            0.90              1.00
 9
          business customers
          "Less stable" (as defined in the LCR) demand and/or term deposits from retail and
                                                                                                                                                                                            0.80              1.00
 10
          small business customers
 11       Unsecured and/or subordinated debt securities issued                                                                                                                              0.00              1.00
 12       Unsecured funding from non-financial corporates                                                                                                                                   0.50              1.00
 13          Of which is an operational deposit as defined in the LCR
 14          Check: row 13 ≤ row 12 for each column                                              Pass            Pass               Pass              Pass           Pass
 15       Unsecured funding from sovereigns/central banks/PSEs/MDBs                                                                                                                         0.50              1.00
 16          Of which is an operational deposit as defined in the LCR
 17          Check: row 16 ≤ row 15 for each column                                              Pass            Pass               Pass              Pass           Pass
          Unsecured funding from other legal entities (including financial corporates and
                                                                                                                                                                                            0.00              1.00
 18
          financial institutions)
 19          Of which is an operational deposit as defined in the LCR
 20          Check: row 19 ≤ row 18 for each column                                              Pass            Pass               Pass              Pass           Pass
          Statutory minimum deposits from members of an institutional network of cooperative
                                                                                                                                                                                  See FN 32                   1.00
 21
          banks
 22       Secured borrowings and liabilities (including secured term deposits)                                                                                                              0.00              1.00
 23       Net derivatives payables                                                                                                                                                                            0.00
 24       All other liabilities and equity categories not included above                                                                                                                                      0.00
 25                                                                                                                                                                                                                      Total ASF
 26




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Basel Committee on Banking Supervision                                                                                                                                                                                                                                                  Confidential
Basel III monitoring template                                                                                                                            NSFR

      A                                              B                                                   C               D                  E                 F              G      H        I                 J           K         L                M                 N           O


 27
      B) Required stable funding

 28
      1) On balance-sheet items
 29
 30                                                                                                                                     Amount
                                                                                                                                                                                           RSF               RSF               Calculated RSF   Calculated RSF   Calculated Total
                                                                                                                  ≥ 3 months to < 6 ≥ 6 months to < 9 ≥ 9 months to < 1                 Factor <1yr      Factor ≥1 year             <1yr            ≥1 year            RSF
 31                                                                                                  < 3 months        months            months             year          ≥1 year
 32       Cash                                                                                                                                                                                    0.00
          Short-term unsecured instruments and transactions with outstanding maturities of
 33
          less than one year, of which are:
 34         Unencumbered                                                                                                                                                                          0.00
 35         Encumbered
 36          encumbered for periods < 3 months                                                                                                                                                    0.00
 37          encumbered for periods ≥ 3 months to < 6 months                                                                                                                                      0.00
 38          encumbered for periods ≥ 6 months to < 9 months                                                                                                                                      0.00
 39          encumbered for periods ≥ 9 months to < 1 year                                                                                                                                        0.00
 40          encumbered for periods ≥ 1 year                                                                                                                                                      1.00
             Check: sum of rows 36 to 40 for each column should equal the corresponding
                                                                                                       Pass            Pass               Pass              Pass
 41
             column in row 35

          Securities with stated remaining maturities of less than one year with no embedded
          options that would increase the expected maturity to one year or greater
 42
 43        Unencumbered                                                                                                                                                                           0.00
 44        Encumbered
 45         encumbered for periods < 3 months                                                                                                                                                     0.00
 46         encumbered for periods ≥ 3 months to < 6 months                                                                                                                                       0.00
 47         encumbered for periods ≥ 6 months to < 9 months                                                                                                                                       0.00
 48         encumbered for periods ≥ 9 months to < 1 year                                                                                                                                         0.00
 49         encumbered for periods ≥ 1 year                                                                                                                                                       1.00
            Check: sum of rows 45 to 49 for each column should equal the corresponding
                                                                                                       Pass            Pass               Pass              Pass
 50
            column in row 44
          Securities held where the institution has an offsetting reverse repurchase transaction
          when the security on each transaction has the same unique identifier (eg ISIN
          number or CUSIP) and such securities are reported on the balance sheet of the
          reporting instutions
 51
 52        Unencumbered                                                                                                                                                                           0.00              0.00
 53        Encumbered
 54         encumbered for periods < 3 months                                                                                                                                                     0.00              0.00
 55         encumbered for periods ≥ 3 months to < 6 months                                                                                                                                       0.00              0.00
 56         encumbered for periods ≥ 6 months to < 9 months                                                                                                                                       0.00              0.00
 57         encumbered for periods ≥ 9 months to < 1 year                                                                                                                                         0.00              0.00
 58         encumbered for periods ≥ 1 year                                                                                                                                                       1.00              1.00
            Check: sum of rows 54 to 58 for each column should equal the corresponding
                                                                                                       Pass            Pass               Pass              Pass           Pass
 59
            column in row 53
          Loans to financial entities and financial corporates with effective remaining maturities
 60
          of less than one year that are not renewable
 61         Unencumbered                                                                                                                                                                          0.00
 62         Encumbered
 63           encumbered for periods < 3 months                                                                                                                                                   0.00
 64           encumbered for periods ≥ 3 months to < 6 months                                                                                                                                     0.00
 65           encumbered for periods ≥ 6 months to < 9 months                                                                                                                                     0.00
 66           encumbered for periods ≥ 9 months to < 1 year                                                                                                                                       0.00
 67           encumbered for periods ≥ 1 year                                                                                                                                                     1.00
              Check: sum of rows 63 to 67 for each column should equal the corresponding
                                                                                                       Pass            Pass               Pass              Pass
 68
              column in row 62




