Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn

[F1 PART I: GENERAL INSTRUCTIONS U.K.

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. U.K.

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 according to the provisions of those legal agreements. U.K.

3. Institutions shall not double count inflows. U.K.

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

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

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. U.K.

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. U.K.

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. U.K.

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. U.K.

10. Contractual flows shall be allocated across the twenty-two time buckets according to their residual maturity, with days referring to calender days. U.K.

11. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, bonuses, dividends and rents. U.K.

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

(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)

all sight and non-maturing deposits shall be reported as overnight in column 020;

(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 according to 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 according to Article 25 (4) (b) of 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 220.

13. Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of the ‘ outflows ’ and ‘ inflows ’ sections. U.K.

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. U.K.

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

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

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

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 according to the maturity of the transaction that generated the reception of the collateral. U.K.

19. Intragroup items shall not affect the reporting on a consolidated basis] U.K.

Textual Amendments

F1 Inserted by Commission Implementing Regulation (EU) 2017/2114 of 9 November 2017 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance).