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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)

Type Implementing Regulation

Publication 2021-03-19

Last updated 2024-09-01

State In force

Department European Commission, FISMA

Source EUR-Lex

articles 24

Reform history JSON API

Row	Legal references and instructions
0010	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 column 0010. Credit institutions shall report the total value calculated in accordance with Article 9 of their Liquid assets in column 0040.
0020	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 column 0010. Credit institutions shall report the total value calculated in accordance with Article 9 of their Level 1 Liquid assets in column 0040.
0030	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 0010 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 0040 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.
0040	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.
0050	1.1.1.2. Withdrawable central bank reserves Point (b)(iii) of Article 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 (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61.
0060	1.1.1.3. Central bank assets Points (b)(i) and (b)(ii) 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.
0070	1.1.1.4. Central government assets Points (c)(i) and (c)(ii) 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.
0080	1.1.1.5. Regional government/local authorities assets Points (c)(iii) and (c)(iv) 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.
0090	1.1.1.6. Public Sector Entity assets Points (c)(v) and (c)(vi) 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.
0100	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 (d)(ii) 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 (d)(ii) 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.
0110	1.1.1.8. Credit institution (protected by Member State government, promotional lender) assets Points (e)(i) and (e)(ii) 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 (e)(ii) 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.
0120	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.
0130	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.
0140	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.
0150	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 points (b)(i) to (b)(iii) of Article 19(1) of Delegated Regulation (EU) 2015/61.
0160	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 In accordance with 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.
0170	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.
0180	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 0010 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 0040 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.
0190	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.
0200	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.
0210	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 In accordance with 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) 2015/61 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 1 extremely high quality covered bonds.
0220	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 column 0010. Credit institutions shall report the total value calculated in accordance with Article 9 of their Level 2 Liquid assets in column 0040.
0230	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 0010 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 0040 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.
0240	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 %.
0250	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.
0260	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.
0270	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.
0280	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.
0290	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.
0300	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 In accordance with 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.
0310	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 0010 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 0040 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.
0320	1.2.2.1. Asset-backed securities (residential, CQS1) Point (a) of Article 12(1) and points (g)(i) and (g)(ii) 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 (g)(i) and (g)(ii) 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.
0330	1.2.2.2. Asset-backed securities (auto, CQS1) Point (a) of Article 12(1) and point (g)(iv) 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 (g)(iv) of Article 13(2) of Delegated Regulation (EU) 2015/61.
0340	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.
0350	1.2.2.4. Asset-backed securities (commercial or individuals, Member State, CQS1) Point (a) of Article 12(1) and points (g)(iii) and (g)(v) 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 (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.
0360	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
0370	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, in accordance with their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, to derogate from points (b)(ii) and (b)(iii) 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 (b)(i) of Article 12(1) of Delegated Regulation (EU) 2015/61 and have received proper derogation from their competent authority.
0380	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.
0390	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, in accordance with 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.
0400	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.
0410	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 (g)(i), (g)(ii) and (g)(iv) of Article 13(2) of Delegated Regulation (EC) No 2015/61.
0420	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.
0430	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 (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.
0440	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.
0450	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.
0460	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.
0470	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	MEMORANDUM ITEMS
0485	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.
0580	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).
0590	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 0580 for currency reasons.

PART 2. OUTFLOWS

1. Outflows

1.1. General remarks

1.This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.

2.Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) No 575/2013.

3.Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. Those items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. In some cases, they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.

4.In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity outflows shall:

i. include the categories referred to in Article 22(2) of Delegated Regulation (EU) 2015/61

ii. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Delegated Regulation (EU) 2015/61.

5.Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ just refers to these. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding).

6.Outflows within a group or an institutional protection scheme (except for outflows 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 preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. Those outflows shall also be separately reported as memorandum items.

7.The liquidity outflows shall be reported only once in the template unless additional outflows in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an ‘of which’ item or a memorandum item.

8.In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) No 575/2013, the following shall always apply:

— only items and flows denominated in that currency shall be reported;

— in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported;

— where Delegated Regulation (EU) 2015/61 allows netting, it may only be applied to flows in that currency;

— where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that separate currency.

