Download Annex VI

PART II: TEMPLATE RELATED INSTRUCTIONS
1.
Items providing stable funding
1.1. General remarks
1.
This is a summary template which contains information about items providing stable funding.
2.
All own funds and liabilities reported on an institutions balance sheet should be reported here.
The total amount of these two categories should therefore reflect the size of the institutions
total assets.
3.
In accordance with Article 414.2 of the CRR, items shall be presented 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, should be reported in
column F of the relevant category.
(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, should 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, should 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, should 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 should be
reported in column G of the relevant category.
1.2. Items providing stable funding
1.2.1.
Instructions concerning specific rows
Row
1
Legal references and instructions
ITEMS PROVIDING STABLE FUNDING
Article 414 of CRR
Total amount of liabilities and own funds should be reported in columns
F-J according to the closer of their maturity date and the earliest date
at which they can contractually be called.
1.1
Own funds
Article 414.1(a) of CRR
Total amount of own funds [obtain definition which corresponds to own
funds reporting].
1.2
Liabilities excluding own funds
Article 414.1(b) of CRR
Total amount of liabilities should be reported in columns F-J according
to the closer of their maturity date and the earliest date at which they
can contractually be called.
1.2.1
retail deposits
Article 414.1(b)(i) of CRR
Total amount of retail deposits should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.2.1.1
retail deposits as defined in Article 409(1)
Article 414.1(b)(ii) of CRR
Total amount of retail deposits that are covered by a Deposit Guarantee
Scheme according to Directive 94/19/EG or an equivalent deposit
guarantee scheme in a third country by at least 5% where the deposit is
either:
(a) part of an established relationship making withdrawal highly
unlikely;
(b) held in a transactional account, including accounts to which salaries
are regularly credited,
should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
Note, deposits not referred to in Article 409(1) should be reported as
part of item 1.2.1.2.
1.2.1.2
retail deposits as defined in Article 409(2)
Total amount of retail deposits which are not referred to in Article
409(1) should be reported in columns F-J according to the closer of
their maturity date and the earliest date at which they can contractually
be called.
Note, deposits referred to in Article 409(1) should be reported in item
1.2.1.1.
1.2.2
deposits that qualify for the treatment in Article 410(3)
Article 414.1(b)(iii) of CRR
Total amount of deposits resulting from secured lending and capital
market driven transactions as defined in Article 188 if the assets would
not qualify as liquid assets according to Article 404 and the lender is the
central bank or another public sector entity of the Member State in
which the credit institution was authorised, should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.2.2.1
deposits reported in 1.2.2 that are subject to
guarantee scheme
a deposit
Article 414.1(b)(iiii) of CRR
Of the deposits reported in 1.2.2 those that are subject to a deposit
guarantee according to Directive 94/19/EC or equivalent third country
deposit guarantees within the terms of Article 409(2) should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.2.2.2
deposits reported in 1.2.2 that are fall under point (b) in Article
410(3)
Article 414.1(b)(v) of CRR
Of the deposits reported in 1.2.2, those that are those that fall under
point (b) in Article 410(2) should be reported in columns F-J according
to the closer of their maturity date and the earliest date at which they
can contractually be called.
1.2.3
deposits not reported in 1.2.1 and 1.2.2 and not deposited by
financial customers
Article 414.1(b)(vi) of CRR
Total deposits not deposited by financial customers and not reported in
1.2.1 or 1.2.2, should be reported in columns F-J according to the
closer of their maturity date and the earliest date at which they can
contractually be called.
1.2.3.1
funding from
transactions
secured
lending
and
capital
market
driven
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.3, the total amount that is from secured
lending and capital market driven transactions as defined in Article 188
(collateralised by any asset type) should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.2.3.1.1
collateralised by extremely highly liquid assets
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.3.1, the total amount that is from
secured lending and capital market driven transactions as defined in
Article 188, and collateralised by extremely highly liquid assets as
reported in 1.1 Assets section 1.1 ‘Extremely high liquidity and credit
quality assets’, should be reported in columns F-J according to the
closer of their maturity date and the earliest date at which they can
contractually be called.
