In general, Intesa Sanpaolo agrees with the proposed structure and content of template C 66.00 “Maturity Ladder” (see Annex XXIV-maturity ladder and Annex XXV-instructions). However, we would like to remark that most of the data required in template C 66.00 are very granular and already provided for other supervisory reporting templates, thus we suggest to avoid data duplication. Moreover, we believe that some clarifications are still needed.
In particular, in the Memorandum items section, we welcome the introduction of the following items:
• ID 10: Intragroup or IPS outflows (excluding FX)
• ID 11: Intragroup or IPS inflows (excluding FX and maturing securities)
• ID 13: HQLA central bank eligible
• ID 14: Non-HQLA central bank eligible
• ID 17: Behavioural outflows from deposits
However, some items of this section need clarifications and we would like to provide some suggestions to avoid any misunderstanding in the data required:
• For Intragroup or IPS outflows and inflows (respectively item 10 and 11), it is not clear which intragroup deal perimeter the item is referring to. According to our understanding, it might refers to the same banking perimeter considered for the supervisory reporting (excluding the insurance division, if present). We recommend to specify this detail.
• For “Behavioural outflows from deposits” (item 17), we suggest to modify it to “Behavioural outflows from Sight Deposits”, in order to avoid any doubt and/or misunderstanding.
• For “Behavioural inflows from loans and advances” (item 18) and “Behavioural draw-downs of committed facilities” (item 19), we suggest to allow banks to fill the fields on an optional basis, at least for a phase-in period, considering the time needed to adapt internal procedures.
Moreover, please find below our concerns and observations regarding other sections and items of the template C 66.00 (Annex XXIV) and its instructions provided in Annex XXV.
• Time Buckets (this comment applies also to the other Annex from XVIII to XXI)
Clarification is sought on the composition of the time buckets, whether days, weeks, months and years are counted in terms of working days or calendar days.
• Annex XXV - Par.6 pag.1 - Clarification on reporting reference date for forward starting contracts
Clarification is sought about the treatment of all those operations that are already traded but not yet started at the reporting reference date. According to par.6, as the contract exist, we assume we should include them in the reporting of “Outflows and Inflows”. Therefore, please find below two common examples which explain our understanding of the reporting required on this kind of operations. Please confirm that what follows is correct. We believe that examples or a clear statement should be added in the Instructions as well, in order to avoid misunderstandings.
50 Deposit to non-financial corporate
Reporting date 31.12.2016 (traded but not registered)
Settlement date: 2.01.2016
Maturity date: 31.12.2017
According to our understanding, in this case we would fill the template C 66.00 as follows: the positive inflow of 50 is registered in the section “2.2 Monies due not reported in 2.1” of Inflows, row “2.2.2 non-financial corporate, Column “020 Overnight”. The negative outflow of 50 is registered in section “1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)” of Outflows, row “ 1.3.7 non-operational deposits from non-financial corporates, Column “190 Greater than 9 months up to 12 months”.
Buy 100 Level 1 (CQS 1) asset
Reporting date 31.12.2016 (traded but not registered)
Settlement date: 4.01.2016
Maturity date: 31.12.2019
According to our understanding, in this case we would fill the template C 66.00 as follows: the negative outflow of 100 is inserted in “row 1.6 Other outflows” of section “1. Outflows”, Column “050 Greater than 3 days up to 4 days”; at the expire date the positive inflow of 100 is inserted in row “2.5 Paper in own portfolio maturing” of Inflows, Column “210 Greater than 2 years up to 5 years”, together with the correspondent filling (with reverse sign) of section “3. Counterbalancing Capacity”, row “22.214.171.124. Level 1 (CQS 1), where for the same row is registered in Column 050 -110 and in Column 210 is inserted +110.
• Annex XXV - Par. 12 pag. 2 - Clarification on the treatment of optionality
While the treatment explained in paragraph 12 (a) is clear, clarification is sought for point (b) of the same paragraph. In fact, considering the case of a bank issuing a loan to a market counterparty, when specified contractually that the bank has the option to ask early repayment of the loan at its discretion according to a given deadline, we believe that par.12 (b) should allow for the registration of the generated cash flows at the earliest most convenient date for the bank, as the option is a clause of the contract itself.
• Annex XXV - Par.12 point (c) pag.2 - Clarification on the treatment of sight and non-maturing loans
We ask to specify clearly in the Instructions that “Sight and non-maturing loans” should be reported in column “020 Overnight”, as set out for all sight and non-maturing deposits in par.12 point (c).
