Division II.5.2 Z 05.01 – Major liabilities counterparties — Instructions concerning specific positions

Information on the major counterparty in relation to which the liability arises

Major counterparties shall be identified by summing up the outstanding amounts of all liabilities of the entity or group for which the template is reported, to each counterparty or group of connected clients, excluding liabilities to entities included in the consolidated financial statements.

The counterparties and groups of connected counterparties are then ranked by aggregate outstanding amount in order to identify the top 10 major counterparties, on which information shall be provided in this template.

The definition of ‘group of connected counterparties’ shall follow the definition of ‘group of connected clients’ laid down in Article 4(1) point 39 of Regulation (EU) No 575/2013.

For the purpose of this template, a counterparty may not be an entity included in the consolidated financial statements.

Name of the major counterparty or, where applicable, name of a group of connected clients.

The name of a group of connected clients shall be the name of the parent company or, when the group of connected clients does not have a parent, the group's commercial name.

The code of the major counterparty or group of connected clients. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

The code shall be unique and used consistently across the templates.

The institution shall report ‘1’ for individual major counterparties and ‘2’ for groups of connected clients.

The ISO 3166-1-alpha-2 code of the country of incorporation of the counterparty. This includes pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's ‘Balance of Payments Vademecum’.

The country is determined by reference to counterparty's registered office. For groups of connected clients, the country of incorporation of the parent company.

One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes (FINREP, Annex V, Part 1, chapter 6):

• Central Banks

• General Governments

• Credit institutions:

• Other financial corporations

• Non-financial corporations

• Households

For groups of connected clients, no sector shall be reported.

The liability type shall be one of the liability types listed in template Z 02.00 — Liability Structure (LIAB), namely:

1. L.0

   Liabilities excluded from bail-in;

2. L.1

   Deposits, not covered but preferential;

3. L.2.

   Deposits, not covered and not preferential;

4. L.3

   Liabilities arising from derivatives

5. L.4

   Uncollateralized secured liabilities

6. L.5

   Structured notes

7. L.6

   Senior unsecured liabilities

8. L.7

   non-preferred senior liabilities

9. L.8

   Subordinated liabilities (not recognised as own funds)

10. L.9

    Other MREL eligible liabilities

11. L.10

    Non-financial liabilities

12. L.11

    Residual liabilities

If the liabilities towards a major counterparty consist of more than one of the types mentioned above, each liability type shall be reported in a separate row.

The amount shall be equivalent to the definition of an ‘outstanding amount’ as prescribed for in template Z 02.00 — Liability Structure. In case of liabilities arising from derivatives (type L.3), the close-out amounts as defined for the purposes of row 0333 template Z 02.00 shall be reported.