Column

Legal references and instructions

010

Amount/Market value

Credit institutions shall report in Column 010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

The amount/market value reported in Column 010:

When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. Credit institutions shall not take into account potential future value changes in the asset.

020

Standard weight

Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts.

030

Applicable weight

Credit institutions shall report in Column 030 the applicable weight applied to liquid assets set out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020.

040

Value in accordance with Article 9

Credit institutions shall report in Column 040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

Row

Legal references and instructions

010

1.  TOTAL UNADJUSTED LIQUID ASSETS

Title II of Delegated Regulation (EU) 2015/61

Credit Institutions shall report the total amount / market value of their Liquid assets in c010.

Credit Institutions shall report the total value calculated in accordance with Article 9 of their Liquid assets in c040.

020

1.1.  Total unadjusted level 1 assets

Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this section shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61.

Credit Institutions shall report the total amount / market value of their Level 1 Liquid assets in c010.

Credit Institutions shall report the total value calculated in accordance with Article 9 of their Level 1 Liquid assets in c040.

030

1.1.1.  Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 shall not be reported in this subsection.

Credit institutions shall report in Column 010 the sum of total market value / amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

040

1.1.1.1.  Coins and banknotes

Point (a) of Article 10(1) of Delegated Regulation (EU) 2015/61

Total amount of cash arising from coins and banknotes.

050

1.1.1.2.  Withdrawable central bank reserves

Point (iii) of point (b) of Articles 10(1) of Delegated Regulation (EU) 2015/61

Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State’s central bank or in a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Eligible withdrawable amount shall be specified by an agreement between the competent authority of the credit institution and the central bank in which the reserves are held or in the applicable rules of the third country as referred to in point (iii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61.

060

1.1.1.3.  Central bank assets

Points (i) and (ii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the ECB, a Member State’s central bank or a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

070

1.1.1.4.  Central government assets

Points (i) and (ii) of point (c) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country, provided that those assets are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

Assets issued by Member State-sponsored impaired assets management agencies as referred to in Article 36 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

080

1.1.1.5.  Regional government/local authorities assets

Points (iii) and (iv) of point (c) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.

Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013 and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.

Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

090

1.1.1.6.  Public Sector Entity assets

Points (v) and (vi) of point (c) of Article 10(1) Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that those assets are treated as exposures to the central government, regional governments or local authorities of this Member State or third country in accordance with Article 116(4) of Regulation (EU) No 575/2013.

Any exposures to central government of a third country referred to in a preceding paragraph shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Any exposures to regional government or local authority of a third country referred to in this subsection shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.

100

1.1.1.7.  Recognisable domestic and foreign currency central government and central bank assets

Point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (ii) of point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, provided that the credit institution recognises such assets in aggregate as Level 1 up to the amount of its stressed net liquidity outflows incurred in the same currency.

Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (ii) of point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, and those assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken.

110

1.1.1.8.  Credit institution (protected by Member State government, promotional lender) assets

Points (i) and (ii) of point (e) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability.

Assets issued by promotional lender in accordance with point (ii) of point (e) of Article 10(1) of Delegated Regulation (EU) 2015/61.

Any exposures to regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.

120

1.1.1.9.  Multilateral development bank and international organisations assets

Point (g) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the multilateral development banks and the international organisations as referred to in Article 117(2) and Article 118 of Regulation (EU) No 575/2013.

130

1.1.1.10.  Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

Point (a) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to coins, banknotes, and exposures to the ECB, a Member State’s or a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

140

1.1.1.11.  Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

Point (b) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB, to a Member State’s or to a third country’s central bank, and extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

150

1.1.1.12.  Alternative Liquidity Approaches: Central bank credit facility

Point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61

Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements laid down in point (i) to (iii) of point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61.

160

1.1.1.13.  Central credit institutions: Level 1 assets excluding extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61

According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut do not exceed the outflow from the corresponding deposits.

Assets referred to in this row shall be level 1 assets excluding extremely high quality covered bonds.

170

1.1.1.14.  Alternative Liquidity Approaches: Level 2A assets recognised as Level 1

Point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61

Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61. Those assets shall not be reported in the Level 2A assets section.

180

1.1.2.  Total unadjusted Level 1 extremely high quality covered bonds

Articles 10, 15 and 16 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 010 the sum of total market value / amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

190

1.1.2.1.  Extremely high quality covered bonds

Point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of extremely high quality covered bonds which comply with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

200

1.1.2.2.  Qualifying CIU shares/units: underlying is extremely high quality covered bonds

Point (c) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

210

1.1.2.3.  Central credit institutions: Level 1 extremely high quality covered bonds which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61

According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 1 extremely high quality covered bonds.

220

1.2.  Total unadjusted level 2 assets

Articles 11 to 16 and Article 19 of Delegated Regulation (EU) 2015/61

Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets in accordance with Delegated Regulation (EU) 2015/61.

Credit Institutions shall report the total amount / market value of their Level 2 Liquid assets in c010.

Credit Institutions shall report the total value calculated in accordance with according to Article 9 of their Level 2 Liquid assets in c040.

230

1.2.1.  Total unadjusted LEVEL 2A assets

Articles 11, 15 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this sub-section have been explicitly identified as or treated as Level 2A assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 010 the sum of total market / value amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

240

1.2.1.1.  Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %)

Point (a) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %.

250

1.2.1.2.  Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %)

Point (b) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided those assets are assigned a 20 % risk weight.

260

1.2.1.3.  High quality covered bonds (CQS2)

Point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of high quality covered bonds which comply with point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013.

270

1.2.1.4.  High quality covered bonds (Third Country, CQS1)

Point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013.

280

1.2.1.5.  Corporate debt securities (CQS1)

Point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61.

290

1.2.1.6.  Qualifying CIU shares/units: underlying is Level 2A assets

Point (d) Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Delegated Regulation (EU) 2015/61.

300

1.2.1.7.  Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61

According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 2A assets.

310

1.2.2.  Total unadjusted LEVEL 2B assets

Articles 12 to 16 and Article 19 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as Level 2B assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 010 the sum of total market value / amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

320

1.2.2.1.  Asset-backed securities (residential, CQS1)

Point (a) of Article 12(1) and points (i) and (ii) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with points (i) and (ii) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61.

Assets which are subject to the transitional provision specified in Article 37 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

330

1.2.2.2.  Asset-backed securities (auto, CQS1)

Point (a) of Article 12(1) and point (iv) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by auto loans and leases in accordance with point (iv) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61.

340

1.2.2.3.  High quality covered bonds (RW35 %)

Point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions which comply with point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013.

350

1.2.2.4.  Asset-backed securities (commercial or individuals, Member State, CQS1)

Point (a) of Article 12(1) and points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by assets as referred to in points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point(iii) of point (g) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

360

1.2.2.5.  Corporate debt securities (CQS2/3)

Point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61

370

1.2.2.6.  Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

Article 12(3) of Delegated Regulation (EU) 2015/61

A competent authority may allow credit institutions which, according to their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, to derogate from points (ii) and (iii) of point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that there is evidence of insufficient availability of non-interest bearing assets meeting the requirements laid down in those points and that the non-interest bearing assets in question are adequately liquid in private markets.

Those credit institutions shall report corporate debt securities containing non-interest bearing assets as long as they meet the requirements of point (i) of point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61 and have received proper derogation from their competent authority.

380

1.2.2.7.  Shares (major stock index)

Point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61

Shares, which comply with point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution’s home Member State.

Credit institutions shall also report shares complying with point (c) of Article 12(1) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken.

390

1.2.2.8.  Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

Point (f) of Article 12(1) of Delegated Regulation (EU) 2015/61

For credit institutions which, according to their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment.

400

1.2.2.9.  Restricted-use central bank committed liquidity facilities

Point (d) of Article 12(1) and Article 14 of Delegated Regulation (EU) 2015/61

Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Delegated Regulation (EU) 2015/61.

410

1.2.2.10.  Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

Point (e) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of point (g) of Article 13(2) of Delegated Regulation (EC) No 2015/61.

420

1.2.2.11.  Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

Point (f) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61.

430

1.2.2.12.  Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

Point (g) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of points (iii) of point (g) Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

440

1.2.2.13.  Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

Point (h) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, shares that comply with point (c) of Article 12(1) of the same Regulation or non-interest bearing assets that comply with point (f) of Article 12(1) of the same Regulation.

450

1.2.2.14.  Deposits by network member with central institution (no obligated investment)

Point (b) of Article 16(1) of Delegated Regulation (EU) 2015/61

Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract.

Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category.

460

1.2.2.15.  Liquidity funding available to network member from central institution (non-specified collateralisation)

Article 16(2) of Delegated Regulation (EU) 2015/61

Undrawn amount of limited liquidity funding that complies with Article 16(2) of Delegated Regulation (EU) 2015/61.

470

1.2.2.16.  Central credit institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 2B assets.

MEMORANDUM ITEMS

485

2.  Deposits by network member with central institution (obligated investment)

Point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report total amount of assets reported in the above sections as per the requirements in point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.

580

3.  Level 1/2A/2B assets excluded due to currency reasons

Articles 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61

Institution shall report the portion of Level 1, Level 2A and Level 2B assets referred to in Articles 10 to 16 which are not recognisable by institution in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1).

590

4.  Level 1/2A/2B assets excluded for operational reasons except for currency reasons

Article 8 of Delegated Regulation (EU) 2015/61

Credit institutions shall report assets in compliance with Article 7 of Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of Delegated Regulation (EU) 2015/61, provided that they have not been reported in row 580 for currency reasons.

#

Item

Decision

Reporting

1

Forward starting transaction

Yes

# 2

No

# 4

2

Forward transaction entered into subsequent to the reporting date;

Yes

Do not report

No

# 3

3

Forward transaction that start within the 30 day time horizon and mature after the 30-day horizon where the initial leg produces a net outflow

Yes

ID 1.1.8.6.

No

Do not report

4

An item requiring additional outflows in accordance with Article 30 of DA?

Yes

# 5 and subsequently # 51

No

# 5

5

Retail deposit in accordance with Article 411 (2) of Regulation (EU) 575/2013?

Yes

# 6

No

# 12

6

Cancelled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution?

Yes

ID 1.1.1.2.

No

# 7

7

Deposit in accordance with Article 25(4) of DA?

Yes

ID 1.1.1.1.

No

# 8

8

Deposit in accordance with Article 25(5) of DA?

Yes

ID 1.1.1.6.

No

# 9

9

Deposit in accordance with Article 25(2) of DA?

Yes

Allocate into one relevant item of ID 1.1.1.3.

No

# 10

10

Deposit in accordance with Article 24(4) of DA?

Yes

ID 1.1.1.5.

No

# 11

11

Deposit in accordance with Article 24(1) of DA?

Yes

ID 1.1.1.4.

No

ID 1.1.1.7.

12

Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days?

Yes

# 13

No

# 30

13

Liability resulting from the institution’s own operating expenses?

Yes

ID 1.1.8.1.

No

# 14

14

Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA?

Yes

Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly)

No

# 15

15

Liability in form of debt security?

Yes

ID 1.1.8.2.

No

# 16

16

Deposit received as collateral?

Yes

Allocate across relevant items of ID 1.1.5.

No

# 17

17

Deposit arising out of a corresponding banking or from the prime brokerage?

Yes

ID1.1.4.1.

No

# 18

18

Operational deposit in accordance with Article 27 of DA?

Yes

# 19

No

# 24

19

Maintained in the context of IPS or a cooperative network?

Yes

# 20

No

# 22

20

Treated as liquid assets for the depositing credit institution?

Yes

ID 1.1.2.2.2.

No

# 21

21

Maintained to obtain cash clearing and central credit institution services within a network?

Yes

ID 1.1.2.4.

No

ID 1.1.2.2.1.

22

Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship?

Yes

Allocate into one relevant item of ID 1.1.2.1.

No

# 23

23

Maintained in the context of an established operational relationship (other) with non-financial customers?

Yes

ID 1.1.2.3.

No

# 24

24

Excess operational deposits?

Yes

Allocate into one relevant item of ID 1.1.3.

No

# 25

25

Other deposit?

Yes

# 26

No

# 27

26

Deposits by financial customers?

Yes

ID 1.1.4.2.

No

Allocate into one relevant item of ID 1.1.4.3.

27

Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps?

Yes

Allocate into one relevant item of ID 1.2.

No

# 28

28

Liability from collateral swaps?

Yes

Allocate into one relevant item of C75.01 and ID 1.3. where applicable.

No

# 29

29

Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA?

Yes

ID 1.1.5.5.

No

# 30

30

Any other liability that becomes due in the next 30 days?

Yes

ID 1.1.8.3

No

#31

31

Contractual commitments to extend funding to non-financial customers that is due in the next 30 days in excess of inflows from those customers?

Yes

One of the following IDs: 1.1.8.4.1 to 1.1.8.4.4

No

#32

32

Other outflows that are due in the next 30 days not mentioned above?

Yes

ID 1.1.8.6

No

#33

33

Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA?

Yes

#34

No

# 42

34

Committed credit facility?

Yes

# 35

No

# 37

35

Within IPS or cooperative network treated as liquid asset by the depositing institution?

Yes

ID 1.1.6.1.6.

No

# 36

36

Within a group or an IPS subject to preferential treatment?

Yes

ID 1.1.6.1.5.

No

Allocate into one relevant remaining item of ID 1.1.6.1.

37

Committed liquidity facility?

Yes

#38

n/a

n/a

38

Within IPS or cooperative network treated as liquid asset by the depositing institution?

Yes

ID 1.1.6.2.7.

No

# 39

39

Within a group or an IPS subject to preferential treatment?

Yes

ID 1.1.6.2.6.

No

# 40

40

To SSPEs?

Yes

Allocate into one relevant item of ID 1.1.6.2.4.

No

#41

41

To personal investment companies?

Yes

ID 1.1.6.2.3.

No

Allocate into one relevant remaining item of ID 1.1.6.2.

42

Other product or service in accordance with Article 23 of DA?

Yes

# 43

No

Do not report

43

Trade finance off balance sheet related product?

Yes

ID1.1.7.8.

No

# 44

44

Undrawn loans and advances to wholesale counterparties?

Yes

ID 1.1.7.2.

No

# 45

45

Mortgages that have been agreed but not yet drawn down

Yes

ID 1.1.7.3.

No

# 46

46

Planned outflow related to renewal or extension of new retail or wholesale loans?

Yes

ID 1.1.7.6.

No

# 47

47

Credit cards?

Yes

ID 1.1.7.4.

No

# 48

48

Overdrafts?

Yes

ID 1.1.7.5.

No

# 49

49

Derivatives payable?

Yes

ID1.1.7.7.

No

# 50

50

Other off balance sheet and contingent funding obligation?

Yes

ID1.1.7.1.

No

ID 1.1.7.9.

51

Debt security already reported in item 1.1.8.2 of C 73.00?

Yes

Do not report

No

# 52

52

Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29?

Yes

Do not report

No

Allocate across relevant items of ID 1.1.5.

Column

Legal references and instructions

010

Amount

1.1.  Unsecured transactions/deposits specific instructions:

Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Delegated Regulation (EU) 2015/61.

Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26.

1.2.  Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the outstanding balance of the liabilities which represent the cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation (EU) 2015/61,.

020

Market value of collateral extended

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61) and subject to the following conditions:

030

Value of collateral extended in accordance with Article 9

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV.

040

Standard Weight

Articles 24 to 31a of Delegated Regulation (EU) 2015/61

The standard weights in Column 040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

050

Applicable Weight

Both unsecured and secured:

Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31a of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

060

Outflow

Both unsecured and secured:

Credit institutions shall report here the outflows. Those outflows are calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV.

Row

Legal references and instructions

010

1.  OUTFLOWS

Chapter 2 of Title III of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Delegated Regulation (EU) 2015/61.

020

1.1.  Outflows from unsecured transactions/deposits

Articles 20 to 31a of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Articles 21 to 31a of Delegated Regulation (EU) 2015/61, with the exception of outflows reported in accordance with Article 28(3) an (4) of that Delegated Regulation.

030

1.1.1.  Retail deposits

Articles 24 and 25 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on retail deposits as defined in Article 411 (2) of Regulation (EU) 575/2013.

Credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account, as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. Credit institutions will consider for this category of liability the applicable outflow rates provided for by Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits.

035

1.1.1.1.  deposits exempted from the calculation of outflows

Article 25(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here those categories of retail deposits exempted from the calculation of outflows if the conditions of points (a) and (b) of Article 25(4) have been met.

040

1.1.1.2.  deposits where the pay-out has been agreed within the following 30 days

Article 25(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed.

050

1.1.1.3.  deposits subject to higher outflows

Articles 25(2) and (3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with Article 25(2) and (3) of Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under Article 25(2) of Delegated Regulation (EU) 2015/61 for their categorization has not been carried out or is not completed shall also be reported here.

