Commission Implementing Regulation (EU) No 680/2014Show full title

ANNEX XIII

REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)

1. Items providing stable funding

1.1. General remarks

1. This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.

2. All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.

3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:

(a)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.

(b)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.

(c)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.

(d)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.

(e)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.

4. Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.

5. For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.

1.2. Items providing stable funding

1.2.1. Instructions concerning specific rows

ANNEX XIII Table 5: rows 1 - 36

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2. Items requiring stable funding

2.1. General remarks

1. This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.

2. All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.

3. Treatment of maturity:

(i)

In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:

(a)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.

(b)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.

(c)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.

(d)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.

(e)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.

(ii)

For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.

(iii)

Assets shall be reported according to their residual contract maturity and not behavioural assumptions.

4. In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:

(i)

The amount of assets reported which are unencumbered shall be reported in the first sub-category.

(ii)

The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:

i.

for a period within three months

ii.

for a period between three and 6 months

iii.

for a period between 6 and 9 months

iv.

for a period between 9 and 12 months

v.

for a period greater than 12 months

5. Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:

(i)

Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.

(ii)

Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.

(iii)

Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.

6. Treatment of derivatives payables and receivables:

(i)

An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.

2.2. Items requiring stable funding

2.2.1. Instructions concerning specific rows

ANNEX XIII Table 6: rows 1 - 180

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