• Annex XXIV - Clarification on retained self-securitisations eligible with Central Bank
Clarification is sought about the treatment of retained self-securitisations eligible for refinancing operations with the Central Bank and the relative pool of assets underlying these bonds (e.g. mortgages). In fact, if a bank includes the retained bonds in the proper row “3.7 Non tradable assets eligible for central banks” of the Counterbalancing Capacity section and the cash flow generated by the underlying assets in the appropriate category in the Inflows section, there is double counting. To neutralise this effect, should the bank insert the issuances into the Outflows section or exclude the bonds from the Counterbalancing Capacity section? A clear and exhaustive clarification to this matter and/or an example are needed.
• Annex XXIV - Clarification on balance of the minimum central bank reserves
If the part of the daily account holdings exceeding the average daily required reserves is positive, should this positive excess be considered withdrawable at any time and inserted in row “3.2 Withdrawable central bank reserves” of the Counterbalancing Capacity section , Column “010 Initial stock”?
In the case of a negative excess, should it be included with a negative sign in the same cell as well (row 3.2; column 010)?
Is it required that the difference between the actual balance at the reference date and the withdrawable amount described above has to be included in row “2.2.5 central banks” of the Inflows section? If yes, what is the appropriate time bucket to consider? In regard to the last question, we believe that perhaps Column “220. Greater than 5 years” applies.
• Annex XXIV - Clarification on the treatment of currents accounts where cash is paid or received against derivatives margining:
Should the negative and positive balances of the above current accounts be included respectively in row “1.3.5 non-operational deposits from other financial customers” of the Inflows section and row “2.2.4 other financial customers” of the Outflow section of the template? For the registration of the flow, we ask to specify which maturity date should be considered among the followings: i) contractual maturity date (i.e. at sight), ii) longer maturity date, iii) maturities calculated by the use of internal models based on the yield curve (confidence level of 50%)?
• Annex XXIV - Clarification on the treatment of derivatives amount payables/receivables:
Considering that the main part of the cash flows from derivatives is generated by movements in the margining accounts described above, clarification is sought about the data required by the template, as it is not clear if only interests from non-margined derivatives contracts are considered. On this matter we suggest to provide an example in order to avoid misunderstandings.
• Annex XXIV - Clarification on the treatment of non-interest bearing assets and liabilities
Should Non-interest bearing assets and liabilities” (e.g. Tier 1-2 capital, DTL, Fixed assets, Equity investments, Goodwill, DTA, etc.) flows be included in the respective rows “1.6 other outflows” of the Outflows section and “2.6 other inflows” of the Inflows section? If yes, what is the appropriate time bucket to consider?
• Annex XXIV - Clarification on the treatment of bonds subject to liquidity transfer restrictions in third Countries
Shall institutions with subsidiaries located in third Countries, where transfer restrictions of liquidity applies, exclude from the Counterbalancing Capacity section of the template the bonds of these countries?
If yes, should those institutions apply the same principles stated in the LCR Delegated Act?
(please refer to Article 8.2 of the LCR DA: “Assets held in a third country where there are restrictions to their free transferability shall be deemed readily accessible only insofar as the credit institution uses those assets to meet liquidity outflows in that third country”).
• Example template C 66.00 of Annex XXIV- Working example 6
In the Legend provided at the end of the Excel spreadsheet, for the working example 6 it is written: “forward starting repo with central bank eligible Level 1 (CQS1) starting in 7 days that will mature in 2 weeks from the start, loan 100 collateral 110. No entry in rows 1140, 1150 because not reported in LCR due to starts and ends within 30 days”
We are wondering if the statement above can be considered correct or is rather referring to rows 1160 and 1170 on “LCR Outflows/Inflows from secured lending and capital market-driven transactions (weighted)"."
We do agree that funding that rolled-over still there at the end of the reporting period shall be considered, but it should be clarified that only the incremental amount should be represented to identify the volume of new funding.
Due to the great volume of transactions, we do not agree that an highest spread has to be applied to rolled – over funding, while the retained average monthly spread should better identify the real cost sustained by credit institutions.
We do agree that volume and spread of sight deposits shall be reported where the depositor did not have a sight deposit in the previous reporting period, but we observe that also any final increasing amount of existing deposits should represent a new form of funding and therefore this have to be considered.