LegalizeCommission 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)
- 8.For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.
- 9.Where an 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 rows on the 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.
- 10.Collateral Swaps involving 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 collateral swaps reporting).
1.3. Collateral swaps sub template
1.3.1. Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 0010 | Market value of collateral lent The market value of the collateral lent shall be reported in column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61. |
| 0020 | Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. |
| 0030 | Market value of collateral borrowed The market value of the collateral borrowed shall be reported in column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61. |
| 0040 | Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. |
| 0050 | Standard weight Articles 28 and 32 of Delegated Regulation (EU) 2015/61 The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only. |
| 0060 | Applicable weight Articles 28 and 32 of Delegated Regulation (EU) 2015/61 The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. |
| 0070 | Outflows Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV. |
| 0080 | Inflows subject to the 75 % cap on inflows Credit institutions shall report here the inflows of transactions subject to the 75 % cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV. |
| 0090 | Inflows subject to the 90 % cap on inflows Credit institutions shall report here the inflows of transactions subject to the 90 % cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV. |
| 0100 | Inflows exempted from the cap on inflows Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV. |
1.3.2. Instructions concerning specific rows
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