[F1REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS) U.K.
3. Collateral swaps U.K.
3.1. General remarks U.K.
1. Any transaction maturing within 30 days in which non-cash assets are swapped for other non-cash assets, shall be reported in this Template. Items which do not need to be completed by institutions are colored grey. U.K.
2. Collateral swaps that mature within 30 days shall lead to an outflow for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent unless the counterparty is a central bank in which case a 0 % outflow shall apply. U.K.
3. Collateral swaps that mature within 30 days shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case a 0 % inflow shall apply. U.K.
4. For liquid assets the liquidity value is according to Article 9, for non-liquid assets the liquidity value is zero. U.K.
5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. U.K.
6. In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template, with corresponding impact on the excess liquidity value. U.K.
7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. U.K.
8. Collateralized derivatives flows within 30 days shall be reported on this Template in Columns 090-120, not in Columns 010-080. U.K.
1.2. Specific remarks U.K.
9. Institutions shall only report the Level 1, 2A and 2B assets that qualify as liquid assets in accordance with Title II. For collateral lent, this refers to assets that would qualify upon maturity as liquid assets in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61. U.K.
10. Where collateral meets the criteria for Level 1, 2A or 2B in Articles 10-19 of the Commission Delegated Regulation (EU) 2015/61 but does not qualify as liquid asset in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61, it shall be reported as non-liquid. Similarly, where an institution may only recognize 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 Levels 1, 2A and 2B rows (refer to Article 12(1)(c)(i) to (iii) and Article 10(1)(d)). 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. U.K.
11. 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). U.K.
Collateral swaps sub template U.K.
Instructions concerning specific columns U.K.
Instructions concerning specific rows U.K.
ANNEX XXV Table 11: rows 1 - 78
[F1Row | Legal references and instructions |
---|---|
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.] |
Textual Amendments