Row

Legal references and instructions

0010 to 0380

1 OUTFLOWS

The total amount of cash outflows shall be reported in the following sub- categories below:

0010

1.1 Liabilities resulting from securities issued (if not treated as retail deposits)

Cash outflows arising from debt securities issued by the reporting institution

i.e. own issuances.

0011

1.1.0.1 of which: Intragroup or IPS

The amount of outflows in 1.1 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

0020

1.1.1 unsecured bonds due

The amount of cash outflows resulting from securities issued reported in line 1.1, which is unsecured debt issued by the reporting institution to third parties.

0030

1.1.2 regulated covered bonds

The amount of cash outflows resulting from securities issued, reported in line 1.1, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC.

0040

1.1.3 securitisations due

The amount of cash outflows resulting from securities issued, reported in line 1.1, which is securitisation transactions with third parties, in accordance with point (61) of Article 4(1) of Regulation (EU) No 575/2013.

0050

1.1.4 other

The amount of cash outflows resulting from securities issued reported in line 1.1, other than those reported in the above subcategories.

0065

1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is non-Central Bank):

Total amount of all cash outflows arising from secured lending and capital market driven transactions where the counterparty is not a Central Bank, as defined in Article 192 of Regulation (EU) No 575/2013.

Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the ‘counterbalancing capacity’ section.

0066

1.2.0.1 of which: Intragroup or IPS

The amount of outflows in 1.2 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

0075

1.2.1 Level 1 tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

0085

1.2.1.1 Level 1 excluding covered bonds

The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are not covered bonds.

0095

1.2.1.1.1 Level 1 central bank

The amount of cash outflows reported in item 1.2.1.1 which is collateralised by assets representing claims on or guaranteed by central banks.

0105

1.2.1.1.2 Level 1 (CQS 1)

The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

0115

1.2.1.1.3 Level 1 (CQS 2, CQS3)

The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

0125

1.2.1.1.4 Level 1 (CQS 4+)

The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

0135

1.2.1.2 Level 1 covered bonds (CQS1)

The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are covered bonds. Note that in accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

0145

1.2.2 Level 2A tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

0155

1.2.2.1 Level 2A corporate bond (CQS 1)

The amount of cash outflows reported in item 1.2.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

0165

1.2.2.2 Level 2A covered bonds (CQS1, CQS2)

The amount of cash outflows reported in item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

0175

1.2.2.3 Level 2A public sector (CQS1, CQS2)

The amount of cash outflows reported in item 1.2.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.

0185

1.2.3 Level 2B tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

0195

1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1)

The amount of cash outflows reported in item 1.2.3 which is collateralised by asset backed securities, including RMBS. Note that in accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1.

0205

1.2.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds.

0215

1.2.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities.

0225

1.2.3.4 Level 2B shares

The amount of cash outflows reported in item 1.2.3 which is collateralised by shares.

0235

1.2.3.5 Level 2B public sector (CQS 3-5)

The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4.

0245

1.2.4 other tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets not reported in items 1.2.1, 1.2.2 or 1.2.3.

0251

1.2.5 other assets

The amount of cash outflows reported in item 1.2 which is collateralised by assets not reported in items 1.2.1, 1.2.2. 1.2.3 or 1.2.4.

0252

1.2a Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is Central Bank):

Total amount of all cash outflows arising from secured lending and capital market driven transactions where the counterparty is a Central Bank, as defined in Article 192 of Regulation (EU) No 575/2013.

Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the ‘counterbalancing capacity’ section.

0253

1.2a.1 Level 1 tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

0254

1.2a.2 Level 2A tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

0255

1.2a.3 Level 2B tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

0256

1.2a.4 other tradable assets

The amount of cash outflows reported in item 1.2a which is collateralised by tradable assets not reported in items 1.2a.1, 1.2a.2 or 1.2a.3.

0257

1.2a.5 other assets

The amount of cash outflows reported in item 1.X which is collateralised by assets not reported in items 1.2a.1, 1.2a.2. 1.2a.3 or 1.2a.4.

