How should we interpret and apply the reference to the instructions of the maturity ladder template of the additional metrics on liquidity in Annex IX 18Instructions for reporting large exposures and concentration risk 19?
On page 13 of the Annex IX 18Instructions for reporting large exposures and concentration risk 19 the following instruction is being given: 1cFor direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.05.2013). 1d We assume that this should currently be referring to the 1cFinal_draft_ITS_on_additional_monitoring_metrics_Annex_II 1d. We are not sure how we should apply the instructions for additional monitoring metrics on the maturity buckets in large exposure report. The reason is that the structure of the template for additional monitoring metrics is different. For example: 1. The template is specified into outflows, inflows and counterbalancing capacity, which is not the case in large exposure report. 2. Regarding derivatives there 19s a specification into 18FX-swaps maturing 19 (reporting notional amounts) and 18Amount receivables from the contracts listed in Annex II of CRR other than those reported in item 2.4 19 on the inflow-side. The same applies for the outflow side (but then payables). It doesn 19t make clear how to report derivatives in the maturity sheet of large exposure report. 3. Regarding derivatives there 19s a distinction being made between in the additional metrics on liquidity instructions: a. Fully collateralized derivatives (p. 17) -> these should not be reported at all according to the additional metrics on liquidity instructions. Is this also the case for Large exposure report? b. Not or partially collateralized derivatives (p. 17) -> further distinction between option-like derivatives and other contracts for which cash flows are to be projected in maturity buckets. How should we apply these instructions to the large exposure report?
Q&A 2013_412 interprets the reporting requirement for templates C 30.00 and C 31.00 of Regulation (EU) No 680/2014 - ITS on supervisory reporting to be fulfilled with the reporting by expected residual maturities. As a consequence of this interpretation, the references to the "instructions of the maturity ladder template of the additional metrics on liquidity" are no longer necessary and will be removed from the instructions.