Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

7. C 48.00 Leverage ratio volatility (LR6)

• 29.Information is collected for the purpose of monitoring the volatility of the leverage ratio. The information shall be reported by large institutions only.

8. C 48.01 Leverage ratio volatility: Mean value for the reporting period

9. C 48.02 Leverage ratio volatility: Daily values for the reporting period

• 30.The daily values over the quarter shall be reported.

ANNEX XII

REPORTING ON NET STABLE FUNDING RATIO

C 80.00 — NSFR — REQUIRED STABLE FUNDING

Currency

C 81.00 — NSFR — AVAILABLE STABLE FUNDING

Currency

C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING

Currency

C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING

Currency

C 84.00 — NSFR Summary

Currency

ANNEX XIII

INSTRUCTIONS FOR REPORTING ON STABLE FUNDING

PART I: GENERAL INSTRUCTIONS

• 1.This annex covers instructions for the net stable funding ratio (NSFR) templates, which contains information about required and available stable funding items, for the purpose of reporting the NSFR as specified in Title IV of Part Six of Regulation (EU) No 575/2013 (CRR). Items that do not need to be completed by institutions are coloured grey.

• 2.In accordance with Article 415(1) CRR, institutions shall report the template in the reporting currency, regardless of the actual denomination of assets, liabilities and off-balance sheet items. Institutions shall separately report the template in the corresponding currencies in accordance with Article 415(2) CRR.

• 3.With regard to the calculation of the NSFR, the CRR refers to stable funding factors. The word ‘factor’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount, i.e. the value referred to in Article 428c(2) CRR.

• 4.In order to avoid any double counting, institutions shall not report assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Article 428k(4) CRR and Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance point (a) of Article 428ag and point (b) of Article 428ag CRR.

• 5.Items provided by and extended to members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential treatment according to Article 428h CRR shall be reported in a separate category. Deposits maintained in the context of an institutional protection scheme or a cooperative network considered as liquid assets shall be reported as liquid assets in accordance with Article 428g CRR. Other items within a group or an institutional protection scheme shall be reported in the relevant categories.

• 6.For reporting purposes, in the columns referred as ‘Amount’ the accounting value shall always be reported, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR.

• 7.For the purposes of reporting by currency subject to separate reporting as envisaged in Article 415(2) CRR, as regards derivatives as envisaged in Article 428d(4) CRR, institutions shall calculate the fair value for each netting set in its settlement currency. For all netting sets with matching settlement currencies a net amount shall be calculated in accordance with Articles 428k(4) and 428ah(2) CRR, and reported in the relevant currency subject to separate reporting. In this context, settlement currency shall be understood as the currency in which the settlement of a netting set has been agreed. Netting set refers to the group of receivables and payables stemming from derivatives transactions with a counterparty irrespective of whether they are denominated in a different currency to the settlement currency. In the case of multi-currency optionality, the credit institution shall make an assessment of the currency in which the settlement is likely to occur and shall report only in that separate currency.

• 8.The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty and the same type of collateral underlying (level 1 or non-level 1 liquid assets) pursuant to the delegated act referred to in Article 460(1) of CRR shall be reported on a net basis where Article 428e of CRR applies.. In the case of SFTs with collateral baskets underlying, the less liquid collateral within those pool of collateral shall be understood to be first pledged.

• 9.In accordance with Article 428ai CRR, small and non-complex institutions may choose, with the prior permission of their competent authority, to calculate their NSFR in accordance with the simplified methodology set out in Chapters 6-7 of Title IV of Part Six CRR. Institutions that use this simplified methodology for the calculation of the net stable funding ratio shall use the reporting templates C 82.00 and C 83.00. All other institutions shall use the reporting templates C 80.00 and C 81.00. All institutions shall report the reporting template C 84.00.

PART II: REQUIRED STABLE FUNDING

1. Specific remarks

• 10.Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet. In the case of reverse repos, where the assets borrowed are not accounted for on balance sheet but the bank that received them has their beneficial ownership, the cash leg, or the collateral leg if a higher RSF factor applies, will be reported only.

• 11.In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors.

• 12.Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.

• 13.All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following:

• i. Residual maturity of less than six months or without stated maturity;

• ii. Residual maturity of a minimum of six months but less than one year;

• iii. Residual maturity of one year or more.

• 14.In accordance with Article 428q(3) CRR, when calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date.

• 15.For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428pCRR.

• 16.The decision tree for the reporting template C 80.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and ‘of which’ items; this however does not mean that they shall not be reported as well.

• 17.As specified under Article 428p(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed. The residual maturity of this encumbrance shall be the higher between: i) the residual maturity of the transaction where the assets were borrowed and ii) the residual maturity of the transaction where the assets were re-pledged.

2. Instructions concerning specific columns

3. Instructions concerning specific rows