Single Rulebook Q&A

Question ID: 2016_2611
Legal act : Regulation (EU) No 575/2013 (CRR)
Topic : Supervisory reporting
Article: 415
Paragraph: 3
Subparagraph: b
Article/Paragraph : Annex XXIII
COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Subject matter : Counterparty details for central bank eligible assets in Concentration of Counterbalancing Capacity template C 71.00

In the event that an institution pre-positions retail customer credit claims into a standard central bank emergency liquidity operation, which counterparty should be reported as the counterparty to the assets in template C 71.00?

Background on the question:

The requirements state that the counterparty name recorded ‘shall be the legal entity title of the company which has issued the assets, or granted the liquidity lines’.
Top ten assets may include individual retail customer credit claims if they are eligible and pre-positioned for a central bank emergency liquidity operation.
This would suggest that the counterparty to be reported in template C 71.00 could be a retail customer.

Date of submission: 08/02/2016
Published as Final Q&A: 12/01/2018
EBA 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, institutions shall report both the ten most important issuers / counterparties and all other items used as counterbalancing capacity. Generally, counterbalancing capacity shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential funding gaps.

In the event that an institution has pre-positioned assets, that are generally eligible as counterbalancing capacity, at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered assets, the institution shall report the original counterparty and the original product type for the purpose of the supervisory reporting of the concentration of counterbalancing capacity in template C 71.00. With regard to the concrete example mentioned in the background to the question, the institution shall report the underlying exposure, which is a credit claim, as product type and shall report the recipient of the loan, which is a retail customer, as the relevant counterparty.

Further, from 1 March 2018 onwards, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template, except for row 120 (see paragraph 6 of Annex XXI to the ITS on Supervisory Reporting as amended by Regulation (EU) 2017/2114).

Status: Final Q&A
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