0260

1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)

Cash outflows arising from all deposits received with the exception of outflows reported in item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5.

Deposits shall be reported in accordance with their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (‘sight deposits’) or non-maturing deposits shall be reported in the ‘overnight’ bucket.

0261

1.3.0.1 of which: Intragroup or IPS

The amount of outflows in 1.3 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

0270

1.3.1 stable retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 411(2) of Regulation (EU) No 575/2013 and Article 24 of Delegated Regulation (EU) 2015/61.

0280

1.3.2 other retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 411(2) of Regulation (EU) No 575/2013 other than those reported in item 1.3.1.

0290

1.3.3 operational deposits

The amount of cash outflows reported in item 1.3, which derives from operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

0300

1.3.4 non-operational deposits from credit institutions

The amount of cash outflows reported in item 1.3, which derives from deposits by credit institutions other than those reported in item 1.3.3.

0310

1.3.5 non-operational deposits from other financial customers

The amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013other than those reported in item 1.3.3 and 1.3.4.

0320

1.3.6 non-operational deposits from central banks

The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by central banks.

0330

1.3.7 non-operational deposits from non-financial corporates

The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by non-financial corporates.

0340

1.3.8 non-operational deposits from other counterparties

The amount of cash outflows reported in item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7.

0350

1.4 FX-swaps maturing

Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract.

0360

1.5 Derivatives amount payables other than those reported in 1.4

Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4.

The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date.

The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

1.  cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. The exclusion shall not apply to the following:

(a)  Assets eligible for CBC that have already been received or provided in the context of collateralised derivatives at the reporting reference date (i.e. in the ‘stock’ column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).

(b)  Cash and securities flows in the context of margin calls (‘cash or securities collateral flows’) which are payable in due course but have not yet been settled. These shall be reflected in lines 1.5 ‘derivatives cash-outflows’ and 2.4 ‘derivatives cash- inflows’ for cash collateral and in section 3 ‘counterbalancing capacity’ for securities collateral

(c)  Derivatives with physical settlement (e.g. a physically settled gold forward) where these derivatives are fully or adequately collateralised. For these derivatives, in addition to point (a) and (b) above, also the settlement flow at final settlement (normally around maturity) shall be reported. The expected cash flow shall be included in the appropriate time bucket in line 1.5 ‘derivatives cash-outflows’ in case of a cash outflow, and line 2.4 ‘derivatives cash- inflows’ in case of a cash inflow. If the physically settled asset will qualify as CBC in section 3, this flow shall be included in the appropriate time bucket and appropriate row in this section. It shall be a negative amount in case of an outflow and positive in case of an inflow;

2.  For cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts:

(a)  flows related to option-like derivatives shall be included only where the strike price is below the market price for a call, or above the market price for a put option (‘in the money’). These flows shall be proxied by applying both of the following:

(i)  including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder ‘derivatives cash- inflows’ at the latest exercise date of the option where the bank has the right to exercise the option;

(ii)  including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder ‘derivatives cash-outflows’ at the earliest exercise date of the option where the bank’s counterparty has the right to exercise the option;

(b)  flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 ‘derivatives cash- outflows’ and 2.4 ‘derivatives cash-inflows’ and the contractual flows of liquid securities in the counterbalancing capacity of the maturity ladder, using the current market-implied forward rates applicable on the reporting date where the amounts are not yet fixed.

In accordance with the above:

Regarding derivatives under point 1, the return of collateral that was already received or paid shall not be reported in the maturity ladder.

Regarding derivatives under point 2, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. If the return of collateral already received (paid) represents cash collateral the return of collateral shall be reported in row 1.6 other outflows (row 2.6 other inflows) in the appropriate time bucket

For the purposes of this row, a situation in which collateral exchanged with a counterparty does not fully equal the value changes in the derivative, shall still be treated as adequately collateralised if the discrepancy does not exceed the minimum transfer amount.

0370

1.6 Other outflows

Total amount of all other cash outflows, not reported in items 1.1, 1.2, 1.3, 1.4 or 1.5. Contingent outflows shall not be reported here.

