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- Original (As adopted by EU)
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
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Version Superseded: 01/06/2020
Point in time view as at 01/12/2016.
Commission Implementing Regulation (EU) No 680/2014,
REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)
is up to date with all changes known to be in force on or before 27 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2014 No. 680 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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[F1Row | Legal references and instructions |
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010 | 1. TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVESArticles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives. |
020 | 1.1. Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent. |
030 | 1.1.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
040 | 1.1.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
050 | 1.1.3. Level 2A assetsSuch transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed). |
060 | 1.1.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
070 | 1.1.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
080 | 1.1.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
090 | 1.1.7. Other Level 2BSuch transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed). |
100 | 1.1.8. Non-liquid assetsSuch transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed). |
110 | 1.2. Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 extremely high quality covered bonds are lent. |
120 | 1.2.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
130 | 1.2.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
140 | 1.2.3. Level 2A assetsSuch transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed). |
150 | 1.2.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
160 | 1.2.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
170 | 1.2.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
180 | 1.2.7. Other Level 2BSuch transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed). |
190 | 1.2.8. Non-liquid assetsSuch transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed). |
200 | 1.3. Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2A assets are lent. |
210 | 1.3.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
220 | 1.3.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed). |
230 | 1.3.3. Level 2A assetsSuch transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed). |
240 | 1.3.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
250 | 1.3.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed). |
260 | 1.3.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
270 | 1.3.7. Other Level 2BSuch transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed). |
280 | 1.3.8. Non-liquid assetsSuch transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed). |
290 | 1.4. Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent. |
300 | 1.4.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
310 | 1.4.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). |
320 | 1.4.3. Level 2A assetsSuch transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed). |
330 | 1.4.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
340 | 1.4.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). |
350 | 1.4.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
360 | 1.4.7. Other Level 2BSuch transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed). |
370 | 1.4.8. Non-liquid assetsSuch transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed). |
380 | 1.5. Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B high quality covered bonds are lent. |
390 | 1.5.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
400 | 1.5.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). |
410 | 1.5.3. Level 2A assetsSuch transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed). |
420 | 1.5.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
430 | 1.5.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). |
440 | 1.5.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
450 | 1.5.7. Other Level 2BSuch transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed). |
460 | 1.5.8. Non-liquid assetsSuch transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed). |
470 | 1.6. Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent. |
480 | 1.6.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
490 | 1.6.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). |
500 | 1.6.3. Level 2A assetsSuch transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed). |
510 | 1.6.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
520 | 1.6.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). |
530 | 1.6.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
540 | 1.6.7. Other Level 2BSuch transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed). |
550 | 1.6.8. Non-liquid assetsSuch transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed). |
560 | 1.7. Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Other Level 2B assets are lent. |
570 | 1.7.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
580 | 1.7.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed). |
590 | 1.7.3. Level 2A assetsSuch transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed). |
600 | 1.7.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
610 | 1.7.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed). |
620 | 1.7.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
630 | 1.7.7. Other Level 2BSuch transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed). |
640 | 1.7.8. Non-liquid assetsSuch transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed). |
650 | 1.8. Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Non-liquid assets are lent. |
660 | 1.8.1. Level 1 assets (excl. EHQ covered bonds)Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). |
670 | 1.8.2. Level 1 extremely high quality covered bondsSuch transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed). |
680 | 1.8.3. Level 2A assetsSuch transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed). |
690 | 1.8.4. Level 2B asset-backed securities (residential or automobile, CQS1)Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). |
700 | 1.8.5. Level 2B high quality covered bondsSuch transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed). |
710 | 1.8.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). |
720 | 1.8.7. Other Level 2BSuch transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed). |
730 | 1.8.8. Non-liquid assetsSuch transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed). |
MEMORANDUM ITEMS | |
740 | 2. Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positionsInstitutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied. |
750 | 3. Total collateral swaps with intragroup counterpartiesInstitutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties. |
760 | 4. Total collateral swaps with central bank counterpartiesInstitutions shall report here the total collateral swaps with central bank counterparties reported in the above lines a 0 % outflow rate has been applied.] |
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