Question ID
2017_3087
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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
Chapter 7, ANNEX XVIII - C 69.00
Type of submitter
Other
Subject matter
C 69.00, Prices for various lengths of funding - Spreads calculated in different currencies
Question

The EBA Q&A 2015_2204 confirms that funding spreads must be calculated for all the funding products irrespective of the related currency of issuance.

However, the methodology that needs to be applied in order to convert funding spreads calculated in foreign currencies to the reporting currency is not clear.

This concept is relevant for funding having an original maturity of both longer and shorter than 1 year.

Background on the question

According to Article 415 (1) CRR: ‘Institutions shall report in a single currency, regardless of their actual denomination, to the competent authorities the items referred to in Titles II and III and their components, including the composition of their liquid assets in accordance with Article 416’. Whilst the methodology for calculating the volume amounts on aggregated basis can be considered straightforward, it is not clear how to account in this calculation for funding spreads in different currencies. As a matter of fact, a weighted average of spreads computed in different currencies could lead to distorted results if no conversion factor (like cross currency basis spread) is applied.

Submission date
Final publishing date
Final answer

For the purposes of reporting template C 69.00 of Annex XVIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), average funding spreads for products denominated in different currencies shall be calculated as weighted averages of those spreads without any kind of transformation or normalisation (i.e. without the application of any kind of ‘conversion factor’).

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

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.