Question ID
2016_2974
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
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XXI, C 71.00, c060
Name of institution / submitter
Simon Masseback
Country of incorporation / residence
Sweden
Type of submitter
Credit institution
Subject matter
Reported currency by issuer/counterparty on a total level (in the Total sheet)
Question

How should assets that are issued or liquidity lines that are granted by a single issuer / counterparty be reported in the Total sheet, provided that the asset received or undrawn committed liquidity lines granted to the institution are denominated in more than one currency? Should the issuer / counterparty be reported on separate lines for separate currencies, or should the currency in which the largest proportion of assets / liquidity was obtained be reported for the aggregated currencies?

 

Background on the question

According to the instructions to template C 71.00, the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. It is however not clear what currency in column 060 should be reported in the total sheet, where there are exposures in multiple currencies to the issuer/counterparty. EBA Q&A 2014_1084 treats a similar question about product type, where the product type reported shall be the product in which the largest proportion of assets/ liquidity was obtained. It is not clear whether the currency should be treated the same way.

Submission date
Final publishing date
Final answer

According to Annex XX (template) and Annex XXI (instructions) of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), institutions shall report their concentration of counterbalancing capacity by issuer/counterparty as one of the additional monitoring metrics. In template C 71.00 of Annex XX to the ITS on Supervisory Reporting, the institutions shall report both the ten most important issuers/counterparties and all other items used as counterbalancing capacity.

If the assets received or the undrawn committed liquidity lines granted to the reporting institution by a single issuer/counterparty are denominated in more than one currency, institutions shall report, for the purposes of reporting in all currencies, the overall exposure in one line and shall report the currency in which the largest proportion of assets/ liquidity was obtained. For the purposes of reporting in a significant currency in accordance with Article 415(2) of Regulation (EU) No 575/2013 (CRR), only concentrations or parts of concentrations denominated in the relevant significant currency need to be reported.

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

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