Question ID:
2013_274
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 (as amended)
Article/Paragraph:
Annex XII, C 51.00 & C 53.00
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Association for Financial Markets in Europe
Country of incorporation / residence:
Europe
Type of submitter:
Industry association
Subject Matter:
Reporting of repos and reverse repos with underlying liquid asset collateral
Question:

Clarification on the reporting of repos and reverse repos with underlying collateral which is eligible for inclusion in the liquid asset buffer is needed. In particular, CRR Article 416 allows for unencumbered assets obtained through reverse repo transactions to be included within the pool of liquid assets and greater clarity is needed therefore on how these should be reported on C51.00 and C53.00.

Background on the question:

The reporting of collateral obtained under repo and reverse repo transactions which is eligible for inclusion in the liquid assets buffer is not clear.

Date of submission:
24/09/2013
Published as Final Q&A:
28/03/2014
Final Answer:

Liquid assets received through secured lending and capital market-driven transactions shall be reported in one of the six sections of the relevant template C 51.00 taking into account the appropriate valuation with reference to Art. 418 of Regulation (EU) No 575/2013 (CRR) (see Q&A 322). Assets restricted by Art. 416 (2) (b) of the CRR shall not be considered liquid assets.

With reference to C 52.00, ID 1.2.2 (rows 120 to 950), the column "Amount due" shall comprise the total amount of the secured lending and capital market-driven transactions maturing over the next 30 days whereas in the column "Value according to Art. 418 CRR" the relevant market value of the assets that are provided as collateral under the secured lending and capital market-driven transactions specified in the "Amount due" column after the appropriate haircut should be reported. Both amounts are needed for determining the outflows for this type of transactions in accordance with the provisions in Article 422(2) of the CRR. The amounts reported in the "amount due" column should not be identified with the "outflows" for the purpose of monitoring the LCR.

With reference to C 53.00, ID 1.6 (rows 120 to 930), the column "Amount due" shall comprise the total amount of  the secured lending and capital market-driven transactions maturing over the next 30 days whereas the column "market value of the asset securing the transaction" shall correspond to the market value of assets received as collateral for the secured lending and capital market-driven transactions specified in the "Amount due" column net of the haircuts applicable in accordance with Article 418 of the CRR. The heading of the columns c020, c040 and c060 in C 53.00 will be changed to "Value according to Art. 418 CRR" in next available version of the Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutionsITS on Supervisory reporting to avoid the confusion about its content. Both amounts are needed for determining the inflows for this type of transactions in accordance with the provisions in Article 425(2)(d) of the CRR. The amounts reported in the "amount due" column should not be identified with the "inflows" for the purpose of monitoring the LCR.

 

*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.
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