Netting of cash flows in the C 66.00 maturity ladder template

Question

Can institutions report cash flows on a net basis in the C 66.00 maturity ladder template, in particular where such netting of cash flows is explicitly allowed for the purpose of the calculation of the Liquidity Coverage Ratio (LCR)?

European Banking Authority · Accepted Answer

In accordance with paragraph 8 of Part I of Annex XXIII of amended Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), for the purpose of completing the C 66.00 maturity ladder template in Annex XXII of the same regulation, outflows and inflows in the respective sections shall be reported on a gross basis with a positive sign and amounts due to be paid and received shall be reported respectively in the outflow and inflow sections. On this basis, the regulation generally does not leave flexibility for institutions to consider flows on a net basis, even in case such flows were allowed to be treated on a net basis for the purpose of the calculation of the Liquidity Coverage Ratio (LCR) (e.g., FX swaps, other derivative transactions subject to a master netting agreement, outflows with interdependent inflows pursuant to Article 26 of amended Delegated Regulation (EU) 2015/61). By derogation from the above, for the purpose of determining cash outflows and cash inflows stemming from non-FX-related derivative transactions, institutions should follow the specific instructions for completing the rows 360 (under ID 1.5) and 670 (under ID 2.4) (see also EBA Q&A 3943 ).

Netting of cash flows in the C 66.00 maturity ladder template

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