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:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Can the same issuer / counterparty appear more than once in the top 10 of template C 71.00 based on currency?

The ITS states firms should report the name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The ITS also requires a currency to be assigned to the Issuers/counterparties. If you hold assets from a counterparty that are issued in different currencies do you report the counterparty more than once? Or do you report the currency of the largest proportion of the total.

Background on the question:

This is a follow up to question 2014_1084.

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

According to Annex XX (template) and Annex XXI (instructions) of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), institutions shall report their concentration of counterbalancing capacity by issuer/counterparty as one of the additional monitoring metrics. In template C 71.00 of Annex XXI to the ITS on Supervisory Reporting, institutions shall report both the ten most important issuers / counterparties and all other items used as counterbalancing capacity.

As specified in Annex XX and Annex XXI, counterparties recorded in column 010 of template C 71.00 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. Institutions shall report the three-letter currency unit code according to ISO 4217.

For the purpose of reporting in all currencies, if an issuer/counterparty is assigned to more than one product type and the different product types are issued in different currencies, institutions shall report the currency in which the largest proportion of assets/ liquidity was obtained. For the purpose of reporting in a significant currency in accordance with Article 415(2) of Regulation (EU) No 575/2013 (CRR), only concentrations or parts of concentrations denominated in the relevant significant currency need to be reported.

As for the product type, Q&A 2014_1084 already specifies that institutions shall report the product in which the largest proportion of assets / liquidity was obtained.

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