1.2.3.1.2
collateralised by highly liquid assets
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.3.1, the total amount that is from
secured lending and capital market driven transactions as defined in
Article 188, and collateralised by highly liquid assets as reported in 1.1
Assets section 1.2 ‘High liquidity and credit quality assets’, should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.2.3.1.3
collateralised by any other assets
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.3.1, the total amount that is from
secured lending and capital market driven transactions as defined in
Article 188, and collateralised by any assets other than those reported
in 1.1 Assets section: section 1.1 ‘Extremely high liquidity and credit
quality assets’ or 1.2 ‘High liquidity and credit quality assets’, should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.2.4
deposits from financial customers
Article 414.1(b)(vii) of CRR
Total deposits from financial customers, not reported in 1.2.2, should
be reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.2.4.1
funding from
transactions
secured
lending
and
capital
market
driven
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.4, the total amount that is from secured
lending and capital market driven transactions as defined in Article 188,
and collateralised by extremely highly liquid assets as reported in 1.1
Assets section 1.1 ‘Extremely high liquidity and credit quality assets’,
should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
1.2.4.1.1
collateralised by extremely highly liquid assets
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.4.1, the total amount that is from
secured lending and capital market driven transactions as defined in
Article 188, and collateralised by extremely highly liquid assets as
reported in 1.1 Assets section 1.1 ‘Extremely high liquidity and credit
quality assets’, should be reported in columns F-J according to the
closer of their maturity date and the earliest date at which they can
contractually be called.
1.2.4.1.2
collateralised by highly liquid assets
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.4.1, the total amount that is from
secured lending and capital market driven transactions as defined in
Article 188, and collateralised by highly liquid assets as reported in 1.1
Assets section 1.2 ‘High liquidity and credit quality assets’, should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.2.4.1.3
collateralised by any other assets
Article 414.1(b)(viii) of CRR
Of the deposits reported in 1.2.4.1, the total amount that is from
secured lending and capital market driven transactions as defined in
Article 188, and collateralised by any assets other than those reported
in 1.1 Assets section: section 1.1 ‘Extremely high liquidity and credit
quality assets’ or 1.2 ‘High liquidity and credit quality assets’, should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.2.5
liabilities resulting in securities issued
treatment in Article 124 (covered bonds)
qualifying
for
the
Article 414.1(b)(ix) of CRR
Total amount of liabilities resulting is securities issued qualifying for the
treatment in Article 124 (covered bonds), should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.2.6
other liabilities resulting from securities issued
Article 414.1(b)(x) of CRR
Total amount of liabilities resulting from securities issued, other than
those reported in 1.2.5, should be reported in columns F-J according to
the closer of their maturity date and the earliest date at which they can
contractually be called.
1.2.7
any other liabilities
Article 414.1(b)(xi) of CRR
Total amount of any other liabilities.
2.
Items requiring stable funding
2.1. General remarks
1.
This is a summary template which contains information about items requiring stable funding.
2.
All assets reported on an institutions balance sheet should be reported here. The total amount
reported should therefore reflect the size of total own funds and liabilities together.
3.
In accordance with Article 415.2 of the CRR, 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, should be reported in
column F of 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, should be
reported in column G of 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, should be reported
in column H of 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, should be reported
in column I of 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 should be
reported in column G of the relevant category.
2.2. Items requiring stable funding
2.2.1.
Instructions concerning specific rows
Row
Legal references and instructions
1
ITEMS REQUIRING STABLE FUNDING
Article 415 of CRR
Total assets should be reported in columns F-J according to the closer of
their maturity date and the earliest date at which they can contractually
be called.
1.1
assets referred to in Article 404
Article 415.1(a) of CRR
Total assets referred to in Article 404 should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
When completing this section institutions should assign assets to the
same categories as they would assign them to for the purpose of
reporting template 1 ‘Assets’.
1.1.1
Extremely high liquidity and credit quality assets
Total extremely high liquidity and credit quality assets referred to in
Article 404 should be reported in columns F-J according to the closer of
their maturity date and the earliest date at which they can contractually
be called.
1.1.1.1
Cash
Total cash balances should be reported in column F.
1.1.1.2
Deposits held with central banks to the extent that these
deposits can be withdrawn in times of stress
Total deposits held with central banks to the extent that these deposits
can be withdrawn in times of stress should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.1.3
Transferable assets which institutions identify themselves
Total transferable assets, which institutions identify themselves as
‘extremely high liquidity and credit quality’ as referred to in Article 404,
should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
1.1.1.3.1
securities with a 0% risk weight
Total securities with a 0% risk weight, which institutions identify
themselves as ‘extremely high liquidity and credit quality’ as referred to
in Article 404, should be reported in columns F-J according to the closer
of their maturity date and the earliest date at which they can
contractually be called.
