Single Rulebook Q&A

Question ID: 2017_3087
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 415
Paragraph: 3
Subparagraph: b
Article/Paragraph : Chapter 7, ANNEX XVIII - C 69.00
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Type of submitter:
Subject matter : C 69.00, Prices for various lengths of funding - Spreads calculated in different currencies

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.

Date of submission: 09/01/2017
Published as Final Q&A: 12/01/2018
EBA 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
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