Liquidity Coverage Ratio (LCR)

Collateral swaps (panel C) Any transaction maturing within 30 days in which non-cash assets are swapped for other noncash assets should be reported in this panel. “Level 1 assets” in this section refers to Level 1 assets other than cash. Please refer to the instructions from your supervisor for the specification of items related to Level 2B assets in this subsection. 329 Collateral swaps maturing ≤ 30 days Any transaction maturing within 30 days in which non-cash assets are swapped for other non-cash assets. 48 , 113 , 146 , Annex 1 330 Of which the borrowed assets are not re-used (i.e. are not rehypothecated) to cover short positions Such transactions in which the collateral obtained is not reused (i.e. is not rehypothecated) in transactions to cover short positions. If the collateral is re-used, the transaction should be reported in lines 405 to 429. 48 , 113 , 146 , Annex 1 331 Level 1 assets are lent and Level 1 assets are borrowed; of which: Such transactions in which the bank has swapped Level 1 assets (lent) for other Level 1 assets (borrowed). 48 , 113 , 146 , Annex 1 332 Involving eligible liquid assets Of the transactions where Level 1 assets are lent and Level 1 assets are borrowed, those where: (i) the Level 1 collateral borrowed is reported in panel Aa of the “LCR” worksheet (which should also be reported in E332), as the assets meet the operational requirements for HQLA as specified in paragraphs 28 to 40 of the Basel III LCR standards ; and (ii) the Level 1 collateral lent would otherwise qualify to be reported in panel Aa of the “LCR” worksheet (which is the value that should be reported in D332), if they were not already securing the particular transaction in question (i.e. would be unencumbered and would meet the operational requirements for HQLA as specified in paragraphs 28 to 40 of the Basel III LCR standards ). 48 , 113 , 146 , Annex 1 334 Level 1 assets are lent and Level 2A assets are borrowed; of which: Such transactions in which the bank has swapped Level 1 assets (lent) for Level 2A assets (borrowed). 48 , 113 , 146 , Annex 1 335 Involving eligible liquid assets Of the transactions where Level 1 assets are lent and Level 2A assets are borrowed, those where: (i) the Level 2A collateral borrowed is reported in panel Ab of the “LCR” worksheet (which should also be reported in E335), as the assets meet the operational requirements for HQLA as specified in paragraphs 28 to 40 of the Basel III LCR standards ; and (ii) the Level 1 collateral lent would otherwise qualify to be reported in panel Aa of the “LCR” worksheet (which is the value that should be reported in D335), if they were not already securing the particular transaction in question (i.e. would be unencumbered and would meet the operational requirements for HQLA as specified in paragraphs 28 to 40 of the Basel III LCR standards ). 48 , 113 , 146 , Annex 1 337 Level 1 assets are lent and Level 2B RMBS assets are borrowed; of which: Such transactions in which the bank has swapped Level 1 assets (lent) for Level 2B RMBS assets (borrowed). 48 , 113 , 146 , Annex 1 338 Involving eligible liquid assets Of the transactions where Level 1 assets are lent and Level 2B RMBS assets are borrowed, those where: (i) the Level 2B RMBS collateral borrowed is reported in panel Ac of the “LCR” worksheet (which should also be reported in E338), as the assets meet the operational requirements for HQLA as specified in paragraphs 28 to 40 of the Basel III LCR standards ; and (ii) the Level 1 collateral lent would otherwise qualify to be reported in panel Aa of the “LCR” worksheet (which is the value that should be reported in D338), if they were not already securing the particular transaction in question (i.e. would be unencumbered and would meet the operational requirements for HQLA as specified in paragraphs 28 to 40 of the Basel III LCR standards ). 48 , 113 , 146 , Annex 1 340 Level 1 assets are lent and Level 2B non-RMBS assets are borrowed; of which: Such transact