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Basel Committee on Banking Supervision                                                                                                                                          Confidential
Basel III monitoring template                                                                                     NSFR

       A                                          B                                           C      D      E        F      G     H   I          J          K   L   M   N   O
 69        Securities eligible for Level 1 of the LCR stock of liquid assets
 70         Unencumbered                                                                                                                  0.00       0.05
 71         Encumbered
 72           encumbered for periods < 3 months                                                                                           0.00       0.05
 73           encumbered for periods ≥ 3 months to < 6 months                                                                             0.00       0.05
 74           encumbered for periods ≥ 6 months to < 9 months                                                                             0.00       0.05
 75           encumbered for periods ≥ 9 months to < 1 year                                                                               0.00       0.05
 76           encumbered for periods ≥ 1 year                                                                                             1.00       1.00
              Check: sum of rows 72 to 76 for each column should equal the corresponding
                                                                                             Pass   Pass   Pass     Pass   Pass
 77
              column in row 71
 78        Securities eligible for Level 2 of the LCR stock of liquid assets
 79         Unencumbered                                                                                                                  0.00       0.20
 80         Encumbered
 81           encumbered for periods < 3 months                                                                                           0.00       0.20
 82           encumbered for periods ≥ 3 months to < 6 months                                                                             0.00       0.20
 83           encumbered for periods ≥ 6 months to < 9 months                                                                             0.00       0.20
 84           encumbered for periods ≥ 9 months to < 1 year                                                                               0.00       0.20
 85           encumbered for periods ≥ 1 year                                                                                             1.00       1.00
              Check: sum of rows 81 to 85 for each column should equal the corresponding
                                                                                             Pass   Pass   Pass     Pass   Pass
 86
              column in row 80
 87        Gold
 88         Unencumbered                                                                                                                             0.50
 89         Encumbered
 90           encumbered for periods < 3 months                                                                                                      0.50
 91           encumbered for periods ≥ 3 months to < 6 months                                                                                        0.50
 92           encumbered for periods ≥ 6 months to < 9 months                                                                                        0.50
 93           encumbered for periods ≥ 9 months to < 1 year                                                                                          0.50
 94           encumbered for periods ≥ 1 year                                                                                                        1.00
              Check: sum of rows 90 to 94 for each column should equal the corresponding
                                                                                                                           Pass
 95
              column in row 89
 96        Equities listed on major exchange, not issued by financial institutions
 97         Unencumbered                                                                                                                             0.50
 98         Encumbered
 99           encumbered for periods < 3 months                                                                                                      0.50
 100          encumbered for periods ≥ 3 months to < 6 months                                                                                        0.50
 101          encumbered for periods ≥ 6 months to < 9 months                                                                                        0.50
 102          encumbered for periods ≥ 9 months to < 1 year                                                                                          0.50
 103          encumbered for periods ≥ 1 year                                                                                                        1.00
              Check: sum of rows 99 to 103 for each column should equal the corresponding
                                                                                                                           Pass
 104
              column in row 98
 105       Corporate bonds, rated A+ to A-
 106        Unencumbered                                                                                                                  0.00       0.50
 107        Encumbered
 108          encumbered for periods < 3 months                                                                                           0.00       0.50
 109          encumbered for periods ≥ 3 months to < 6 months                                                                             0.00       0.50
 110          encumbered for periods ≥ 6 months to < 9 months                                                                             0.00       0.50
 111          encumbered for periods ≥ 9 months to < 1 year                                                                               0.00       0.50
 112          encumbered for periods ≥ 1 year                                                                                             1.00       1.00
              Check: sum of rows 108 to 112 for each column should equal the corresponding
                                                                                             Pass   Pass   Pass     Pass   Pass
 113
              column in row 107




12/16/201311:54 AM                                                                                                                                                              Page 33 of43
Basel Committee on Banking Supervision                                                                                                                                                  Confidential
Basel III monitoring template                                                                                             NSFR

       A                                             B                                                C      D      E        F      G     H   I          J          K   L   M   N   O
 114       Covered bonds, not self issued, rated A+ to A-
 115        Unencumbered                                                                                                                          0.00       0.50
 116        Encumbered
 117          encumbered for periods < 3 months                                                                                                   0.00       0.50
 118          encumbered for periods ≥ 3 months to < 6 months                                                                                     0.00       0.50
 119          encumbered for periods ≥ 6 months to < 9 months                                                                                     0.00       0.50
 120          encumbered for periods ≥ 9 months to < 1 year                                                                                       0.00       0.50
 121          encumbered for periods ≥ 1 year                                                                                                     1.00       1.00
              Check: sum of rows 117 to 121 for each column should equal the corresponding
                                                                                                     Pass   Pass   Pass     Pass   Pass
 122
              column in row 116
           Loans to non-financial corporate clients, sovereigns, central banks, PSEs and MDBs
 123
           with a remaining maturity of less than one year
 124        Unencumbered                                                                                                                          0.50
 125        Encumbered
 126           encumbered for periods < 3 months                                                                                                  0.50
 127           encumbered for periods ≥ 3 months to < 6 months                                                                                    0.50
 128           encumbered for periods ≥ 6 months to < 9 months                                                                                    0.50
 129           encumbered for periods ≥ 9 months to < 1 year                                                                                      0.50
 130           encumbered for periods ≥ 1 year                                                                                                    1.00
               Check: sum of rows 126 to 130 for each column should equal the corresponding
                                                                                                     Pass   Pass   Pass     Pass
 131
               column in row 125
           Residential mortgages of any maturity that would qualify for the 35% or lower risk
 132
           weight under the Basel II standardised approach for credit risk
 133        Unencumbered                                                                                                                          0.65       0.65
 134        Encumbered
 135          encumbered for periods < 3 months                                                                                                   0.65       0.65
 136          encumbered for periods ≥ 3 months to < 6 months                                                                                     0.65       0.65
 137          encumbered for periods ≥ 6 months to < 9 months                                                                                     0.65       0.65
 138          encumbered for periods ≥ 9 months to < 1 year                                                                                       0.65       0.65
 139          encumbered for periods ≥ 1 year                                                                                                     1.00       1.00
              Check: sum of rows 135 to 139 for each column should equal the corresponding
                                                                                                     Pass   Pass   Pass     Pass   Pass
 140
              column in row 134
           Loans to retail and small business customers (other than mortgage loans) with a
           remaining maturity of less than one year that would qualify for the 35% or lower risk
 141       weight under the Basel II standardised approach for credit risk
 142         Unencumbered                                                                                                                         0.65
 143         Encumbered
 144          encumbered for periods <3 months                                                                                                    0.65
 145          encumbered for periods ≥ 3 months to <6 months                                                                                      0.65
 146          encumbered for periods ≥ 6 months to < 9 months                                                                                     0.65
 147          encumbered for periods ≥ 9 months to <1 year                                                                                        0.65
 148          encumbered for periods ≥1 year                                                                                                      1.00
              Check: sum of rows 144 to 148 for each column should equal the corresponding
                                                                                                     Pass   Pass   Pass     Pass
 149
              column in row 143
           Other loans, excluding loans to financial insitutions, with a remaining maturity of one
           year or greater that would qualify for the 35% or lower risk weight under the Basel II
 150
           standardised approach for credit risk
 151        Unencumbered                                                                                                                                     0.65
 152        Encumbered
 153         encumbered for periods < 3 months                                                                                                               0.65
 154         encumbered for periods ≥ 3 months to < 6 months                                                                                                 0.65
 155         encumbered for periods ≥ 6 months to < 9 months                                                                                                 0.65
 156         encumbered for periods ≥ 9 months to < 1 year                                                                                                   0.65
 157         encumbered for periods ≥ 1 year                                                                                                                 1.00
             Check: sum of rows 153 to 157 for each column should equal the corresponding
                                                                                                                                   Pass
 158
             column in row 152




