DPM v3.0 NSFR Derivatives

The column level condition in column 0010 (TI: TI:x214) in the Annotated Table Layout 300-P1-COREP 3.0 C 80.00.b, C 80.00.y, C 81.00.b, C 81.00.y should be understood as exclusively referring to the amount that is related to initial margin posted for derivative contracts pursuant to Article 428ag(a) of amended Regulation (EU) No 575/2013 (‘CRR’) and which is to be reported under row 0950 (ID 1.7.3) (and mirrored in row 0920, ID 1.7) with a breakdown by the effective residual maturity in accordance with Article 428q CRR. In contrast, derivative assets pursuant to Articles 428d and 428ah(2) of amended Regulation (EU) No 575/2013 (‘CRR’) as well as required stable funding for derivative liabilities as referred to in  Article 428s(2) CRR are to be reported under rows 0930 and 0940 (IDs 1.7.1 and 1.7.2) under columns 0010, 0050 and 0090 of supervisory reporting template C 80.00, irrespective of the actual effective residual maturity of the underlying derivative transactions.