Concerning the instructions for the counterbalancing capacity by issuer/counterparty (CCC). Can the same issuer/counterparty appear more than once in the top 10 in this CCC by issuer/counterparty report?
The guidance for this AMM report can be found in ANNEX VI. to be compared with similar guidance for another concentration report: ANNEX IV on Concentration of funding by counterparty
According to the EBA final draft implementing technical standard (ITS) on additional liquidity monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013, Annex XXII (template) and Annex XXIII (instructions) institutions shall report their concentration of counterbalancing capacity by issuer/counterparty as one of the additional monitoring metrics. According to template C 71.00 the institutions shall report both the 10 most important issuers/counterparties and all other items used as counterbalancing capacity.
If an issuer/ counterparty is assigned to more than one product type, the total amount should be reported and the product type reported shall be the product in which the largest proportion of assets/ liquidity was obtained.
This is in line with the approach outlined in paragraph 4 of the instructions on C 67.00: Funding by counterparty.
The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.