12/16/201311:54 AM                                                                                                                                                                      Page 34 of43
Basel Committee on Banking Supervision                                                                                                                                                                                          Confidential
Basel III monitoring template                                                                                             NSFR

       A                                             B                                               C       D      E        F     G   H      I            J          K            L                 M          N           O
           Other loans to retail and small business customers with a remaining maturity of less
 159
           than one year
 160         Unencumbered                                                                                                                           0.85
 161         Encumbered
 162           encumbered for periods < 3 months                                                                                                    0.85
 163           encumbered for periods ≥ 3 months to < 6 months                                                                                      0.85
 164           encumbered for periods ≥ 6 months to < 9 months                                                                                      0.85
 165           encumbered for periods ≥ 9 months to < 1 year                                                                                        0.85
 166           encumbered for periods ≥ 1 year                                                                                                      1.00
               Check: sum of rows 162 to 166 for each column should equal the corresponding
                                                                                                    Pass    Pass   Pass     Pass
 167
               column in row 161
 168       Net derivatives receivables                                                                                                                         1.00
 169       Items deducted from Tier 1 and Tier 2 capital under fully implemented Basel III rules                                                               0.00
 170       All other assets not included in the above categories                                                                                               1.00



 171
       2) Off balance-sheet items
 172
                                                                                                                                            RSF                                                          Calculated Total
 173                                                                                               Amount                                  Factor                                                              RSF
 174       Conditionally revocable and irrevocable credit and liquidity facilities                                                                  0.05
 175       Unconditionally revocable "uncommitted" credit and liquidity facilities                                                                  0.00
 176       Guarantees                                                                                                                               0.00
 177       Letters of credit                                                                                                                        0.00
 178       Other trade finance instruments                                                                                                          0.00
 179       Non-contractual obligations, such as:
 180        Debt-buy back requests (incl related conduits)                                                                                          0.00
 181        Structured products                                                                                                                     0.00
 182        Managed funds                                                                                                                           0.00
 183        Other non-contractual obligations                                                                                                       0.00
 184       All other off balance-sheet obligations not included in the above categories                                                             0.00
 185                                                                                                                                                                      Total RSF
 186


 187
       C) NSFR
 188
 189                                                                                                                                                                      Net stable funding ratio
 190




12/16/201311:54 AM                                                                                                                                                                                                              Page 35 of43
Basel Committee on Banking Supervision                                                                                                                                                                                                                                             Confidential
Basel III monitoring template                                                                                                                      NSFR

       A                                            B                                               C               D                  E                 F              G      H        I                 J           K         L                M                 N           O


 191
       D) For completion only by the central institutions of networks of cooperative (or otherwise named) banks
 192
 193                                                                                                                               Amount
                                                                                                                                                                                      ASF               ASF               Calculated ASF   Calculated ASF   Calculated Total
                                                                                                             ≥ 3 months to < 6 ≥ 6 months to < 9 ≥ 9 months to < 1                 Factor <1yr      Factor ≥1 year             <1yr            ≥1 year            ASF
 194                                                                                            < 3 months        months            months             year          ≥1 year
 195       Tier 1 and Tier 2 capital                                                                                                                                                                           1.00
 196       Preferred Stock not included above                                                                                                                                                                  1.00
           "Stable" (as defined in the LCR) demand and/or term deposits from retail and small
                                                                                                                                                                                             0.75              1.00
 197
           business customers (as defined in the LCR)
           "Less stable" (as defined in the LCR) demand and/or term deposits from retail and
                                                                                                                                                                                             0.75              1.00
 198
           small business customers
 199       Unsecured debt securities issued                                                                                                                                                  0.00              1.00
 200       Unsecured funding from non-financial corporates                                                                                                                                   0.50              1.00
 201       Unsecured funding from sovereigns/central banks/PSEs/MDBs                                                                                                                         0.50              1.00
           Unsecured funding from other legal entities (including financial corporates and
                                                                                                                                                                                             0.00              1.00
 202
           financial institutions)
           Statutory minimum deposits from members of an institutional network of cooperative
 203
           (or otherwise named) banks
 204       Secured borrowings and liabilities (including secured term deposits)                                                                                                              0.00              1.00
 205       Net derivatives payables                                                                                                                                                                            0.00
 206       All other liabilities and equity categories not included above                                                                                                                                      0.00
           Check: the sum of each of the columns for rows 195 to 206 should equal the
                                                                                                  Pass            Pass               Pass              Pass           Pass
 207
           corresponding column in row 21
 208