060

1.1.1.3.1.  Category 1

Article 25(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) or two of the criteria in points (b) to (e) of Article 25(2) of Delegated Regulation (EU) 2015/61, unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported within this latter category.

Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in point (a) of Article 25(3) of Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the preceding paragraph and weighted by the cited corresponding amounts.

070

1.1.1.3.2.  Category 2

Article 25(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) of Article 25(2) of Delegated Regulation (EU) 2015/61 and at least another criterion referred to in Article 25(2) or three or more criteria of Article 25(2) unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this latter category.

Those retail deposits where the assessment under Article 25(2) for their categorization has not been carried out or is not completed shall also be reported here.

Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in point (b) of Article 25(3) of Delegated Regulation (EU) 2015/61, or higher ones if applied by a competent authority, which have been applied on the full amount of every deposit referred to in the preceding paragraphs and weighted by the cited corresponding amounts.

080

1.1.1.4.  stable deposits

Article 24 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and where:

090

1.1.1.5.  Derogated stable deposits

Article 24(4) and (6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the amounts of retail deposits which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100 000 and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and where:

Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or

100

1.1.1.6.  deposits in third countries where a higher outflow is applied

Article 25(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of retail deposits taken in a third country where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country.

110

1.1.1.7.  other retail deposits

Article 25(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other retail deposits than those captured in the preceding items.

120

1.1.2.  Operational deposits

Articles 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the part of the operational deposits determined in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which are necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits as established in Article 27(5) of Delegated Regulation (EU) 2015/61.

The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under id 1.1.3.

130

1.1.2.1.  maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report on deposits maintained by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established relationship, as referred to in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61, which are critically important to the depositor as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61.

Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred in the second sentence of Article 27(4) of Delegated Regulation (EU) 2015/61 shall be reported.

Credit institutions shall report separately, , the amount of those deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme that are referred to in Article 27(2) of Delegated Regulation (EU) 2015/61, as specified in the following items of the instructions.

140

1.1.2.1.1.  covered by DGS (Deposit Guarantee Scheme)

Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits maintained in the context of an established operational relationship that fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

150

1.1.2.1.2.  not covered by DGS

Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits in the context of an established operational relationship that fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

160

1.1.2.2.  maintained in the context of IPS (Institutional Protection Scheme) or a cooperative network

Point (b) of Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on deposits maintained in the context of a common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, or as a legal or contractually established minimum deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, as set out in point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report those deposits into different rows depending on whether they are treated as liquid assets by the depositing credit institution or not, in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.

170

1.1.2.2.1.  not treated as liquid assets for the depositing institution

Point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained in the context of a cooperative network or an institutional protection scheme in accordance with the criteria set out in point (b) Article 27(1) of Delegated Regulation (EU) 2015/61, provided those deposits are not recognised as liquid assets for the depositing credit institution.

180

1.1.2.2.2.  treated as liquid assets for the depositing credit institution

Point (b) Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report deposits from credit institutions placed at the central credit institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the amount of these deposits up to the amount of the correspondent liquid assets after haircut, as set out in Article 27(3) of Delegated Regulation (EU) 2015/61.

190

1.1.2.3.  maintained in the context of an established operational relationship (other) with non-financial customers

Point (c) of Article 27(1), Article 27(4) and (6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by a non-financial customer in the context of an established operational relationship other than that mentioned in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61 and subject to the requirements set out in Article 27(6) of Delegated Regulation (EU) 2015/61.

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported.

200

1.1.2.4.  maintained to obtain cash clearing and central credit institution services within a network

Point (d) Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of a network or schemes referred to in Article 16 of Delegated Regulation (EU) 2015/61, as set out in point (d) of Article 27(1) of Delegated Regulation (EU) 2015/61. Those cash clearing and central credit institution services only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor as referred to in the first sentence of Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61).

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported.

203

1.1.3.  Excess operational deposits

Article 27(4) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here the part of the operational deposits in excess of those required for the provision of operational services.

204

1.1.3.1.  deposits by financial customers

Article 27(4) and 31a(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the operational deposits from financial customers in excess of those required for the provision of the operational services in accordance with Article 27(4) of Delegated Regulation (EU) 2015/61.

205

1.1.3.2.  deposits by other customers

Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the operational deposits from customers other than financial customers, and excluding retail deposits, in excess of those required for the provision of the operational services as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61.

These excess operational deposits shall be reported in two different rows depending on whether or not the entire amount of the excess operational deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

206

1.1.3.2.1.  covered by DGS

Articles 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

207

1.1.3.2.2.  not covered by DGS

Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

210

1.1.4.  Non-operational deposits

Articles 27(5), 28(1) and 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report separately, with the exception of the liabilities arising out of correspondent banking relationship or from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61, the non-operational deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions.

The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under id 1.1.3.

220

1.1.4.1.  correspondent banking and provisions of prime brokerage deposits

Article 27(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits arising out of correspondent banking relationship or from the provision of prime brokerage, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61.

230

1.1.4.2.  deposits by financial customers

Article 31a(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by financial customers to the extent they are not considered as operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

240

1.1.4.3.  deposits by other customers

Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61, to the extent those deposits are not considered operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

Those deposits shall be reported in two different rows depending on whether or not the entire amount of the deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

250

1.1.4.3.1.  covered by DGS

Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of those deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

260

1.1.4.3.2.  not covered by DGS

Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

270

1.1.5.  Additional outflows

Article 30 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here additional outflows as referred to in Article 30 of Delegated Regulation (EU) 2015/61.

Deposits received as collateral, as referred in Article 30(7) of Delegated Regulation (EU) 2015/61, shall not be considered liabilities for the purposes of Article 24, 25, 27 or 31a of Delegated Regulation (EU) 2015/61, but shall be subject to Article 30(1) to (6) of Delegated Regulation (EU) 2015/61, where applicable.

280

1.1.5.1.  collateral other than Level 1 assets posted for derivatives

Article 30(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral other than Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

290

1.1.5.2.  level 1 EHQ Covered Bonds assets collateral posted for derivatives

Article 30(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

300

1.1.5.3.  material outflows due to deterioration of own credit quality

Article 30(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of additional outflows they have calculated and notified to the competent authorities in accordance with Article 30(2) of Delegated Regulation (EU) 2015/61.

If an amount subject to outflow due to deterioration of own credit quality has been reported elsewhere in a row with less than 100 % weight, then an amount shall also be reported in Row 300 such that the sum of the outflows is 100 % outflow in total for the transaction.

310

1.1.5.4.  impact of an adverse market scenario on derivatives transactions

Article 30(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows calculated in accordance with Commission Delegated Regulation (EU) 2017/208.

340

1.1.5.5.  outflows from derivatives

Article 30(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows expected over 30 calendar days from contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives calculated in accordance with Article 21 of Delegated Regulation (EU) 2015/61.

For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report outflows which occur only in the respective significant currency. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00).

350

1.1.5.6.  short positions

Article 30(5) of Delegated Regulation (EU) 2015/61

If the credit institution has a short position that is covered by an unsecured security borrowing, the credit institution shall add an additional outflow corresponding to 100% of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralised securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0% outflow.

360

1.1.5.6.1.  covered by collateralised SFT (securities financing transactions)

Article 30(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short that are covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period.

370

1.1.5.6.2.  other

Article 30(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period.

380

1.1.5.7.  callable excess collateral

Point (a) of Article 30(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of excess collateral that the institution holds and that can be contractually called at any times by the counterparty.

390

1.1.5.8.  due collateral

Point (b) of Article 30(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral that is due to be posted to counterparty within the 30 calendar day period.

400

1.1.5.9.  liquid asset collateral exchangeable for non liquid assets

Point (c) of Article 30(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral that qualifies as liquid assets for the purpose of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II without the consent of the institution.

410

1.1.5.10.  loss of funding on structured financing activities

Article 30(8) to 30(10) of Delegated Regulation (EU) 2015/61

Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs.

Credit institutions that are providers of liquidity facilities associated with financing programs reported here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.

420

1.1.5.10.1.  structured financing instruments

Article 30(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the current outstanding amount of own liabilities or liabilities of sponsored conduits or SPVs from asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period.

430

1.1.5.10.2.  financing facilities

Article 30(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maturing amount of liabilities from asset- backed commercial papers, conduits, securities investment vehicles and other such financing facilities, in so far they do not enter into the scope of definition of the instruments defined in item 1.1.5.10.1., or the amount of assets that could potentially be returned or the liquidity required in the scope of those instruments.

All funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities maturing or returnable within 30 days. Credit institutions having structured financing facilities that include the issuance of short-term debt instruments, such as asset backed commercial paper, shall report the potential liquidity outflows from these structures. These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the existence of derivatives or derivative-like components contractually written into the documentation associated with the structure that would allow the ‘return’ of assets in a financing arrangement, or that require the original asset transferor to provide liquidity, effectively ending the financing arrangement (‘liquidity puts’) within the 30-day period. Where the structured financing activities are conducted through a special purpose entity (such as a special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA requirements, look through to the maturity of the debt instruments issued by the entity and any embedded options in financing arrangements that may potentially trigger the ‘return’ of assets or the need for liquidity, irrespective of whether or not the SPV is consolidated.

450

1.1.5.11.  internal netting of client’s positions

Article 30(12) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them..

460

1.1.6.  Committed facilities

Article 31 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows as defined in Article 31 of Delegated Regulation (EU) 2015/61.

Credit institutions shall also report here on committed facilities in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Delegated Regulation (EU) 2015/61.

470

1.1.6.1.  credit facilities

Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61.

480

1.1.6.1.1.  to retail customers

Article 31(3) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to retail customers as defined in Article 411 (2) of Regulation (EU) 575/2013.

490

1.1.6.1.2.  to non-financial customers other than retail customers

Article 31(4) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to customers that are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013 and which have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets.

500

1.1.6.1.3.  to credit institutions

Credit institutions shall report here on committed credit facilities provided to credit institutions.

510

1.1.6.1.3.1.  for funding promotional loans of retail customers

Article 31(9) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

520

1.1.6.1.3.2.  for funding promotional loans of non-financial customers

Article 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

530

1.1.6.1.3.3.  other

Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions other than those reported above.

540

1.1.6.1.4.  to regulated financial institutions other than credit institutions

Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to regulated financial institutions other than credit institutions.

550

1.1.6.1.5.  within a group or an IPS if subject to preferential treatment

Article 29 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

560

1.1.6.1.6.  within an IPS or cooperative network if treated as liquid asset by the depositing institution

Article 31(7) of Delegated Regulation (EU) 2015/61

Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed credit facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2).

570

1.1.6.1.7.  to other financial customers

Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities other than those reported above to other financial customers.

580

1.1.6.2.  liquidity facilities

Article 31(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61.

590

1.1.6.2.1.  to retail customers

Article 31(3) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to retail customers as defined in Article 411 (2) of Regulation (EU) 575/2013.

600

1.1.6.2.2.  to non-financial customers other than retail customers

Article 31(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to customers that are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

610

1.1.6.2.3.  to personal investment companies

Article 31(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amounts that could be drawn from undrawn committed liquidity facilities provided to private investment companies.

620

1.1.6.2.4.  to SSPEs (securitization special purpose vehicle)

Credit institutions shall report here on committed liquidity facilities provided to SSPEs.

630

1.1.6.2.4.1.  to purchase assets other than securities from non-financial customers

Article 31(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount of undrawn committed liquidity facilities provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than securities from clients that are not financial customers, to the extent that it exceeds the amount of as sets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased.

640

1.1.6.2.4.2.  other

Point (b) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This includes arrangements under which the institution is required to buy or swap assets from an SSPE.

650

1.1.6.2.5.  to credit institutions

Credit institutions shall report here on committed liquidity facilities provided to credit institutions.

660

1.1.5.2.5.1.  for funding promotional loans of retail customers

Article 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

670

1.1.6.2.5.2.  for funding promotional loans of non-financial customers

Article 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

680

1.1.6.2.5.3.  other

Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn of undrawn committed liquidity facilities provided to credit institutions not mentioned above.

690

1.1.6.2.6.  within a group or an IPS if subject to preferential treatment

Article 29 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

700

1.1.6.2.7.  within an IPS or cooperative network if treated as liquid asset by the depositing institution

Article 31(7) of Delegated Regulation (EU) 2015/61

Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2).

710

1.1.6.2.8.  to other financial customers

Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities other than those reported above to other financial customers.

720

1.1.7.  Other products and services

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on those products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

The amount to be reported shall be the maximum amount that could be drawn from the products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

The applicable weight to be reported shall be the weight as determined by the competent authorities in accordance with the procedure set out in Article 23(2) of Delegated Regulation (EU) 2015/61.

731

1.1.7.1.  Uncommitted funding facilities

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of uncommitted funding facilities referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

Guarantees shall not be reported in this row

740

1.1.7.2.  undrawn loans and advances to wholesale counterparties

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of undrawn loans and advances to wholesale counterparties referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

750

1.1.7.3.  mortgages that have been agreed but not yet drawn down

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn down referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

760

1.1.7.4.  credit cards

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

770

1.1.7.5.  overdrafts

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

780

1.1.7.6.  planned outflows related to renewal or extension of new retail or wholesale loans

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

850

1.1.7.7.  Derivatives payables

Article 23 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of derivatives payables, other than the contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives, referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

860

1.1.7.8.  trade finance off-balance sheet related products

Credit institutions shall report the amount of the products or services related to trade finance off-balance sheet related products referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

870

1.1.7.9.  others

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other products or services than those cited above referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

Guarantees, among other items, shall be reported in this row.

Contingent outflows due to triggers other than downgrade triggers referred to in Article 30(2) of Delegated Regulation (EU) 2015/61 shall be reported in this row.

885

1.1.8.  Other liabilities and due commitments

Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61

Credit institutions shall report outflows from other liabilities and due commitments as provided in Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61.

This item shall also include, where necessary, additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank in accordance with point (iii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61.

890

1.1.8.1.  liabilities resulting from operating expenses

Article 28(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of liabilities resulting from the credit institution’s own operating expenses as referred to in Article 28(2) of Delegated Regulation (EU) 2015/61.

900

1.1.8.2.  in the form of debt securities if not treated as retail deposits

Article 28(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of notes, bonds and other debt securities, issued by the credit institution other than that reported as retail deposits as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities.

912

1.1.8.4.  Excess of funding to non-financial customers

Article 31a(2) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

913

1.1.8.4.1.  excess of funding to retail customers

Credit institutions shall report here the difference between the contractual commitments to extend funding to retail customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

914

1.1.8.4.2.  excess of funding to non-financial corporates

Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial corporates customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

915

1.1.8.4.3.  excess of funding to sovereigns, MLDBs (multilateral development banks) and PSEs (public sector entities)

Credit institutions shall report here the difference between the contractual commitments to extend funding to sovereigns, multilateral development banks and public sector entities and the amount of inflows from such customers referred to in point (a) Article 32(3) when the former exceeds the latter.

916

1.1.8.4.4.  excess of funding to other legal entities

Credit institutions shall report here the difference between the contractual commitments to extend funding to other legal entities and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

917

1.1.8.5.  Assets borrowed on an unsecured basis

Article 28(7) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here assets borrowed on an unsecured basis and maturing within the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow.

Credit institutions shall report the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer.

918

1.1.8.6.  Others

Article 31a(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the amount of the outstanding balance of any liabilities that come due in the next 30 calendar days other than those referred to in Articles 24 to 31 of Delegated Regulation (EU) 2015/61.

This row shall only include any other outflows from unsecured transactions. Secured transactions shall be reported under ID 1.2. on ‘Outflows from secured lending and capital market-driven transactions’ and under ID 1.3. on ‘Total outflows from collateral swaps’.

920

1.2.  Outflows from secured lending and capital market-driven transactions

Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013. Collateral swap transactions (which cover collateral-versus- collateral transactions) shall be reported in template C 75.01 of Annex XXIV.

930

1.2.1.  Counterparty is central bank

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank.

940

1.2.1.1.  level 1 excl. EHQ Covered Bonds collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 asset excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

945

1.2.1.1.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.1 where the collateral, but for being used as collateral for those transactions, would qualify with Article 8 of Delegated Regulation (EU) 2015/61as liquid asset.

950

1.2.1.2.  level 1 EHQ Covered Bonds collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61as liquid asset.

955

1.2.1.2.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

960

1.2.1.3.  level 2A collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2A asset and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.