0380

1.7 Total outflows

The sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6.

0390 to 0700

2 INFLOWS

0390

2.1 Monies due from secured lending and capital market driven transactions collateralised by:

Total amount of cash inflows from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013.

Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the ‘counterbalancing capacity’ section.

0391

2.1.0.1 of which: Intragroup or IPS

The amount of inflows in 2.1 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

0400

2.1.1 Level 1 tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

0410

2.1.1.1 Level 1 excluding covered bonds

The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are not covered bonds.

0420

2.1.1.1.1 Level 1 central bank

The amount of cash inflows reported in item 2.1.1.1 which is collateralised by assets representing claims on or guaranteed by central banks.

0430

2.1.1.1.2 Level 1 (CQS 1)

The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

0440

2.1.1.1.3 Level 1 (CQS 2, CQS3)

The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

0450

2.1.1.1.4 Level 1 (CQS 4+)

The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

0460

2.1.1.2 Level 1 covered bonds (CQS1)

The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are covered bonds. Note that in accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

0470

2.1.2 Level 2A tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

0480

2.1.2.1 Level 2A corporate bond (CQS 1)

The amount of cash inflows reported in item 2.1.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

0490

2.1.2.2 Level 2A covered bonds (CQS1, CQS2)

The amount of cash inflows reported in item 2.1.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

0500

2.1.2.3 Level 2A public sector (CQS1, CQS2)

The amount of cash inflows reported in item 2.1.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.

0510

2.1.3 Level 2B tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

0520

2.1.3.1 Level 2B ABS (CQS 1)

The amount of cash inflows reported in item 2.1.3 which is collateralised by asset backed securities, including RMBS.

0530

2.1.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash inflows reported in item 2.1.3 which is collateralised by covered bonds.

0540

2.1.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities.

0550

2.1.3.4 Level 2B shares

The amount of cash inflows reported in item 2.1.3 which is collateralised by shares.

0560

2.1.3.5 Level 2B public sector (CQS 3-5)

The amount of cash inflows reported in item 2.1.3 which is collateralised by Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4.

0570

2.1.4 other tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets not reported in items 2.1.1, 2.1.2 or 2.1.3.

0580

2.1.5 other assets

The amount of cash inflows reported in item 2.1 which is collateralised by assets not reported in items 2.1.1, 2.1.2, 2.1.3 or 2.1.4.

0590

2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to:

Cash inflows from loans and advances.

Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities.

0600

2.2.1 retail customers

The amount of cash inflows reported in item 2.2, which derives from natural persons or SMEs in accordance with Article 411(2) of Regulation (EU) No 575/2013.

0610

2.2.2 non-financial corporates

The amount of cash inflows reported in item 2.2, which derives from non- financial corporates.

0620

2.2.3 credit institutions

The amount of cash inflows reported in item 2.2, which derives from credit institutions.

0621

2.2.3.1 of which: Intragroup or IPS

The amount of inflows in 2.2.3 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

0630

2.2.4 other financial customers

The amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013 other than those reported in item 2.2.3.

0640

2.2.5 central banks

The amount of cash inflows reported in item 2.2, which derives from central banks. This item shall not include withdrawable cash reserves as reported in item 3.2.

0650

2.2.6 other counterparties

The amount of cash inflows reported in item 2.2, which derives from other counterparties not referred to in sections 2.2.1-2.2.5.

0660

2.3 FX-swaps maturing

Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract.

This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template.

0670

2.4. Derivatives amount receivables other than those reported in 2.3

Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3.

The total amount shall include settlement amounts including unsettled margin calls as of the reporting date.

The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

1.  cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from the maturity ladder template, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. The exclusion shall not apply to the following:

(a)  Assets eligible for CBC that have already been received or provided in the context of collateralised derivatives at the reporting reference date (i.e. in the ‘stock’ column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).