9.The standard weights in column 0040 of template C 73.00 of Annex XXIV are those specified in Delegated Regulation (EU) 2015/61 by default and are provided here for information.

10.The template contains information about collateralised liquidity flows, referred to as ‘secured lending and capital-market driven transactions’ in Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, in accordance with the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first.

11.A separate template is provided for collateral swaps, C 75.01 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash-versus-collateral transactions.

1.2. Specific remarks regarding settlement and forward starting transactions

12.Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30-day horizon and mature beyond the 30-day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.8.6. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of a repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. If the amount to be received is larger than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row.

Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30-day horizon do not have any impact on a bank’s LCR and can be ignored.

13.Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree 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, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Delegated Regulation (EU) 2015/61.

#	Item	Decision	Reporting
1	Forward starting transaction	Yes	# 2
1	Forward starting transaction	No	# 4
2	Forward transaction entered into subsequent to the reporting date;	Yes	Do not report
2	Forward transaction entered into subsequent to the reporting date;	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.
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	No	Do not report
4	An item requiring additional outflows in accordance with Article 30 of DA?	Yes	# 5 and subsequently # 51
4	An item requiring additional outflows in accordance with Article 30 of DA?	No	# 5
5	Retail deposit in accordance with Article 411(2) of Regulation (EU) No 575/2013?	Yes	# 6
5	Retail deposit in accordance with Article 411(2) of Regulation (EU) No 575/2013?	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.
6	Cancelled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution?	No	# 7
7	Deposit in accordance with Article 25(4) of DA?	Yes	ID 1.1.1.1.
7	Deposit in accordance with Article 25(4) of DA?	No	# 8
8	Deposit in accordance with Article 25(5) of DA?	Yes	ID 1.1.1.6.
8	Deposit in accordance with Article 25(5) of DA?	No	# 9
9	Deposit in accordance with Article 25(2) of DA?	Yes	Allocate into one relevant item of ID 1.1.1.3.
9	Deposit in accordance with Article 25(2) of DA?	No	# 10
10	Deposit in accordance with Article 24(4) of DA?	Yes	ID 1.1.1.5.
10	Deposit in accordance with Article 24(4) of DA?	No	# 11
11	Deposit in accordance with Article 24(1) of DA?	Yes	ID 1.1.1.4.
11	Deposit in accordance with Article 24(1) of DA?	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
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?	No	# 30
13	Liability resulting from the institution's own operating expenses?	Yes	ID 1.1.8.1.
13	Liability resulting from the institution's own operating expenses?	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)
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?	No	# 15
15	Liability in form of debt security?	Yes	ID 1.1.8.2.
15	Liability in form of debt security?	No	# 16
16	Deposit received as collateral?	Yes	Allocate across relevant items of ID 1.1.5.
16	Deposit received as collateral?	No	# 17
17	Deposit arising out of a corresponding banking or from the prime brokerage?	Yes	ID1.1.4.1.
17	Deposit arising out of a corresponding banking or from the prime brokerage?	No	# 18
18	Operational deposit in accordance with Article 27 of DA?	Yes	# 19
18	Operational deposit in accordance with Article 27 of DA?	No	# 24
19	Maintained in the context of IPS or a cooperative network?	Yes	# 20
19	Maintained in the context of IPS or a cooperative network?	No	# 22
20	Treated as liquid assets for the depositing credit institution?	Yes	ID 1.1.2.2.2.
20	Treated as liquid assets for the depositing credit institution?	No	# 21
21	Maintained to obtain cash clearing and central credit institution services within a network?	Yes	ID 1.1.2.4.
21	Maintained to obtain cash clearing and central credit institution services within a network?	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.
22	Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship?	No	# 23
23	Maintained in the context of an established operational relationship (other) with non-financial customers?	Yes	ID 1.1.2.3.
23	Maintained in the context of an established operational relationship (other) with non-financial customers?	No	# 24
24	Excess operational deposits?	Yes	Allocate into one relevant item of ID 1.1.3.
