Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting of Institutions
Annex XII, C 60.00, C 61.00
Disclose name of institution / entity:
Type of submitter:
Consultancy firm
Subject Matter:
Correct time bucket for unsecured master agreements for derivative transactions, secured master agreements for derivative transactions and cash collateral posted/received under a master agreement

According to the instructions ANNEX 13 of "Regulation (EU) No 680/2014 – ITS on supervisory reporting of institutions" Institutions shall calculate derivative assets and liabilities 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. 1.) Regarding unsecured master agreements (i.e. no collateral posted/received) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 2.) Regarding secured master agreements (i.e. collateral posted/received and daily margining) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 3.) Regarding cash collateral which is posted under a derivative master agreement: in what time bucket (column) and row (i.e. duration of encumbrance) should the cash collateral be recorded?

Background on the question:


Date of submission:
Published as Final Q&A:
Final Answer:

In accordance with Annex XIII, Part 5 of Regulation (EU) No 680/2014 (ITS Supervisory Reporting), an institution shall report net derivatives liabilities (i.e. payables) in row 240 of template C 60.00 of Annex XII to the ITS on Supervisory Reporting and net derivative assets (i.e. receivables) in row 1290 of template C 61.00 of Annex XII.
In accordance with Articles 427(2) and 428(2) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2), institutions shall present the items in the prescribed maturity buckets, where applicable.
Given that no specific instructions are provided for the definition of maturity of net derivative receivables and payables, institutions shall conventionally report these items under column 010 (‘within three months’) in both templates. 

For the reporting of collateral received and posted please see Q&A 2015_2499.


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