12/16/201311:54 AM                                                                                                                                                                                                                                                                 Page 36 of43
Basel Committee on Banking Supervision                                                                                                                                                                                                                Confidential
Basel III monitoring template                                                                                                                    Checks

      A      B                                                              C                                                         D          E           F          G          H          I          J          K          L          M       N


 1
      Checks
 2
      A) General Info worksheet
 3
 4         Panel    Check                                                                                                          Column C   Column D
 5           B      Check: Tier 1 adjustments should be ≤ additional Tier 1 prior to adjustments.                                     Yes
 6           B      Check: Tier 2 adjustments should be ≤ additional Tier 2 prior to adjustments.                                     Yes
 7          D1b     Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
 8          D1b     Check: positive VaR at reporting date requires positive Basel 2.5 VaR                                                       Yes
 9          D1b     Check: positive VaR capital charge requires VaR which is positive but smaller than the capital charge.           Yes        Yes
 10         D1b     Check: positive stressed VaR at reporting date requires positive Basel 2.5 stressed VaR                                     Yes
 11         D1b     Check: positive Basel 2.5 VaR requires positive Basel 2.5 stressed VaR and vice versa                                       Yes
 12         D1b     Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
 13         D1b     Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
 14         D1b     Check: sum capital charges from rated and unrated exposures should not be higher than total                                 Yes
 15         D2c     Check: EAD in row 183 should equal total EAD in row 114.                                                         Yes
 16         D2c     Check: EAD in rows 184 to 186 should add up to EAD in row 183.                                                   Yes
 17         D2c     Check: total EAD in row 203 should equal total EAD in row 189.                                                   Yes
 18


 24
      B) Leverage ratio worksheet
 25
 26        Panel    Check                                                                                                          Column D   Column E    Column F   Column G   Column H   Column J   Column K   Column L   Column M   Column N
 27          A      Check: accounting ≤ gross value, Credit derivatives (protection sold)                                                                                          Yes                                                    Yes
 28          A      Check: accounting ≤ gross value, Credit derivatives (protection bought)                                                                                        Yes                                                    Yes
 29          A      Check: accounting ≤ gross value, Financial derivatives                                                                                                         Yes                                                    Yes
 30          A      Check: accounting ≤ gross value, SFT covered by a Basel II netting agreement                                                                                   Yes                                                    Yes
 31          A      Check: accounting ≤ gross value, Other SFT                                                                                                                     Yes                                                    Yes
 32          A      Check: accounting ≤ gross value, Other assets                                                                                                                  Yes                                                    Yes
 33          A      Check: Derivatives value with Basel II netting rules ≤ gross values                                                                     Yes                                                    Yes
 34          A      Check: SFT value with Basel II netting rules ≤ gross values                                                                             Yes        Yes                                         Yes        Yes
 35          B      Check: notional ≥ accounting value, Credit derivatives (protection sold); of which:                                                     Yes                                                    Yes
 36          B      Check: notional ≥ accounting value, Credit derivatives (protection bought)                                                              Yes                                                    Yes
 37          B      Check: notional ≥ accounting value, Financial derivatives                                                                               Yes                                                    Yes
 38          B      Check: Unconditionally cancellable commitments should not exceed off-balance items with a 0% CCF                                                   Yes                                                    Yes
 39          D      Check: Total equals total accounting values in panel A                                                           Yes                                                     Yes
 40          D      Check: Total equals total gross values in panel A                                                                Yes                                                     Yes
 41          E      Check: Sum of total credit derivatives should be the same as that in panel B                                     Yes                                                     Yes
 42          E      Check: Credit derivatives (protection sold) should be the same as that in panel B                                Yes                                                     Yes
 43          E      Check: Credit derivatives (protection bought) should be the same as that in panel B                              Yes                                                     Yes
 44          E      Check: Credit derivatives purchased are consistently filled-in (see reporting instructions for more details)     Yes        Yes         Yes                   Yes        Yes        Yes        Yes                   Yes
 45          G      Check: PSEs in rows 114 and 115 should be less than or equal to overall PSEs in row 113                                                                                  Yes
 46          G      Check: Securitisation exposures should be lower than total other exposures                                                                                               Yes
 47          G      Check: Total value in cell J104 should equal total in cell J94.                                                                                                          Yes
 48