24	Excess operational deposits?	No	# 25
25	Other deposit?	Yes	# 26
25	Other deposit?	No	# 27
26	Deposits by financial customers?	Yes	ID 1.1.4.2.
26	Deposits by financial customers?	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.
27	Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps?	No	# 28
28	Liability from collateral swaps?	Yes	Allocate into one relevant item of C75.01 and ID 1.3. where applicable.
28	Liability from collateral swaps?	No	# 29
29	Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA?	Yes	ID 1.1.5.5.
29	Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA?	No	# 30
30	Any other liability that becomes due in the next 30 days?	Yes	ID 1.1.8.3
30	Any other liability that becomes due in the next 30 days?	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
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?	No	#32
32	Other outflows that are due in the next 30 days not mentioned above?	Yes	ID 1.1.8.6
32	Other outflows that are due in the next 30 days not mentioned above?	No	#33
33	Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA?	Yes	#34
33	Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA?	No	# 42
34	Committed credit facility?	Yes	# 35
34	Committed credit facility?	No	# 37
35	Within IPS or cooperative network treated as liquid asset by the depositing institution?	Yes	ID 1.1.6.1.6.
35	Within IPS or cooperative network treated as liquid asset by the depositing institution?	No	# 36
36	Within a group or an IPS subject to preferential treatment?	Yes	ID 1.1.6.1.5.
36	Within a group or an IPS subject to preferential treatment?	No	Allocate into one relevant remaining item of ID 1.1.6.1.
37	Committed liquidity facility?	Yes	#38
37	Committed liquidity facility?	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.
38	Within IPS or cooperative network treated as liquid asset by the depositing institution?	No	# 39
39	Within a group or an IPS subject to preferential treatment?	Yes	ID 1.1.6.2.6.
39	Within a group or an IPS subject to preferential treatment?	No	# 40
40	To SSPEs?	Yes	Allocate into one relevant item of ID 1.1.6.2.4.
40	To SSPEs?	No	#41
41	To personal investment companies?	Yes	ID 1.1.6.2.3.
41	To personal investment companies?	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
42	Other product or service in accordance with Article 23 of DA?	No	Do not report
43	Trade finance off balance sheet related product?	Yes	ID1.1.7.8.
43	Trade finance off balance sheet related product?	No	# 44
44	Undrawn loans and advances to wholesale counterparties?	Yes	ID 1.1.7.2.
44	Undrawn loans and advances to wholesale counterparties?	No	# 45
45	Mortgages that have been agreed but not yet drawn down	Yes	ID 1.1.7.3.
45	Mortgages that have been agreed but not yet drawn down	No	# 46
46	Planned outflow related to renewal or extension of new retail or wholesale loans?	Yes	ID 1.1.7.6.
46	Planned outflow related to renewal or extension of new retail or wholesale loans?	No	# 47
47	Credit cards?	Yes	ID 1.1.7.4.
47	Credit cards?	No	# 48
48	Overdrafts?	Yes	ID 1.1.7.5.
48	Overdrafts?	No	# 49
49	Derivatives payable?	Yes	ID1.1.7.7.
49	Derivatives payable?	No	# 50
50	Other off balance sheet and contingent funding obligation?	Yes	ID1.1.7.1.
50	Other off balance sheet and contingent funding obligation?	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
51	Debt security already reported in item 1.1.8.2 of C 73.00?	No	# 52
52	Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29?	Yes	Do not report
52	Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29?	No	Allocate across relevant items of ID 1.1.5.

1.3. Instructions concerning specific columns

Column	Legal references and instructions
0010	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 0010 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.
0020	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: — Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the rows on Level 1, Level 2A and Level 2B assets in accordance with point (c)(ii) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section; — Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting).
0030	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 0020 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 0030 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.
0040	Standard Weight Articles 24 to 31a of Delegated Regulation (EU) 2015/61 The standard weights in column 0040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.
0050	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.
0060	Outflow Both unsecured and secured: Credit institutions shall report here the outflows. Those outflows are calculated by multiplying column 0010 C 73.00 of Annex XXIV by column 0050 C 73.00 of Annex XXIV.

1.4. Instructions concerning specific rows

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