965

1.2.1.3.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

970

1.2.1.4.  level 2B asset-backed securities (residential or automobile, CQS1) collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in points (i),(ii) or (iv) of point (b) of Article 13(2 )and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

975

1.2.1.4.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

980

1.2.1.5.  level 2B covered bonds

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1)(e) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

985

1.2.1.5.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.5 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

990

1.2.1.6.  level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down points (iii) or (v) of point (g) in Article 13(2)(g) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

995

1.2.1.6.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1000

1.2.1.7.  other Level 2B assets collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1005

1.2.1.7.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.1.7 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1010

1.2.1.8.  non-liquid assets collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is non- liquid assets.

1020

1.2.2.  Counterparty is non-central bank

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank.

1030

1.2.2.1.  level 1 excl. EHQ Covered Bonds collateral

Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 assets excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1035

1.2.2.1.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.1 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1040

1.2.2.2.  level 1 EHQ Covered Bonds collateral

Point (b) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1045

1.2.2.2.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1050

1.2.2.3.  level 2A collateral

Point (c) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2A collateral and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.

1055

1.2.2.3.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1060

1.2.2.4.  level 2B asset-backed securities (residential or automobile, CQS1) collateral

Point (d) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in points (i), (ii) or (iv) of point (g) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

1065

1.2.2.4.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1070

1.2.2.5.  level 2B covered bonds

Point (e) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1075

1.2.2.5.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.5 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1080

1.2.2.6.  level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

Point (f) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in points (iii) or (v) of point (f) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61as liquid asset..

1085

1.2.2.6.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1090

1.2.2.7.  other Level 2B assets collateral

Point (g) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B collateral not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61as liquid asset.

1095

1.2.2.7.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.7 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1100

1.2.2.8.  non-liquid assets collateral

Point (h) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is non liquid assets collateral.

1130

1.3.  Total outflows from collateral swaps

The sum of outflows from C75.01 of Annex XXIV Column 0070 shall be reported in Column 060.

MEMORANDUM ITEMS

1170

2.  Liquidity outflows to be netted by interdependent inflows

Article 26 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in column 010 the amount of the outstanding balance of all liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 060 the outflows that have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61.

3.  Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken down by the following counterparties:

1180

3.1.  provided by credit institutions

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by credit institutions.

1190

3.2.  provided by financial customers other than credit institutions

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by financial customers other than credit institutions.

1200

3.3.  provided by sovereigns, central banks, MDBs and PSEs

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks and public sector entities.

1210

3.4.  provided by other customers

Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and customers considered for the retail deposits).

4.  Intra group or IPS outflows

Credit institutions shall report here all transactions reported in item 1 where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

1290

4.1.  of which: to financial customer

Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 4.

1300

4.2.  of which: to non-financial customers

Credit institutions shall report total amount reported in item 1.1. to non-financial customers within the scope of item 4.

1310

4.3.  of which: secured

Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 4.

1320

4.4.  of which: credit facilities without preferential treatment

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities reported in item 1.1.6.1. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

1330

4.5.  of which: liquidity facilities without preferential treatment

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities reported in item 1.1.6.2. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

1340

4.6.  of which: operational deposits

Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within the scope of item 4.

1345

4.7.  of which: excess operational deposits

Credit institutions shall report the amount of funds from operational deposits held in excess referred to in item 1.1.3. to entities within the scope of item 4.

1350

4.8.  of which: non-operational deposits

Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.4. from entities within the scope of item 4.

1360

4.9.  of which: liabilities in the form of debt securities if not treated as retail deposits

Credit institutions shall report the amount of the outstanding balance of debt securities reported in item 1.1.8.2. which are held by entities within the scope of item 4.

1370

5.  FX outflows

This item shall only be reported in case of reporting in currencies subject to separate reporting.

For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.5.5.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00).

6.  Secured funding waived from Article 17(2) and (3)

Credit institutions shall report here secured funding transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1400

6.1.  of which: secured by L1 excl. EHQCB

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral excluding extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1410

6.2.  of which: secured by L1 EHQCB

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral which is extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1420

6.3.  of which: secured by L2A

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2A collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1430

6.4.  of which: secured by L2B

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2B collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1440

6.5.  of which: secured by non-liquid assets

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

#

Item

Decision

Reporting

1

Inflow meeting the operational criteria as specified in Article 32, such as:

No

No Reporting

Yes

# 2

2

Forward starting transaction

Yes

# 3

No

# 5

3

Forward transaction entered into subsequent to the reporting date;

Yes

No Reporting

No

# 4

4

Forward transaction that start within the 30 day horizon and mature after the 30-day horizon where the initial leg produces a net inflow

Yes

Row 260, ID 1.1.11.

No

No Reporting

5

Inflows within a group or an institutional protection scheme

Yes

# 6

No

# 7

6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34)

Yes

Row 250, ID 1.1.10.

No

# 7

7

Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))

Yes

# 23

No

# 8

8

Monies due from securities maturing within 30 calendar days (Article 32(2)(c))

Yes

Row 190, ID 1.1.5.

No

# 9

9

Monies due from trade financing transactions with a residual maturity of no more than 30 days (Article 32(2)(b))

Yes

Row 180, ID 1.1.4.

No

# 10

10

Loans with an undefined contractual end date (Article 32(3)(i))

Yes

# 11

No

# 12

11

Interest and minimum payments from loans with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 days

Yes

# 12

No

Row 200, ID 1.1.6.

12

Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(d))

Yes

Row 210, ID 1.1.7.

No

# 13

13

Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4))

Yes

Row 230, ID 1.1.8.

No

# 14

14

Derivatives cash inflows net by counterparty and collateral (Article 32(5))

Yes

Row 240, ID 1.1.9.

No

# 15

15

Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a))

Yes

Row 170, ID 1.1.3.

No

# 16

16

Monies due from central banks and financial customers with a residual maturity of no more than 30 days (Article 32(2)(a))

Yes

# 20

No

# 17

17

Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2))

Yes

Row 040, ID 1.1.1.1.

No

# 18

18

Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))

Yes

# 19

No

Row 260, ID 1.1.11.

19

Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))

# 19.1

Retail customers

Yes

Row 060, ID 1.1.1.2.1.

No

# 19.2

# 19.2

Non-financial corporates

Yes

Row 070, ID 1.1.1.2.2.

No

# 19.3

# 19.3

Sovereigns, MDBs and PSEs

Yes

Row 080, ID 1.1.1.2.3.

No

Row 090, ID 1.1.1.2.4.

20

Inflows from financial customers being classified as operational deposits (Article 32(3)(d))

Yes

# 21

No

# 22

21

Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d))

Yes

Row 120, ID 1.1.2.1.1.

No

Row 130, ID 1.1.2.1.2.

22

Monies due from central banks (Article 32(2)(a))

Yes

Row 150, ID 1.1.2.2.1.

No

Row 160, ID 1.1.2.2.2.

23

Collateral Swap Transaction (Article 32(3)(e))

Yes

Row 410, ID 1.3 (1)

No

# 24

24

Transaction is conducted with a central bank

Yes

#25

No

# 31

25

Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)

Yes

# 26

No

# 30

26

Collateral is used to cover short positions

Yes

Row 297, ID 1.2.1.2

No

# 27

27

Collateral received meets the operational requirements under Article 8

Yes

# 28

No

# 29

28

Secured funding transaction secured by (Article 32(3)(b)):

# 28.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 269, ID 1.2.1.1.1 +

Row 271, ID 1.2.1.1.1.1

No

# 28.2

# 28.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 273, ID 1.2.1.1.2 +

Row 275, ID 1.2.1.1.2.1

No

# 28.3

# 28.3

Level 2A collateral

Yes

Row 277, ID 1.2.1.1.3 +

Row 279, ID 1.2.1.1.3.1

No

# 28.4

# 28.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 281, ID 1.2.1.1.4 +

Row 283, ID 1.2.1.1.4.1

No

# 28.5

# 28.5

Level 2B high quality covered bonds collateral

Yes

Row 285, ID 1.2.1.1.5 +

Row 287, ID 1.2.1.1.5.1

No

# 28.6

# 28.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 289, ID 1.2.1.1.6 +

Row 291, ID 1.2.1.1.6.1

No

Row 293, ID 1.2.1.1.7 +

Row 295, ID 1.2.1.1.7.1

29

Secured funding transaction secured by (Article 32(3)(b)):

# 29.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 269, ID 1.2.1.1.1

No

# 29.2

# 29.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 273, ID 1.2.1.1.2

No

# 29.3

# 29.3

Level 2A collateral

Yes

Row 277, ID 1.2.1.1.3

No

# 29.4

# 29.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 281, ID 1.2.1.1.4

No

# 29.5

# 29.5

Level 2B high quality covered bonds collateral

Yes

Row 285, ID 1.2.1.1.5

No

# 29.6

# 29.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 289, ID 1.2.1.1.6

No

Row 293, ID 1.2.1.1.7

30

Collateral that does not qualify as a liquid asset (Article 32(3)(b)) and is non-liquid equity