(b)  Cash and securities flows in the context of margin calls (‘cash or securities collateral flows’) which are payable in due course but have not yet been settled. These shall be reflected in lines 1.5 ‘derivatives cash-outflows’ and 2.4 ‘derivatives cash- inflows’ for cash collateral and in section 3 ‘counterbalancing capacity’ for securities collateral

(c)  Derivatives with physical settlement (e.g. a physically settled gold forward) where these derivatives are fully or adequately collateralised. For these derivatives, in addition to point (a) and (b) above, also the settlement flow at final settlement (normally around maturity) shall be reported. The expected cash flow shall be included in the appropriate time bucket in line 1.5 ‘derivatives cash-outflows’ in case of a cash outflow, and line 2.4 ‘derivatives cash- inflows’ in case of a cash inflow. If the physically settled asset will qualify as CBC in section 3, this flow shall be included in the appropriate time bucket and appropriate row in this section. It shall be a negative amount in case of an outflow and positive in case of an inflow;

2.  for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts:

(a)  flows related to option-like derivatives shall be included only if they are in the money. These flows shall be proxied by applying both of the following:

(i)  including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder ‘derivatives cash-inflows’ at the latest exercise date of the option where the bank has the right to exercise the option;

(ii)  including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder ‘derivatives cash-outflows’ at the earliest exercise date of the option where the bank’s counterparty has the right to exercise the option;

(b)  flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 ‘derivatives cash- outflows’ and 2.4 ‘derivatives cash-inflows’ and the contractual flows of securities in the counterbalancing capacity of the maturity ladder, using the current market- implied forward rates applicable on the reporting date where the amounts are not yet fixed.

In accordance with the above:

Regarding derivatives under point 1, the return of collateral that was already received or paid shall not be reported in the maturity ladder.

Regarding derivatives under point 2, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. If the return of collateral already received (paid) represents cash collateral the return of collateral shall be reported in row 1.6 other outflows (row 2.6 other inflows) in the appropriate time bucket

For the purposes of this row, a situation in which collateral exchanged with a counterparty does not fully equal the value changes in the derivative, shall still be treated as adequately collateralised if the discrepancy does not exceed the minimum transfer amount.

0680

2.5 Paper in own portfolio maturing

The amount of inflows from own investments due taken in bonds, reported in accordance with their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here.

0690

2.6 Other inflows

Total amount of all other cash inflows, not reported in items 2.1, 2.2, 2.3, 2.4 or 2.5 above. Contingent inflows shall not be reported here.

0691

2.6.1 of which: Intragroup or IPS

The amount of inflows in 2.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

0700

2.7 Total inflows

Sum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6.

0710

2.8 Net contractual gap

Total Inflows reported in item 2.7 less total outflows reported in item 1.7.

0720

2.9 Cumulated net contractual gap

Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket.

0730–1080

3 COUNTERBALANCING CAPACITY

The ‘Counterbalancing Capacity’ of the maturity ladder shall contain information on the development of an institution’s holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution.

For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis.

Where the counterbalancing capacity refers to tradable assets, institutions

shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration.

Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds.

Assets that the institution received as collateral in reverse repo and Securities Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution’s use.

In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in item 3.8.

Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 0010.

Columns 0020 to 0220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket in item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature.

Assets eligible for CBC that have already been received or provided in the context of derivatives at the reporting reference date (i.e. in the ‘stock’ column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).

Regarding derivatives that are fully or adequately collateralised, the return of collateral that was already received or paid shall not be reported in the maturity ladder.

Regarding derivatives that are partially collateralised, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return.

A change to the contractually available amount of credit and liquidity lines reported in item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock in item 3.2.

Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported in item 2.5.

All security values shall be reported in the relevant bucket at current market values.

In item 3.8 only contractually available amounts shall be reported.

To avoid double counting, cash-inflows shall not be accounted for in item 3.1 or 3.2 of the counterbalancing capacity.

Items in the counterbalancing capacity shall be reported in the following sub- categories below:

0730

3.1 Coins and bank notes

Total amount of cash arising from coins and banknotes.

