Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting of Institutions
Annex XXI - C 67.00
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Concentration of funding by counterparties - maturities and product types for fair value of derivaties and collaterals

Institutions shall report the total of all other remaining liabilities in section 2; shall we also report weighted average initial maturity and weighted average residual maturity for the remaining liabilities or the average maturities should only be reported for counterparties exceeding a threshold of 1% of total liabilities ? How should we treat received collaterals and the fair value of derivatives, as they don’t fit in any category of product type provided in Annex XXI - Instructions for completing the additional monitoring tools template(UWF, UWNF, REPO, CB, ABS, IGCP) ? And what maturity should we assume for this kind of liabilities ( 1 day, or the initial/ residual maturity of a derivative)?

Background on the question:

Without clarifying above questions our institution will not be able to properly prepare the information on additional liquidity monitoring metrics: concentration of funding by counterparty.

Date of submission:
Published as Final Q&A:
Final Answer:

Institution shall report weighted average maturities for items to be reported in row 120 “All other liabilities” and columns 070 and 080 of template C 67.00 of Annex XX of final draft implementing technical standard (ITS) on additional liquidity monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013 (EBA/ITS/2013/11/rev1 (of 24 July 2014)).

For the assessment of initial and residual maturities of no-maturity liabilities as well as on-demand deposits and similar products, see QA 2015_1731.

Derivatives are not to be reported in templates C 67.00 to C 70.00. For the purpose of reporting these templates funding is defined as all financial liabilities other than derivatives and short positions. See QA 2015_2365 for further guidance.



The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.