Question ID:
2016_2890
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
415
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:
Annex XXIV and XXV, C.75.00
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Seeking clarifications/ remediation on EBA LCR specified taxonomy mapping for Annex XXIV and Annex XXV templates
Question:

We have identified a taxonomy anomaly in the EBA LCR 70s Series taxonomy that does not allow for this guidance to be implemented for collateral swaps. Unlike template C 73.00 where ‘counterparty is central bank’ shows a 0% standard weight resulting in a 0 outflow (C 73.00, r930 c040 – c060), template C 75.00 does not provide a specific row to delineate exposure to central banks. Therefore it is not possible to isolate collateral swaps with a central bank to apply 0% outflows in the current template and taxonomy construct as per guidance - Article 28.4 of Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement: ‘Collateral swaps that mature within the next 30 days shall lead to an outflow for the excess liquidity value of the asset borrowed compared to the liquidity value of the asset lent unless the counterparty is a central bank in which case a 0% outflow shall apply’.

Background on the question:

The EBA LCR Delegated Act (DA) Article 28.4 states 'Collateral swaps that mature within the next 30 days shall lead to an outflow for the excess liquidity value of the asset borrowed compared to the liquidity value of the asset lent unless the counterparty is a central bank in which case a 0% outflow shall apply'.

Date of submission:
06/09/2016
Published as Final Q&A:
07/04/2017
Final Answer:

As defined under Article 28(4) of Delegated Regulation (EU) 2015/61 (DR with regard to liquidity coverage requirement), the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent in collateral swaps that mature within the next 30 days where the counterparty is a central bank shall not be considered as an outflow. Different to that and in accordance with Article 32(3)(e) of the DR with regard to liquidity coverage requirement, collateral swaps that mature within the next 30 days where the counterparty is a central bank shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed.

There is no need to introduce additional rows in the template for collateral swaps that mature within the next 30 days where the counterparty is a central bank, as those collateral swaps are generally reported as any other collateral swap that matures within the next 30 days in the template C 75.00 of Annex XXIV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), in the rows corresponding to the relevant asset category. The only deviation is that no outflow will have to be reported for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent under column 050 of the template C 75.00 for collateral swaps where the counterparty is a central bank.

In addition, credit institutions shall separately report the market value of the collateral involved in collateral swaps where the counterparty is a central bank in row 760 (Reporting ID 4) of template C 75.00. Also, all inflows arising from collateral swaps that mature within the next 30 days where the counterparty is a central bank shall be reported in row 410 (Reporting ID 1.3) of template C 74.00 of Annex XXIV.

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