Question ID
2015_1829
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
415
Paragraph
3
Subparagraph
b
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Annex XXI - C 67.00
Type of submitter
Credit institution
Subject matter
Concentration of funding by counterparties - maturities and product types for fair value of derivaties and collaterals
Question

Institutions shall report the total of all other remaining liabilities in section 2; shall we also report weighted average initial maturity and weighted average residual maturity for the remaining liabilities or the average maturities should only be reported for counterparties exceeding a threshold of 1% of total liabilities ? How should we treat received collaterals and the fair value of derivatives, as they don’t fit in any category of product type provided in Annex XXI - Instructions for completing the additional monitoring tools template(UWF, UWNF, REPO, CB, ABS, IGCP) ? And what maturity should we assume for this kind of liabilities ( 1 day, or the initial/ residual maturity of a derivative)?

Background on the question

Without clarifying above questions our institution will not be able to properly prepare the information on additional liquidity monitoring metrics: concentration of funding by counterparty.

Submission date
Final publishing date
Final answer

Institution shall report weighted average maturities for items to be reported in row 120 “All other liabilities” and columns 070 and 080 of template C 67.00 of Annex XX of final draft implementing technical standard (ITS) on additional liquidity monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013 (EBA/ITS/2013/11/rev1 (of 24 July 2014)).

For the assessment of initial and residual maturities of no-maturity liabilities as well as on-demand deposits and similar products, see QA 2015_1731.

Derivatives are not to be reported in templates C 67.00 to C 70.00. For the purpose of reporting these templates funding is defined as all financial liabilities other than derivatives and short positions. See QA 2015_2365 for further guidance.

 

DISCLAIMER:

The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

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