Yes

Row 301, ID 1.2.1.3.1

No

Row 303, ID 1.2.1.3.2

31

Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)

Yes

# 32

No

# 36

32

Collateral is used to cover short positions

Yes

Row 337, ID 1.2.2.2

No

# 33

33

Collateral received meets the operational requirements under Article 8

Yes

# 34

No

# 35

34

Secured funding transaction secured by (Article 32(3)(b))

# 34.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 309, ID 1.2.2.1.1 +

Row 311, ID 1.2.2.1.1.1

No

# 34.2

# 34.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 313, ID 1.2.2.1.2 +

Row 315, ID 1.2.2.1.2.1

No

# 34.3

# 34.3

Level 2A collateral

Yes

Row 317, ID 1.2.2.1.3 +

Row 319, ID 1.2.2.1.3.1

No

# 34.4

# 34.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 321, ID 1.2.2.1.4 +

Row 323, ID 1.2.2.1.4.1

No

# 34.5

# 34.5

Level 2B high quality covered bonds collateral

Yes

Row 325, ID 1.2.2.1.5 +

Row 327, ID 1.2.2.1.5.1

No

# 34.6

# 34.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 329, ID 1.2.2.1.6 +

Row 331, ID 1.2.2.1.6.1

No

Row 333, ID 1.2.2.1.7 +

Row 335, ID 1.2.2.1.7.1

35

Secured funding transaction secured by (Article 32(3)(b))

# 35.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 309, ID 1.2.2.1.1

No

# 35.2

# 35.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 313, ID 1.2.2.1.2

No

# 35.3

# 35.3

Level 2A collateral

Yes

Row 317, ID 1.2.2.1.3

No

# 35.4

# 35.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 321, ID 1.2.2.1.4

No

# 35.5

# 35.5

Level 2B high quality covered bonds collateral

Yes

Row 325, ID 1.2.2.1.5

No

# 35.6

# 35.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 329, ID 1.2.2.1.6

No

Row 333, ID 1.2.2.1.7

36

Collateral that does not qualify as a liquid asset (Article 32(3)(b))

# 36.1

margin loans: collateral is non-liquid

Yes

Row 341, ID 1.2.2.3.1.

No

# 36.2

# 36.2

collateral is non-liquid equity

Yes

Row 343, ID 1.2.2.3.2.

No

Row 345, ID 1.2.2.3.3.

(1)   Collateral swap transactions additionally need to be reported in template C 75.01 of ANNEX XXIV.

#

Item

Decision

Reporting

1

Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 (‘Decision tree on rows in template C 74.00’)

No

No Reporting

Yes

# 2

2

Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))

Yes

# 11

No

# 3

3

Partial exemption from the cap on inflows (Article 33(2)-(5))

Yes

# 4

No

# 6

4

Partial exemption from the cap on inflows (Article 33(2)-(5))

# 4.1

Part of inflows exempted from the cap on inflows

# 5

# 4.2

Part of inflows not exempted from the cap on inflows

# 7

5

Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 9

No

# 10

6

Inflow subject to the 75 % cap on inflows (Article 33(1))

Yes

# 7

No

# 8

7

Inflow subject to the 75 % cap on inflows (Article 33(1))

#7.1

Monies due/maximum amount that can be drawn

Column 010

# 7.2

Applicable Weight

Column 080

# 7.3

Inflow

Column 140

8

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 9

No

# 10

9

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

# 9.1

Monies due/maximum amount that can be drawn

Column 020

# 9.2

Applicable Weight

Column 090

# 9.3

Inflow

Column 150

10

Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))

# 10.1

Monies due/maximum amount that can be drawn

Column 030

# 10.2

Applicable Weight

Column 100

# 10.3

Inflow

Column 160

11

Secured funding transaction where the collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)

Yes

# 12

No

# 3

12

Partial exemption from the cap on inflows (Article 33(2)-(5))

Yes

# 13

No

# 15

13

Partial exemption from the cap on inflows (Article 33(2)-(5))

# 13.1

Part of inflows exempted from the cap on inflows

# 14

# 13.2

Part of inflows not exempted from the cap on inflows

# 16

14

Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 18

No

# 19

15

Inflow subject to the 75 % cap on inflows (Article 33(1))

Yes

# 16

No

# 17

16

Inflow subject to the 75 % cap on inflows (Article 33(1))

# 16.1

Monies due

Column 010

# 16.2

Market value of collateral received

Column 040

# 16.3

Applicable Weight

Column 080

# 16.4

Value of collateral received in accordance with Article 9

[only if the collateral received meets the operational requirements]

Column 110

# 16.5

Inflow

Column 140

17

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

Yes

# 18

No

# 19

18

Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5))

# 18.1

Monies due

Column 020

# 18.2

Market value of collateral received

Column 050

# 18.3

Applicable Weight

Column 090

# 18.4

Value of collateral received in accordance with Article 9

[only if the collateral received meets the operational requirements]

Column 120

# 18.5

Inflow

Column 150

19

Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))

# 19.1

Monies due

Column 030

# 19.2

Market value of collateral received

Column 060

# 19.3

Applicable Weight

Column 100

# 19.4

Value of collateral received in accordance with Article 9

[only if the collateral received meets the operational requirements]

Column 130

# 19.5

Inflow

Column 160

Column

Legal references and instructions

010

Amount — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

020

Amount — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

030

Amount – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

040

Market value of collateral received — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

050

Market value of collateral received — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

060

Market value of collateral received — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

070

Standard Weight

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The standard weights in Column 070 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

080

Applicable Weight- Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight is the one specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

090

Applicable Weight- Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

100

Applicable Weight — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

110

Value of collateral received in accordance with Article 9 — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

120

Value of collateral received in accordance with Article 9 — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

130

Value of collateral received in accordance with Article 9 — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

140

Inflow — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080.

For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

150

Inflow — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090.For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

160

Inflow — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100.

For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

Row

Legal references and instructions

010

1.  TOTAL INFLOWS

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV

020

1.1.  Inflows from unsecured transactions/deposits

Articles 32, 33 and 34 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 020 of C 74.00 of ANNEX XXIV

030

1.1.1.  monies due from non-financial customers (except for central banks)

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 030 of C 74.00 of ANNEX XXIV

Non-financial customers shall include, but not be limited to, natural persons, SMEs, corporates, sovereigns, multilateral development banks and public sector entities in accordance with Article 31a of Delegated Regulation (EU) 2015/61.

Monies due from secured lending and capital market driven transactions with a non-financial customer that are collateralised by liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013, shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due from such transactions that are collateralised by transferable securities that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61 shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due from such transactions with non-financial customers that are collateralised by non-transferable assets that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61 shall be reported in the relevant row of section 1.1.1.

Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here.

040

1.1.1.1.  monies due from non-financial customers (except for central banks) not corresponding to principal repayment

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from non-financial customers (except for central banks) with a residual maturity of no more than 30 cays not corresponding to principal repayment. These inflows include interest and fees due from non-financial customers (except for central banks).Monies due from central banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not be reported here.

050

1.1.1.2.  other monies due from non-financial customers (except for central banks)

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 050 of C 74.00 of ANNEX XXIV

Monies due from non-financial customers (except for central banks) not corresponding to principal repayment shall be reported in section 1.1.1.1. and shall not be reported here.

Other monies due from central banks shall be reported in section 1.1.2. and shall not be reported here.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

060

1.1.1.2.1.  monies due from retail customers

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from retail customers with a residual maturity of no more than 30 days.

070

1.1.1.2.2.  monies due from non-financial corporates

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from non-financial corporates with a residual maturity of no more than 30 days.

080

1.1.1.2.3.  monies due from sovereigns, multilateral development banks and public sector entities

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from sovereigns, multilateral development banks and public sector entities with a residual maturity of no more than 30 days.

090

1.1.1.2.4.  monies due from other legal entities

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from other legal entities not included anywhere above with a residual maturity of no more than 30 days.

100

1.1.2.  monies due from central banks and financial customers

Point (a) of Article 32(2) and point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 100 of C 74.00 of ANNEX XXIV

Credit institutions shall report here monies due with a residual maturity of no more than 30 days from central banks and financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon.

Monies due from central banks and financial customers not corresponding to principal repayment shall be reported in the relevant section.