0740

3.2 Withdrawable central bank reserves

Total amount of reserves at central banks in accordance with point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61 withdrawable overnight at the latest.

Securities representing claims on or guaranteed by central banks shall not be reported here.

This amount shall only be reported in the initial stock column and shall not be reported as an Inflow from Central Banks in item 2.2.5.

0750

3.3 Level 1 tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

0760

3.3.1 Level 1 excluding covered bonds

The amount reported in item 3.3 which is not covered bonds.

0770

3.3.1.1 Level 1 central bank

The amount reported in item 3.3.1 which is assets representing claims on or guaranteed by central banks.

0780

3.3.1.2 Level 1 (CQS 1)

The amount reported in item 3.3.1 other than the amount reported in item 3.3.1.1, which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

0790

3.3.1.3 Level 1 (CQS 2, CQS3)

The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

0800

3.3.1.4 Level 1 (CQS 4+)

The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

0810

3.3.2 Level 1 covered bonds (CQS1)

The amount reported in item 3.3 which is covered bonds. Note that in accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

0820

3.4 Level 2A tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

0830

3.4.1 Level 2A corporate bond (CQS 1)

The amount reported in item 3.4 which is corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

0840

3.4.3 Level 2A covered bonds (CQS 1, CQS2)

The amount reported in item 3.4 which is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

0850

3.4.4 Level 2A public sector (CQS1, CQS2)

The amount reported in item 3.4 which is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.

0860

3.5 Level 2B tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61.

CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

0870

3.5.1 Level 2B ABS (CQS 1)

The amount reported in item 3.5 which is asset backed securities (including RMBS). Note that in accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1.

0880

3.5.2 Level 2B covered bonds (CQS 1-6)

The amount reported in item 3.5 which is covered bonds.

0890

3.5.3 Level 2B corporate bonds (CQS 1-3)

The amount reported in item 3.5 which is corporate debt securities.

0900

3.5.4 Level 2B shares

The amount reported in item 3.5 which is shares.

0910

3.5.5 Level 2B public sector (CQS 3-5)

The amount reported in 3.5 which is Level 2B assets not reported in items 3.5.1 to 3.5.4.

0920

3.6 other tradable assets

The market value of tradable assets other than those reported in items 3.3, 3.4 and 3.5.

Securities and securities flows from other tradable assets in the form of intragroup assets shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

0930

3.6.1 central government (CQS1)

The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 1 by a nominated ECAI.

0940

3.6.2 central government (CQS2-3)

The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 2 or 3 by a nominated ECAI.

0950

3.6.3 shares

The amount reported in item 3.6 which is shares.

0960

3.6.4 covered bonds

The amount reported in item 3.6 which is covered bonds.

0970

3.6.5 ABS

The amount reported in item 3.6 which is ABS.

0980

3.6.6 other tradable assets

The amount reported in item 3.6 which is other tradable asset not reported in items 3.6.1 to 3.6.5 and 3.7a.

0990

3.7 non-tradable assets eligible for central bank

The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation.

For assets denominated in a currency included in the Annex of Commission Implementing Regulation (EU) 2015/233 (1) as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. Securities and securities flows from other non-tradable assets in the form of intragroup assets shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

0991

3.7a own issuances eligible for central banks

Secured debt instruments issued by the institution that are central bank eligible and retained on the institution’s balance sheet and to which the institution has direct access at its level of consolidation.

1000

3.8 Undrawn committed facilities received

Total amount of undrawn committed facilities extended to the reporting institution. These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where the potential collateral needs for drawing on these facilities exceeds the availability of collateral.

In order to avoid double-counting, facilities where the reporting institution has already prepositioned assets as collateral, for an undrawn credit facility, and has already reported the assets in items 3.1 to 3.7, shall not be reported in item 3.8. The same shall apply for cases where the reporting institution may need to preposition assets as collateral in order to draw as reported in this field.

1010

3.8.1 Level 1 facilities

The amount reported in item 3.8 which is central bank facility in accordance with point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61.

