Question ID
2013_183
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
415
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XIII, part 5.2, paragraph 6
Type of submitter
Consultancy firm
Subject matter
NSFR: Calculation of liablities and receivables from derivatives if there is no netting agreement
Question

NSFR: How should the amount of liablities and receivables from derivatives be calculated if there is no netting agreement with the counterparty?

Background on the question

According to the instructions for the NSFR template the liabilities and receivables from derivatives should be calculated according to regulatory netting rules: See Annex III, paragraph 6, template row 240 (liabilities from derivatives payables contracts) and 1290 (derivatives receivables) "An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. “Required funding” and template 1.2 “Stable funding” accordingly". How do we have to calculate the amount if there is no neeting agreement with the counterparty? Can we report the booking value from the balance sheet or do we have to assume a netting agreement?

Submission date
Final publishing date
Final answer

The instructions (Annex XII. Part 5, point 6 of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsDraft ITS on Supervisory reporting) state that netting should be done according to regulatory rules, and not according to accounting rules.

If no netting set actually exists, institutions should not assume any fictional netting set for the purpose of this reporting.

 

*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

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

Disclaimer

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