Deposits at the central institution referred to in Article 27(3) of Delegated Regulation (EU) 2015/61 shall not be reported as an inflow.

Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here.

110

1.1.2.1.  monies due from financial customers being classified as operational deposits

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 110 of C 74.00 of ANNEX XXIV

Credit institutions shall report here monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

120

1.1.2.1.1.  monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate.

130

1.1.2.1.2.  monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is not able to establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be applied.

140

1.1.2.2.  monies due from central banks and financial customers not being classified as operational deposits

Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 140 of C 74.00 of ANNEX XXIV

Credit institutions shall report here monies due from central banks and financial customers which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.

150

1.1.2.2.1.  monies due from central banks

Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from central banks with a residual maturity of no more than 30 days in accordance with point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61.

160

1.1.2.2.2.  monies due from financial customers

Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

170

1.1.3.  inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61.

180

1.1.4.  monies due from trade financing transactions

Point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from trade financing transactions with a residual maturity of no more than 30 days in accordance with point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61.

190

1.1.5.  monies due from securities maturing within 30 days

Point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from securities maturing within 30 calendar days in accordance with point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61.

201

1.1.6.  loans with an undefined contractual end date

Point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61

Loans with an undefined contractual end date in accordance with point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61. The credit institution shall only consider those loans where the contract allows the credit institution to withdraw or to request payment within 30 calendar days. Interest and minimum payments to be debited against the client account within 30 calendar days shall be included in the amount reported. Interest and minimum payments from loans with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 calendar days shall be considered as monies due and shall be reported in the relevant row, following the treatment prescribed by Article 32 for monies due. Credit institutions shall not report other interest that accrues, but that is neither debited against the client account nor giving rise to an actual cash inflow over the next 30 calendar days.

210

1.1.7.  monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

Point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets in accordance with point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognised as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

230

1.1.8.  inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

Article 32(4) of Delegated Regulation (EU) 2015/61

Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets in accordance with Article 32(4) of Delegated Regulation (EU) 2015/61.

Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Delegated Regulation (EU) 2015/61.

240

1.1.9.  inflows from derivatives

Article 32(5) in conjunction with Article 21 of Delegated Regulation (EU) 2015/61

The net amount of receivables expected over 30 calendar days period from the contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives.

Credit institutions shall calculate inflows expected over 30 calendar days on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of Regulation (EU) No 575/2013. Net basis shall mean also net of collateral received provided that it qualifies as a liquid asset under Title II of Delegated Regulation (EU) 2015/61.

Cash outflows and inflows arising from foreign currency derivative or credit derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement.

In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, derivative or credit derivative transactions shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency.

250

1.1.10.  inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

Article 34 of Delegated Regulation (EU) 2015/61

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate in accordance with Article 34 of Delegated Regulation (EU) 2015/61.

260

1.1.11.  other inflows

Article 32(2) of Delegated Regulation (EU) 2015/61

All other inflows in accordance with Article 32(2) of Delegated Regulation (EU) 2015/61 not reported anywhere else in the template.

263

1.2.  Inflows from secured lending and capital market-driven transactions

Points (b), (c) and (f) of Article 32(3)of Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days.

Credit institutions shall report in row 263 of C 74.00 of ANNEX XXIV

Collateral swap transactions maturing within 30 calendar days shall be reported in template C 75.01 of Annex XXIV and shall not be reported here.

265

1.2.1.  counterparty is central bank

Credit institutions shall report here inflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 with a residual maturity of no more than 30 days where the counterparty is a central bank.

Credit institutions shall report in row 265 of C 74.00 of ANNEX XXIV

267

1.2.1.1.  collateral that qualifies as a liquid asset

Credit institutions shall report in row 267 of C 74.00 of ANNEX XXIV

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

269

1.2.1.1.1.  Level 1 collateral excluding extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

271

1.2.1.1.1.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

273

1.2.1.1.2.  Level 1 collateral which is extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1).

275

1.2.1.1.2.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

277

1.2.1.1.3.  Level 2A collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11.

279

1.2.1.1.3.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

281

1.2.1.1.4.  Level 2B asset backed securities (residential or auto) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Article 13(2).

283

1.2.1.1.4.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

285

1.2.1.1.5.  Level 2B high quality covered bonds collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1).

287

1.2.1.1.5.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

289

1.2.1.1.6.  Level 2B asset backed securities (commercial or individuals) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article 13(2).

291

1.2.1.1.6.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

293

1.2.1.1.7.  Level 2B collateral not already captured in section 1.2.1.1.4., 1.2.1.1.5. or 1.2.1.1.6.

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).

295

1.2.1.1.7.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

297

1.2.1.2.  collateral is used to cover a short position

Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting.

299

1.2.1.3.  collateral that does not qualify as a liquid asset

Credit institutions shall report in row 299 of C 74.00 of ANNEX XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report

301

1.2.1.3.1.  collateral is non-liquid equity

Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised non-liquid equity.

303

1.2.1.3.2.  all other non-liquid collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.1.3.1.

305

1.2.2.  counterparty is non-central bank

Credit institutions shall report here inflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 with a residual maturity of no more than 30 days where the counterparty is not a central bank.

Credit institutions shall report in row 305 of C 74.00 of ANNEX XXIV

307

1.2.2.1.  collateral that qualifies as a liquid asset

Credit institutions shall report in row 307 of C 74.00 of ANNEX XXIV

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

309

1.2.2.1.1.  Level 1 collateral excluding extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

311

1.2.2.1.1.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

313

1.2.2.1.2.  Level 1 collateral which is extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1).

315

1.2.2.1.2.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

317

1.2.2.1.3.  Level 2A collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11.

319

1.2.2.1.3.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

321

1.2.2.1.4.  Level 2B asset backed securities (residential or auto) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Article 13(2).

323

1.2.2.1.4.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

325

1.2.2.1.5.  Level 2B high quality covered bonds collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1).

327

1.2.2.1.5.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

329

1.2.2.1.6.  Level 2B asset backed securities (commercial or individuals) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article 13(2).

331

1.2.1.1.6.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

333

1.2.2.1.7.  Level 2B collateral not already captured in section 1.2.2.1.4., 1.2.2.1.5. or 1.2.2.1.6.

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).

335

1.2.2.1.7.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

337

1.2.2.2.  collateral is used to cover a short position

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting.

339

1.2.2.3.  collateral that does not qualify as a liquid asset

Credit institutions shall report in row 339 of C 74.00 of ANNEX XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report

341

1.2.2.3.1.  margin loans: collateral is non-liquid

Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61

Margin loans made against non-liquid assets with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the assets received are not used to cover short positions as outlined in Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61.

343

1.2.2.3.2.  collateral is non-liquid equity

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised non-liquid equity.

345

1.2.2.3.3.  all other non-liquid collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.2.3.1 or 1.2.2.3.2.

410

1.3.  Total inflows from collateral swaps

Credit institutions shall report here the sum of total inflows from collateral swaps as calculated in template C 75.01 of ANNEX XXIV.

420

1.4.  (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

Article 32(8) of Delegated Regulation (EU) 2015/61

Institutions shall report in the relevant Column 140, 150 and 160 the sum of total weighted inflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies less the sum of total weighted outflows to third countries where there are transfer restrictions or which are denominated in non-convertible currencies as reported in C 73.00 of ANNEX XXIV. In case this amount is negative, institutions shall report ‘0’.

430

1.5.  (Excess inflows from a related specialised credit institution)

Point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61

Credit institutions reporting on a consolidated basis shall report in the relevant column 140, 150 or 160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.

MEMORANDUM ITEMS

450

2.  FX inflows

This memorandum item shall only be reported in case of a separate reporting of the reporting currency or of a currency other than the reporting currency in accordance with Article 415(2) of Regulation (EU) 575/2013.

Credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.9.) which relate to FX principal flows in the respective currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency.