1020

3.8.2 Level 2B restricted use facilities

The amount reported in item 3.8 which are facilities in accordance with Article 14 of Delegated Regulation (EU) 2015/61.

1030

3.8.3 Level 2B IPS facilities

The amount reported in item 3.8 which is liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61.

1040

3.8.4 Other facilities

The amount reported in item 3.8 other than the amount reported in 3.8.1 to 3.8.3.

1050

3.8.4.1 from intragroup counterparties

The amount reported in 3.8.4 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme as 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).

1060

3.8.4.2 from other counterparties

The amount reported in 3.8.4 other than the amount reported in 3.8.4.1.

1070

3.9 Net change of Counterbalancing Capacity

Net change in exposures to items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, respectively, central banks, securities flows and committed credit lines in a given time bucket shall be reported.

1080

3.10 Cumulated Counterbalancing Capacity

Cumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a relevant time bucket.

1090–1140

4 CONTINGENCIES

The ‘Contingencies’ of the maturity ladder shall contain information on contingent outflows.

1090

4.1 Outflows from committed facilities

Cash outflows arising from committed facilities. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. For revolving credit facilities, only the amount above the existing loan shall be reported.

1091

4.1.0.1 of which: Intragroup or IPS

The amount of contingencies in 4.1 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU 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).

1100

4.1.1 Committed credit facilities

The amount reported in item 4.1, which derives from committed credit facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61.

1110

4.1.1.1 considered as Level 2B by the receiver

The amount reported in item 4.1.1, which is considered liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61.

1120

4.1.1.2 other

The amount reported in item 4.1.1, other than the amount reported in item 4.1.1.1.

1130

4.1.2 Liquidity facilities

The amount reported in item 4.1, which derives from liquidity facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61.

1131

4.1a Outflows from uncommitted funding facilities

Uncommitted credit and liquidity facilities in accordance with Article 23(1)(a), (b), (d) and (e) of Delegated Regulation (EU) 2015/61. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period, reported in the bucket corresponding to their earliest availability. Guarantees shall not be reported in this row.

1140

4.2 Outflows due to downgrade triggers

Institutions shall report here the effect of a material deterioration of the credit quality of the institution corresponding to a downgrade in its external credit assessment by three notches.

Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction of the original liability.

Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and simultaneously with a positive sign in a time band when the liability becomes due, should the effects of the downgrade become applicable at the reporting date.

Where the effect of the downgrade is a margin call, the market value of the collateral required to be posted shall be reported with a positive sign in a time band when the requirement becomes due, should the effects of the downgrade become applicable at the reporting date.

Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received as collateral from the counterparties, the market value of the affected securities shall be reported with a positive sign in a time band when the securities cease to be available to the reporting institution, should the effects of the downgrade become applicable at the reporting date.

1150–1290

MEMORANDUM ITEMS

1230

13 HQLA central bank eligible – Tradable assets

The amount reported in items 3.3, 3.4 and 3.5 which is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation.

For assets denominated in a currency included in the Annex of Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

1241

14 Assets reported in 3.6 that are non-HQLA central bank eligible

The sum of the amounts reported in item 3.6 which are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation.

For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

1270

17 Behavioural outflows from deposits

The amount reported in item 1.3 redistributed into the time buckets in accordance with the behavioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ shall mean ‘a situation without any liquidity stress assumption.

The distribution shall reflect the ‘stickiness’ of the deposits.

The item does not reflect business plan assumptions and therefore shall not include information relating to new business activities.

Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

1280

18 Behavioural inflows from loans and advances

The amount reported in item 2.2 redistributed into the time buckets in accordance with the behavioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ shall mean a situation without any liquidity stress assumption.

The item does not reflect business plan assumptions and therefore shall not consider new business activities.

Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in.

1290

19 Behavioural draw-downs of committed facilities

The amount reported in item 4.1 redistributed into the time buckets in accordance with the behavioural level of draw-downs and resulting liquidity needs on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ means ‘a situation without any liquidity stress assumption’.

The item does not reflect business plan assumptions and therefore shall not consider new business activities.

Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.