12/16/201311:54 AM                                                                                                                                                                                                                                    Page 37 of43
Basel Committee on Banking Supervision                                                                                              Confidential
Basel III monitoring template                                                          Checks

      A     B                                                        C      D          E        F   G   H   I   J   K   L   M   N


 1
      Checks
 49
      C) LCR worksheet
 50
 51       Panel    Check                                                 Column D   Column E
 52        Aa      Check: row 8 ≤ row 7                                    Pass
 53        Aa      Check: row 16 + 17 ≤ sum of rows 8 and 11 to 15         Pass
 54        Ab      Check: row 33 ≤ row 27                                  Pass
 55        Ac      Check: row 48 ≤ row 47                                  Pass       Pass
 56        Ac      Check: row 51 ≤ row 50                                  Pass       Pass
 57        B1b     Check: row 124 ≤ sum of rows 117 and 118                Pass
 58        B1b     Check: row 126 ≤ sum of rows 117 and 118                Pass
 59        B1b     Check: row 128 ≤ sum of rows 114 to 118                 Pass
 60        B1c     Check: row 133 ≤ row 132                                Pass       Pass
 61        B1c     Check: row 136 ≤ row 135                                Pass       Pass
 62        B1d     Check: row 144 = 0 if row 236 > 0                       Pass
 63        B1d     Check: row 195 ≤ row 194                                Pass
 64        B2a     Check: row 207 ≤ row 206                                Pass       Pass
 65        B2a     Check: row 210 ≤ row 209                                Pass       Pass
 66        B2c     Check: row 236 = 0 if row 144 > 0                       Pass
 67         C      Check: row 254 ≤ row 253                                Pass       Pass
 68         C      Check: row 257 ≤ row 256                                Pass       Pass
 69         C      Check: row 260 ≤ row 259                                Pass       Pass
 70         C      Check: row 263 ≤ row 262                                Pass       Pass
 71         C      Check: row 266 ≤ row 265                                Pass       Pass
 72         C      Check: row 269 ≤ row 268                                Pass       Pass
 73         C      Check: row 272 ≤ row 271                                Pass       Pass
 74         C      Check: row 275 ≤ row 274                                Pass       Pass
 75




12/16/201311:54 AM                                                                                                                  Page 38 of43
Basel Committee on Banking Supervision                                                                                                                                                                                    Confidential
Basel III monitoring template                                                                                                                     Checks

      A     B                                                         C                                                            D              E             F            G             H      I   J   K   L   M   N


 1
      Checks
 76
      D) NSFR worksheet
 77

                                                                                                                                            ≥ 3 months to ≥ 6 months to ≥ 9 months to
          Panel    Check                                                                                                       < 3 months                                               ≥1 year
                                                                                                                                             < 6 months < 9 months         < 1 year
 78
 79        A       Check: row 6 = D49 + D50 in the General Info worksheet                                                                                                                Pass
 80        A       Check: row 13 ≤ row 12 for each column                                                                        Pass           Pass          Pass          Pass         Pass
 81        A       Check: row 16 ≤ row 15 for each column                                                                        Pass           Pass          Pass          Pass         Pass
 82        A       Check: row 19 ≤ row 18 for each column                                                                        Pass           Pass          Pass          Pass         Pass
 83        B1      Check: sum of rows 36 to 40 for each column should equal the corresponding column in row 35                   Pass           Pass          Pass          Pass
 84        B1      Check: sum of rows 45 to 49 for each column should equal the corresponding column in row 44                   Pass           Pass          Pass          Pass
 85        B1      Check: sum of rows 54 to 58 for each column should equal the corresponding column in row 53                   Pass           Pass          Pass          Pass
 86        B1      Check: sum of rows 63 to 67 for each column should equal the corresponding column in row 62                   Pass           Pass          Pass          Pass
 87        B1      Check: sum of rows 72 to 76 for each column should equal the corresponding column in row 71                   Pass           Pass          Pass          Pass         Pass
 88        B1      Check: sum of rows 81 to 85 for each column should equal the corresponding column in row 80                   Pass           Pass          Pass          Pass         Pass
 89        B1      Check: sum of rows 90 to 94 for each column should equal the corresponding column in row 89                                                                           Pass
 90        B1      Check: sum of rows 99 to 103 for each column should equal the corresponding column in row 98                                                                          Pass
 91        B1      Check: sum of rows 108 to 112 for each column should equal the corresponding column in row 107                Pass           Pass          Pass          Pass         Pass
 92        B1      Check: sum of rows 117 to 121 for each column should equal the corresponding column in row 116                Pass           Pass          Pass          Pass         Pass
 93        B1      Check: sum of rows 126 to 130 for each column should equal the corresponding column in row 125                Pass           Pass          Pass          Pass
 94        B1      Check: sum of rows 135 to 139 for each column should equal the corresponding column in row 134                Pass           Pass          Pass          Pass         Pass
 95        B1      Check: sum of rows 135 to 139 for each column should equal the corresponding column in row 134                Pass           Pass          Pass          Pass         Pass
 96        B1      Check: sum of rows 144 to 148 for each column should equal the corresponding column in row 143                Pass           Pass          Pass          Pass
 97        B1      Check: sum of rows 153 to 157 for each column should equal the corresponding column in row 152                                                                        Pass
 98        B1      Check: sum of rows 162 to 166 for each column should equal the corresponding column in row 161                Pass           Pass          Pass          Pass

            E      Check: the sum of each of the columns for rows 195 to 206 should equal the corresponding column in row 21     Pass           Pass          Pass          Pass         Pass
 99
100




12/16/201311:54 AM                                                                                                                                                                                                        Page 39 of43
Basel Committee on Banking Supervision                                                                                                                          Confidential
Basel III monitoring template                                                                                                              Parameters

                                         A                                          B              C               D            E             F         G   H


1
     Parameters
2    A) Version
3
4 Version                                                                                          2               4            0             0
5 Constant                                                                                         0
6


7    B) National discretion items LCR

8    1) LCR haircuts for high-quality liquid assets
9
10                                                                                                                            Weight
11 Level 1 assets
12    Securities with a 0% risk weight:
13     issued by sovereigns                                                                                                         1.00
14     guaranteed by sovereigns                                                                                                     1.00
15     issued or guaranteed by central banks                                                                                        1.00
16     issued or guaranteed by non-central government PSEs                                                                          1.00
17     issued or guaranteed by BIS, IMF, EC, or MDBs                                                                                1.00
18    For non-0% risk-weighted sovereigns:
       sovereign or central bank debt securities issued in domestic currencies by the sovereign or central bank in the
                                                                                                                                    1.00
19     country in which the liquidity risk is being taken or in the bank’s home country
        domestic sovereign or central bank debt securities issued in foreign currencies, to the extent that holding of such
                                                                                                                                    1.00
20      debt matches the currency needs of the bank’s operations in that jurisdiction
21   Level 2 assets
22    Securities with a 20% risk weight:
23      issued by sovereigns                                                                                                        0.85
24      guaranteed by sovereigns                                                                                                    0.85
25      issued or guaranteed by central banks                                                                                       0.85
26      issued or guaranteed by non-central government PSEs                                                                         0.85
27      issued or guaranteed by BIS, IMF, EC, or MDBs                                                                               0.85
28    Non-financial corporate bonds, rated AA- or better                                                                            0.85
29    Covered bonds, not self-issued, rated AA- or better                                                                           0.85
30    Adjusted amount of Level 2 assets                                                                                             0.85
31


32   2) LCR treatment for jurisdictions with insufficient liquid assets
33
34 Allow treatment for jurisdictions with insufficient liquid assets                                                           No
35
36                                                                                                                            Weight
37 Option 1 – Contractual committed liquidity facilities from the relevant central bank                                             0.00
38 Option 2 – Foreign currency liquid assets, of which:
39  Level 1 assets                                                                                                                  0.00
40  Level 2 assets                                                                                                                  0.00
41 Option 3 – Additional use of Level 2 assets at a higher haircut                                                                  0.00



42   3) LCR cash outflows: additional deposit categories with higher run-off rates as specified by supervisor
43




12/16/2013 11:54 AM                                                                                                                                             Page 40 of 43
Basel Committee on Banking Supervision                                                                                                               Confidential
Basel III monitoring template                                                                                                  Parameters