460

3.  Inflows within a group or an institutional protection scheme

Credit institutions shall report here as memorandum items all transactions reported in section 1 (excluding section 1.1.10.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

Credit institutions shall report in row 460 of C 74.00 of ANNEX XXIV

470

3.1.  Monies due from non-financial customers (except for central banks)

Credit institutions shall report here all monies due from non-financial customers reported in section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

480

3.2.  Monies due from financial customers

Credit institutions shall report here all monies due from financial customers reported in section 1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

490

3.3.  Secured transactions

Credit institutions shall report here all monies due from secured lending and capital market driven transaction as well as the total market value of received collateral reported in section 1.2., where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

500

3.4.  Monies due from maturing securities within 30 days

Credit institutions shall report here all monies due from maturing securities within 30 days reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

510

3.5.  Any other inflows within a group or an institutional protection scheme

Credit institutions shall report here any other inflows within a group or an institutional protection scheme reported in section 1.1.3. to 1.1.11. (excluding section 1.1.5. and 1.1.10.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

4.  Secured lending waived from Article 17(2) and (3)

Credit institutions shall report here secured lending transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

530

4.1.  of which: secured by L1 excl. EHQCB

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

540

4.2.  of which: secured by L1 EHQCB

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

550

4.3.  of which: secured by L2A

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

560

4.4.  of which: secured by L2B

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

570

4.5.  of which: secured by non-liquid assets

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

Column

Legal references and instructions

0010

Market value of collateral lent

The market value of the collateral lent shall be reported in Column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0020

Liquidity value of collateral lent

The liquidity value of the collateral lent shall be reported in Column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0030

Market value of collateral borrowed

The market value of the collateral borrowed shall be reported in Column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0040

Liquidity value of collateral borrowed

The liquidity value of the collateral borrowed shall be reported in Column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0050

Standard weight

Articles 28 and 32 of Delegated Regulation (EU) 2015/61,

The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

0060

Applicable weight

Articles 28 and 32 of Delegated Regulation (EU) 2015/61,

The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

0070

Outflows

Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV

0080

Inflows subject to the 75 % cap on inflows

Credit institutions shall report here the inflows of transactions subject to the 75% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0090

Inflows subject to the 90 % cap on inflows

Credit institutions shall report here the inflows of transactions subject to the 90% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0100

Inflows exempted from the cap on inflows

Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

Row

Legal references and instructions

0010

1.  TOTAL COLLATERAL SWAPS (counterparty is central bank)

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps.

0020

1.1.  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

0030

1.1.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0040

1.1.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.1., credit institutions shall report

0050

1.1.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

0060

1.1.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.2., credit institutions shall report

0070

1.1.3.  Level 2A assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed).

0080

1.1.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.3., credit institutions shall report

0090

1.1.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0100

1.1.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.4., credit institutions shall report

0110

1.1.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

0120

1.1.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.5., credit institutions shall report

0130

1.1.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0140

1.1.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.6., credit institutions shall report

0150

1.1.7.  Other Level 2B

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed).

0160

1.1.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.7., credit institutions shall report

0170

1.1.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed).

0180

1.1.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0190

1.2.  Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent.

0200

1.2.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0210

1.2.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.1., credit institutions shall report

0220

1.2.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

0230

1.2.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.2., credit institutions shall report

0240

1.2.3.  Level 2A assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed).

0250

1.2.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.3., credit institutions shall report

0260

1.2.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0270

1.2.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.4., credit institutions shall report

0280

1.2.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

0290

1.2.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.5., credit institutions shall report

0300

1.2.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0310

1.2.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.6., credit institutions shall report

0320

1.2.7.  Other Level 2B

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed).

0330

1.2.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.7., credit institutions shall report

0340

1.2.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed).

0350

1.2.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0360

1.3.  Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent.

0370

1.3.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0380

1.3.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.1., credit institutions shall report

0390

1.3.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

0400

1.3.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.2., credit institutions shall report

0410

1.3.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed).

0420

1.3.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.3., credit institutions shall report

0430

1.3.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0440

1.3.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.4., credit institutions shall report

0450

1.3.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed).

0460

1.3.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.5., credit institutions shall report

0470

1.3.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0480

1.3.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.6., credit institutions shall report

0490

1.3.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed).

0500

1.3.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.7., credit institutions shall report

0510

1.3.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed).

0520

1.3.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0530

1.4.  Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent.

0540

1.4.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0550

1.4.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.1., credit institutions shall report

0560

1.4.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

0570

1.4.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.2., credit institutions shall report

0580

1.4.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed).

0590

1.4.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.3., credit institutions shall report

0600

1.4.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0610

1.4.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.4., credit institutions shall report

0620

1.4.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

0630

1.4.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.5., credit institutions shall report

0640

1.4.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0650

1.4.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.6., credit institutions shall report

0660

1.4.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed).

0670

1.4.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.7., credit institutions shall report

0680

1.4.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed).

0690

1.4.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0700

1.5.  Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent.

0710

1.5.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0720

1.5.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.1., credit institutions shall report

0730

1.5.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

0740

1.5.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.2., credit institutions shall report

0750

1.5.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed).

0760

1.5.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.3., credit institutions shall report

0770

1.5.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0780

1.5.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.4., credit institutions shall report

0790

1.5.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

0800

1.5.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.5., credit institutions shall report

0810

1.5.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0820

1.5.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.6., credit institutions shall report

0830

1.5.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed).

0840

1.5.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.7., credit institutions shall report

0850

1.5.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed).

0860

1.5.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0870

1.6.  Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent.

0880

1.6.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0890

1.6.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.1., credit institutions shall report

0900

1.6.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

0910

1.6.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.2., credit institutions shall report

0920

1.6.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed).

0930

1.6.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.3., credit institutions shall report

0940

1.6.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0950

1.6.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.4., credit institutions shall report

0960

1.6.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

0970

1.6.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.5., credit institutions shall report

0980

1.6.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0990

1.6.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.6., credit institutions shall report

1000

1.6.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed).

1010

1.6.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.7., credit institutions shall report

1020

1.6.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed).

1030

1.6.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1040

1.7.  Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent.

1050

1.7.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1060

1.7.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.1., credit institutions shall report

1070

1.7.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed).

1080

1.7.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.2., credit institutions shall report

1090

1.7.3.  Level 2A assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed).

1100

1.7.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.3., credit institutions shall report

1110

1.7.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1120

1.7.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.4., credit institutions shall report

1130

1.7.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed).

1140

1.7.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.5., credit institutions shall report

1150

1.7.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1160

1.7.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.6., credit institutions shall report

1170

1.7.7.  Other Level 2B

Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed).

1180

1.7.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.7., credit institutions shall report

1190

1.7.8.  Non-liquid assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed).

1200

1.7.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1210

1.8.  Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent.

1220

1.8.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1230

1.8.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1240

1.8.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

1250

1.8.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1260

1.8.3.  Level 2A assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed).

1270

1.8.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1280

1.8.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1290

1.8.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1300

1.8.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed).

1310

1.8.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1320

1.8.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1330

1.8.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1340

1.8.7.  Other Level 2B

Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed).

1350

1.8.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1360

1.8.8.  Non-liquid assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed).

1370

2.  TOTAL COLLATERAL SWAPS (counterparty is non-central bank)

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps.

1380

2.1.  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

1390

2.1.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1400

2.1.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.1., credit institutions shall report

1410

2.1.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

1420

2.1.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.2., credit institutions shall report

1430

2.1.3.  Level 2A assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed).

1440

2.1.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.3., credit institutions shall report

1450

2.1.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1460

2.1.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.4., credit institutions shall report

1470

2.1.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

1480

2.1.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.5., credit institutions shall report

1490

2.1.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1500

2.1.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.6., credit institutions shall report

1510

2.1.7.  Other Level 2B

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed).

1520

2.1.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.7., credit institutions shall report

1530

2.1.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed).

1540

2.1.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1550

2.2.  Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent.

1560

2.2.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1570

2.2.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.1., credit institutions shall report

1580

2.2.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

1590

2.2.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.2., credit institutions shall report

1600

2.2.3.  Level 2A assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed).

1610

2.2.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.3., credit institutions shall report

1620

2.2.4.  Level 2B asset-backed securities (residential or automobile, CQS1)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1630

2.2.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.4., credit institutions shall report

1640

2.2.5.  Level 2B high quality covered bonds

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

1650

2.2.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.5., credit institutions shall report

1660

2.2.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1670

2.2.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.6., credit institutions shall report

1680

2.2.7.  Other Level 2B

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed).

1690

2.2.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.7., credit institutions shall report

1700

2.2.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed).

1710

2.2.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1720

2.3.  Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent.

1730

2.3.1.  Level 1 assets (excl. EHQ covered bonds)

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1740

2.3.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.1., credit institutions shall report

1750

2.3.2.  Level 1 extremely high quality covered bonds

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

1760

2.3.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.2., credit institutions shall report

1770

2.3.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed).