Figure 4.1.2 of ANNEX XIII clearly refers to Article 31 or Regulation (EU) 2015/61, which is the regulatory basis of the LCR. According to Article 31 committed liquidity facilities to SPVs which have a maturity date above 30 days are not considered within the Outflows. Therefore we would not consider these cash flows in row 1130. Row 1090 has no reference to Art. 31 of the LCR and it states the requirement '[...] the maximum amount that can be drawn in a given time period'. Is it correct to show above mentioned cash flows only in row 1090?
There are different views on this topic. Article 31 could also be interpreted as a guidance to solely distinguish between liquidity facilities and credit facilities. Thus the 30-day-restriction should not be applied on row 1130.
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.