Question ID
2015_2497
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
427, 428
Paragraph
427 (1), 428 (1)
Subparagraph
427 (1)(b)(viii-ix), 428 (1) (a - f)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XII, C 60.00 (r10-890) and C 61.00 (r070-090 and r140-160)
Type of submitter
Competent authority
Subject matter
C 60.00 and C 61.00 – clarification on the amount extremely high liquidity and credit quality, on the amount high liquidity and credit quality and amount other assets
Question

Which assets in rows 10 to 890 of the template C 60.00 of Annex XII of the Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions - shall be considered of extremely high liquidity and credit quality, of high liquidity and credit quality and as of other assets in the context of items requiring stable funding? The same question arises with respect to the template C 61.00 of the same Annex in rows 070 to 090 and in rows 140 to 160.

Background on the question

Annex XIII of Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions - on the instructions on reporting on stable funding refers to the liquidity coverage template for the purposes of identifying the assets which should be considered of extremely high liquidity and credit quality and of high liquidity and credit quality for the purposes of reporting on stable funding. The same Annex on the instructions on reporting on liquid assets explain that these assets should be, following Article 416 (1) CRR, those defined as such in accordance with Article 460 CRR, which is referred to the LCR Delegated Act. The LCR Delegated Act was published in the Official Journal in January 2015 and is applicable from 1 October 2015. Until then, following the cited instructions on liquid assets, institutions had to identify themselves transferable assets that were of extremely high and high liquidity and credit quality. Once the LCR Delegated Act is applicable the question arises on which should be the definition of liquid assets to apply for the purposes of reporting on stable funding in templates C 60.00 and C 61.00 of Annex XII of Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions.

Submission date
Final publishing date
Final answer

Template C 60.00 of Annex XII of Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (ITS on reporting) requires reporting of the "amount extremely high liquidity and credit quality", in columns 010 to 050, of the "amount high liquidity and credit quality", in columns 060 to 100 and of the "amount other assets", in columns 110 to 150, with regard to the items requiring stable funding.

As to reporting on items providing stable funding, template C 61.00 of Annex XII of the ITS on reporting includes in rows 070 to 090 and in rows 140 to 160 respectively a) liabilities from secured lending and capital market driven transactions from customers that are not financial customers and b) liabilities from secured lending and capital market driven transactions from customers that are financial customers. In both cases these liabilities are broken down through the corresponding rows into those "collateralised by extremely high liquidity and credit quality assets", "collateralised by high liquidity and credit quality assets" and "collateralised by any other assets".

Annex XIII of the ITS on reporting on the instructions for reporting liquidity -Part 5: Stable Funding- (therefore for the purposes of the cited templates C 60.00 and C 61.00) sets out that for these purposes assets should be considered of extremely high liquidity and credit quality and of high liquidity and credit quality as established in the liquidity coverage template. Also "other assets" should be considered as those which are not reported as liquid assets for the purpose of the liquidity coverage template.

Annex XIII of the ITS on reporting on the instructions for reporting liquidity -Part 1: Liquid Assets- identifies assets of extremely high liquidity and credit quality and assets of high liquidity and credit quality as those referred to by Article 416 (1) of the CRR which in turn refers for these purposes to the uniform definitions in the Commission Delegated Regulation (EU) 2015/61 (LCR Delegated Act).

The LCR Delegated Act in its recital 4 identifies assets of extremely high liquidity and credit quality as those which it defines as level 1 assets and assets of high liquidity and credit quality as those it defines as level 2A and 2B assets.

Therefore credit institutions shall report templates C 60.00 and C 61.00 of Annex XII of the ITS on reporting following the definition in LCR Delegated Act of level 1 assets, for the purposes of identifying assets of extremely high liquidity and credit quality, and the definition of level 2A and 2B assets, to identify assets of high liquidity and credit quality. "Other assets" should be considered assets which are not liquid assets for the purposes of the LCR in the LCR Delegated Act.

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

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