1.1.1.3.1.1
issued by sovereigns
Total securities with a 0% risk weight issued by sovereigns, which
institutions identify themselves as ‘extremely high liquidity and credit
quality’ as referred to in Article 404, should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.1.3.1.2
guaranteed by sovereigns
Total securities with a 0% risk weight guaranteed by sovereigns, which
institutions identify themselves as ‘extremely high liquidity and credit
quality’ as referred to in Article 404, should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.1.3.1.3
issued or guaranteed by central banks
Total securities with a 0% risk weight issued or guaranteed by central
banks, which institutions identify themselves as ‘extremely high liquidity
and credit quality’ as referred to in Article 404, should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.1.3.1.4
issued or guaranteed by non-central government PSEs
Total securities with a 0% risk weight issued or guaranteed by noncentral government PSEs, which institutions identify themselves as
‘extremely high liquidity and credit quality’ as referred to in Article 404,
should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
1.1.1.3.1.5
issued or guaranteed by BIS, IMF, EC, or MDBs
Total securities with a 0% risk weight issued or guaranteed by BIS, IMF,
EC, or MDBs, which institutions identify themselves as ‘extremely high
liquidity and credit quality’ as referred to in Article 404, should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.1.1.4
Assets issued by a credit institution which has been set up and is
sponsored by a Member State central or regional government
and the asset is guaranteed by that government and used to
fund promotional loans granted on a non-competitive, not for
profit basis in order to promote its public policy objectives
Total assets issued by a credit institution which has been set up and is
sponsored by a Member State central or regional government and the
asset is guaranteed by that government and used to fund promotional
loans granted on a non-competitive, not for profit basis in order to
promote its public policy objectives, should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.1.5
Transferable assets representing claims on or guaranteed by the
central government of a Member state or a third country if the
institution incurs a liquidity risk in that Member state or third
country that is covers by holding those liquidity assets
Total transferable assets representing claims on or guaranteed by the
central government of a Member state or a third country if the
institution incurs a liquidity risk in that Member state or third country
that is covers by holding those liquidity assets, should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.1.5.1
issued by sovereigns
Of the transferable assets reported in 1.1.1.5, those issued by
sovereigns should be reported in columns F-J according to the closer of
their maturity date and the earliest date at which they can contractually
be called.
1.1.1.5.2
guaranteed by sovereigns
Of the transferable assets reported in 1.1.1.5, those guaranteed by
sovereigns should be reported in columns F-J according to the closer of
their maturity date and the earliest date at which they can contractually
be called.
1.1.1.6
Shares or units in CIUs (combined max €250 million) with
underlying assets in point (a) of article 404.1
Share or units in CIUs (combined max €250 million for items reported in
1.1.1.6, 1.1.1.7 and 1.1.2.4) with underlying assets in point (a) of
article 404.1 should be reported in columns F-J according to the closer
of their maturity date and the earliest date at which they can
contractually be called.
1.1.1.7
Shares or units in CIUs (combined max €250 million) with
underlying assets in point (b) and (c) of article 404.1
Share or units in CIUs (combined max €250 million for items reported in
1.1.1.6, 1.1.1.7 and 1.1.2.4) with underlying assets in point (b) and (c)
of article 404.1 should be reported in columns F-J according to the
closer of their maturity date and the earliest date at which they can
contractually be called.
1.1.2
High liquidity and credit quality assets
Total high liquidity and credit quality assets referred to in Article 404
should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
1.1.2.1
Transferable assets which institutions identify themselves
Total transferable assets, which institutions identify themselves as ‘high
liquidity quality’ as referred to in Article 404, should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.2.1.1
issued by sovereigns
Total securities with a 20% risk weight issued by sovereigns, which
institutions identify themselves as ‘extremely high liquidity and credit
quality’ as referred to in Article 404, should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.2.1.2
guaranteed by sovereigns
Total securities with a 20% risk weight guaranteed by sovereigns, which
institutions identify themselves ‘extremely high liquidity and credit
quality’ as referred to in Article 404, should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.2.1.3
issued or guaranteed by central banks
Total securities with a 20% risk weight issued or guaranteed by central
banks, which institutions identify themselves as ‘extremely high liquidity
and credit quality’ as referred to in Article 404, should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.2.1.4
issued or guaranteed by non-central government PSEs
Total securities with a 20% risk weight issued or guaranteed by noncentral government PSEs, which institutions identify themselves as
‘extremely high liquidity and credit quality’ as referred to in Article 404,
should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
1.1.2.1.5
issued or guaranteed by MDBs
Total securities with a 20% risk weight issued or guaranteed MDBs,
which institutions identify themselves as ‘extremely high liquidity and
credit quality’ as referred to in Article 404, should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.2.2
non financial corporate bonds
Total non financial corporate bonds should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.1.2.2.1
rated AA- or better
Total non financial corporate bonds rated AA- or better should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.1.2.2.2
rated A- to AA
Total non financial corporate bonds rated A- to AA should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.2.3
Covered bonds eligible for the treatment set out in Article
124(3) or (4), which meet the criteria in Article 404.3(a)
Total covered bonds eligible for the treatment set out in Article 124(3)
or (4), which meet the criteria in Article 404.3(a) should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.1.2.3.1
rated AA- or greater
Total covered bonds eligible for the treatment set out in Article 124(3)
or (4), which meet the criteria in Article 404.3(a) and are rated AA- or
greater should be reported in columns F-J according to the closer of
their maturity date and the earliest date at which they can contractually
be called.
