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)

ANNEX XX

REPORTING ON COUNTERBALANCING CAPACITY

C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

Total and significant currencies

ANNEX XXI

INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX

Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)

• 1.In order to collect information about the reporting institutions’ concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, institutions shall apply the instructions contained in this Annex.

• 2.Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration.

• 3.The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date.

• 4.For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies.

• 5.When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration.

• 6.Except for row 0120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type.

Commission Implementing Regulation (EU) 2015/233 of 13 February 2015 laying down implementing technical standards with regard to currencies in which there is an extremely narrow definition of central bank eligibility pursuant to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 39, 14.2.2015, p. 11).

ANNEX XXII

REPORTING ON AMM MATURITY LADDER

C 66.01 - MATURITY LADDER

Total and significant currencies

ANNEX XXIII

INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII

PART I: GENERAL INSTRUCTIONS

• 1.In order to capture the maturity mismatch of an institution’s activities (‘maturity ladder’) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex.

• 2.The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported in accordance with the provisions of those legal agreements.

• 3.Institutions shall not double count inflows.

• 4.In the column ‘initial stock’, the stock of items at the reporting date shall be reported.

• 5.Only the blank white cells of the template in Annex XXII shall be completed.

• 6.The section of the maturity ladder template entitled ‘Outflows and inflows’ shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported. Interest outflows and inflows from all on and off balance sheet instruments other than guarantees shall be included in all relevant items of the ‘outflows’ and ‘inflows’ sections, in the corresponding time bucket where they fall due. Payments and receipts of interest that fall due after 5 years from the reporting reference date shall be excluded from the maturity ladder.

• 7.The section of the maturity ladder template entitled ‘Counterbalancing capacity’ shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.

• 8.Cash outflows and inflows in the respective sections ‘outflows’ and ‘inflows’ shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.

• 9.For the section of the maturity ladder template entitled ‘counterbalancing capacity’ outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts.

• 10.Contractual flows shall be allocated across the twenty-two time buckets in accordance with their residual maturity, with days referring to calendar days.

• 11.All contractual flows shall be reported, including all cash-flows from non-financial activities such as taxes, bonuses, dividends and rents. Cash-flows from non-financial activities shall be reported in the corresponding time bucket where they fall due. These cash flows shall be excluded from the maturity ladder where they fall due after 5 years from the reporting reference date.

• 12.In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following:

• (a) where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution;

• (b) where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow;

• (c) deposits maturing overnight, including sight deposits and non-maturing deposits, shall be reported as overnight in column 0020. In addition, those transactions with no contractually specified maturity shall be reported in column 0025;

• (d) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket in accordance with the notice period;

• (e) retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty in accordance with point (b) of Article 25(4) of Delegated Regulation (EU) 2015/61.

• (f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 0220.

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• 14.Foreign Exchange (‘FX’) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template.

• 15.Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets.

• 16.Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank.

• 17.Past due items and items for which the institution has a reason to expect non- performance shall not be reported.

• 18.Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket in accordance with the maturity of the transaction that generated the reception of the collateral.

• 19.Where according to Article 16 of the Delegated Regulation (EU) 2015/61 the sight deposits that the reporting credit institution maintains with the central institution are treated as liquid assets, the sight deposits should be treated as a contractual interbank inflow in the maturity ladder.

• 20.Intragroup items shall not affect the reporting on a consolidated basis.

• 21.The non-withdrawable part of the central bank reserves shall not be reported anywhere in the template.

PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS