Committed liquidity facilities to a special purpose vehicle (SPV)

According to Annex XXIII, in row 1130 of C 66.01 institutions shall report the amount of item 4.1 (outflows from committed facilities) which derives from liquidity facilities in accordance with Article 31 of Regulation (EU) 2015/61. With specific regard to the 30-day restriction set forth by Article 31, it is due to the specific scope of analysis of the LCR framework, which is limited to a 30-days stress scenario. On the contrary, the purpose of the maturity ladder template is to capture the maturity mismatch of an institution’s activities through the measurement of contractual and contingent flows arising across the different time buckets (which are not limited to a 30-days window). Against this background, the application of the 30-days restriction for committed liquidity facilities would be inconsistent with the scope of application of maturity ladder reporting. Therefore, the reference to Article 31 of the LCR DR must be understood solely as a guidance to distinguish between credit and liquidity facilities. Furthermore, row 1090 is a sum item and should only be based on the aggregation of items 1100 and 1130.