1.1.2.3.2
rated A- to AATotal covered bonds eligible for the treatment set out in Article 124(3)
or (4), which meet the criteria in Article 404.3(a) and are rated A- to
AA- or greater should be reported in columns F-J according to the closer
of their maturity date and the earliest date at which they can
contractually be called.
1.1.2.4
Shares or units in CIUs (combined max €250 million) with
underlying assets in point (d) of article 404.1
Share or units in CIUs (combined max €250 million for items reported in
1.1.1.6, 1.1.1.7 and 1.1.2.4) with underlying assets in point (d) of
article 404.1 should be reported in columns F-J according to the closer
of their maturity date and the earliest date at which they can
contractually be called.
1.2
securities and money market instruments not reported in 1.1
Article 415.1(b) of CRR
Total securities and money market instruments not already reported in
1.1. should be reported in columns F-J according to the closer of their
maturity date and the earliest date at which they can contractually be
called.
1.3
equity securities of non-financial entities listed on a major index
in a recognised exchange
Article 415.1(c) of CRR
Total equity securities of non-financial entities listed on a major index in
a recognised exchange should be reported in column J.
1.4
other equity securities
Article 415.1(d) of CRR
Total equity securities not reported in 1.3 should be reported in column
J.
1.5
gold
Article 415.1(e) of CRR
Total holdings of gold should be reported in column J.
1.6
other precious metals
Article 415.1(f) of CRR
Total holdings of precious metals other than gold should be reported in
column J.
1.7
non-renewable loans and receivables
Article 415.1(g) of CRR
Total non-renewable loans and receivables should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.7.1
the borrowers of which are natural persons and small and
medium sized enterprises (deposit <€1m)
Article 415.1(g)(i) of CRR
Total non-renewable loans and receivables where the borrowers of
which are natural persons and small and medium sized enterprises
(deposit <€1m) should be reported in columns F-J according to the
closer of their maturity date and the earliest date at which they can
contractually be called.
1.7.2
the borrowers of which are sovereigns, central banks and PSEs
Article 415.1(g)(ii) of CRR
Total non-renewable loans and receivables where the borrowers of
which are sovereigns, central banks and PSEs should be reported in
columns F-J according to the closer of their maturity date and the
earliest date at which they can contractually be called.
1.7.3
the borrowers of which are not referred to in Article 414.1(g)(i)
and (ii) other than financial customers
Article 415.1(g)(iii) of CRR
Total non-renewable loans and receivables where the borrowers of
which are not referred to in Article 414.1(g)(i) and (ii) other than
financial customers should be reported in columns F-J according to the
closer of their maturity date and the earliest date at which they can
contractually be called.
1.7.4
the borrowers of which are any other customers
Article 415.1(g)(iiiv) of CRR
Total non-renewable loans and receivables where the borrowers of
which are any other customers other than those non-renewable loans
and receivables reported in 1.71-1.73 should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.
1.8
derivatives receivables
Article 415.1(h) of CRR
Total net derivatives receivables should be reported in column J.
1.9
any other assets
Article 415.1(i) of CRR
Any other assets, not already reported in 1.1-1.9 above, should be
reported in columns F-J according to the closer of their maturity date
and the earliest date at which they can contractually be called.
1.10
undrawn credit facilities that qualify as 'medium risk' or
'medium/low risk' under Annex I.
Article 415.1(j) of CRR
Any undrawn credit facilities that qualify as 'medium risk' or
'medium/low risk' under Annex I should be reported in columns F-J
according to the closer of their maturity date and the earliest date at
which they can contractually be called.