                                         A                                           B             C       D        E             F          G   H


1
     Parameters
                                                                                                                             Unsecured
                                                                                                                  Retail
                                                                                                                             wholesale
                                                                                                               deposit run-
                                                                                                                            funding run-
                                                                                                                off weight
                                                                                                                             off weight
44
45 Category 1                                                                                                           0.00          0.00
46 Category 2                                                                                                           0.00          0.00
47 Category 3                                                                                                           0.00          0.00
48 Fixed-term deposits (treated as having >30 day remaining maturity), with a supervisory run-off rate                  0.00          0.00



49   4) LCR cash outflows other contingent funding obligations
50
51                                                                                                               Weight
52 Unconditionally revocable "uncommitted" credit and liquidity facilities                                              0.00
53 Guarantees                                                                                                           0.00
54 Letters of credit                                                                                                    0.00
55 Other trade finance instruments                                                                                      0.00
56 Non-contractual obligations:
57     Debt-buy back requests (incl. related conduits)                                                                  0.00
58     Structured products                                                                                              0.00
59     Managed Funds                                                                                                    0.00
60     Other non-contractual obligations                                                                                0.00
61   Outstanding debt securities with remaining maturity > 30 days                                                      0.00
62   Increased liquidity needs relating to market valuation changes on derivatives or other transactions                0.00




12/16/2013 11:54 AM                                                                                                                                  Page 41 of 43
Basel Committee on Banking Supervision                                                                                                               Confidential
Basel III monitoring template                                                                                                Parameters

                                         A                                         B          C            D      E              F         G     H


 1
      Parameters

 63   5) LCR cash inflows
 64
 65                                                                                                             Weight
 66 Other contractual cash inflows                                                                                    0.00
 67



 68   6) NSFR RSF off-balance sheet items
 69
 70                                                                                                             Weight
 71 Unconditionally revocable "uncommitted" credit and liquidity facilities                                           0.00
 72 Guarantees                                                                                                        0.00
 73 Letters of credit                                                                                                 0.00
 74 Other trade finance instruments                                                                                   0.00
 75 Non-contractual obligations, such as:
 76  Debt-buy back requests (incl related conduits)                                                                   0.00
 77  Structured products                                                                                              0.00
 78  Managed funds                                                                                                    0.00
 79  Other non-contractual obligations                                                                                0.00
 80 All other off balance-sheet obligations not included in the above categories                                      0.00
 81


 82   C) Spreadsheet localisation
 83
 84 Original sheet name                                                        Sheet #   Localised sheet name                  PosX       PosY
 85 General Info                                                                   1     General Info
 86 DefCapB3                                                                       2     DefCapB3
 87 DefCapB3-MI                                                                    3     DefCapB3-MI
 88 Leverage Ratio                                                                 4     Leverage Ratio
 89 LCR                                                                            5     LCR
 90 NSFR                                                                           6     NSFR
 91 Checks                                                                         7     Checks
 92                                                                                8
 93                                                                                9
 94                                                                               10
 95                                                                               11
 96                                                                               12
 97                                                                               13
 98                                                                               14
 99                                                                               15
100                                                                               16
101                                                                               17
102                                                                               18
103                                                                               19
104                                                                               20
105                                                                               21
106                                                                               22
107                                                                               23
108                                                                               24
109                                                                               25
110                                                                               26




12/16/2013 11:54 AM                                                                                                                                  Page 42 of 43
Basel Committee on Banking Supervision                                                                     Confidential
Basel III monitoring template                                                         Parameters

                                A        B         C                D             E       F        G   H


 1
      Parameters
111


112   D) Drop-down menus
113
114 Yes/No                               1   Yes
115                                      2   No
116 Yes/No/NA                            3
117 Bank group                           1   1
118                                      2   2
119 CCR OTC                              1   CEM
120                                      2   Standardised
121                                      3   IMM
122 CCR SFT                              1   Supervisory haircuts
123                                      2   Own estimates
124                                      3   Repo VaR
125                                      4   IMM
126 OpRisk                               0
127                                      1   BIA
128                                      2   TSA
129                                      3   ASA
130                                      4   AMA
131 Basel I/Basel II                     1   Basel I
132                                      2   Basel II
133 Accounting                           0
134                                      1   IFRS
135                                      2   US GAAP
136                                      3   Other national accounting standard
137 Bank type                            1   Joint stock company
138                                      2   Mutual / cooperative
139                                      3   Other non-joint stock company
140 Bank type numeric                    1
141                                      2
142                                      4
143                                      5
144                                      6
145                                      7
146                                      8
147




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