Question ID:
2013_380
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
415
Paragraph:
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
N/a
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 treatment of forward starting trades
Question:

Further clarification on the reporting treatment of forward starting trades would be appreciated. A forward starting trade will have two cash flows, one at the start and one at the maturity of the trade. For example, a forward starting deposit will have an inflow at the start to reflect the deposit being received, while an outflow at maturity to reflect the repayment of the deposit. It is not clear, however, how the flows should be reported.

Background on the question:

Please refer to the background provided in the question.

Date of submission:
10/10/2013
Published as Final Q&A:
28/03/2014
Final Answer:

In deciding about in- and outflow rates the type of the forward starting financial product is crucial.

Derivatives captured in Annex II of Regulation 575/2013/EU (CRR) are treated according to Articles 422(6) and 423(1) to (3) of the CRR. All in- and outflows expected over the 30 day horizon are taken into account on a net basis and an eventual net outflow shall be multiplied by 100%.

If the financial products are not included in Annex II, their in- and outflows have to be reported separately and the inflows are subject to the 75% cap. The inflows should be reported only if they are not past due and the institution has no reason to expect a non-performance within the 30-day time horizon according to Article 425(2) of the CRR.

 

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