2015_2499 Amounts to be reported under derivatives receivables in C 60.00 (row 1290) and under liabilities from derivatives payables contracts in C 61.00 (row 240) of the - ITS on supervisory reporting of institutions.

Question ID:

2015_2499

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - Liquidity (LCR, NSFR, AMM)

Article:

427 and 428

Paragraph:

427 (1) and 428(1)

Subparagraph:

427 (1)(b)(xii) and 428(1) (i)

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Article/Paragraph:

Annex XII, C 60.00, r1290 and C 61.00, r240

Disclose name of institution / entity:

Type of submitter:

Competent authority

Subject Matter:

Amounts to be reported under derivatives receivables in C 60.00 (row 1290) and under liabilities from derivatives payables contracts in C 61.00 (row 240) of the - ITS on supervisory reporting of institutions.

Question:

Shall the amounts to be reported in derivatives assets or liabilities in rows 1290 and 240 respectively in C 60.00 and C 61.00 of the ITS on supervisory reporting of institutions be deducted by variation margins received or posted or shall they be gross amounts?

Background on the question:

The instructions on the templates C 60.00 and C 61.00, regarding the reporting of derivatives payables and receivables state that institutions shall calculate net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) according to regulatory netting rules, not accounting rules". However the instructions do not specify which regulatory netting rules shall be applied.

Date of submission:

03/12/2015

Published as Final Q&A:

15/04/2016

Final Answer:

Annex XIII of Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (ITS on reporting) - on the instructions on reporting items requiring stable funding states in paragraph 6 of its general remarks that net derivatives liabilities (payables) and net derivatives assets (receivables) shall be calculated according to regulatory netting rules.

In calculating net derivative liabilities (derivatives payables captured in row 240 of C 61.00 of Annex XII of the ITS on reporting), total collateral posted as variation margin on derivative liabilities must be deducted from the negative replacement cost amount. This means that if the credit institution´s accounting framework reflects, in connection with a derivative contract, an asset associated with collateral posted as variation margin that is deducted from the negative replacement cost for the purpose of stable funding, that asset shall not be reported in template C 60.00 to avoid double-counting.

In calculating net derivative assets (derivatives receivables captured in row 1290 of C 60.00 of Annex XII of the ITS on reporting), cash collateral received as variation margin on derivative assets must be deducted from the positive replacement cost amount. This means that if the credit institution´s accounting framework reflects, in connection with a derivative contract, a liability associated with collateral received as variation margin that is deducted from the positive replacement cost for the purpose of stable funding, that liability shall not be reported in template C 61.00 to avoid double-counting.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.