In the context of CSA collateral agreements, banks can receive collateral in the form of cash or securities in order to mitigate the counterparty credit risk coming from derivative transactions. In the case that cash collateral is received, this amount should be reported in bank’s liabilities even if the associated derivative is reported as off balance sheet. In the aforementioned case, shall cash collateral be considered as a source of funding?

From the ITS and EBA Q&A 2015_1829, it is not clear whether this product must be reported under bank’s liabilities since it fits none of the product types proposed (UWF, UWNF, REPO, CB, ABS, IGCP).

In the same manner as for all other templates of Annex XVIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), in template C 67.00 institutions shall report funding defined as all financial liabilities other than derivatives and short positions (see also EBA Q&A 2015_2365; this is also clarified in paragraph 2 of chapter 1.1 of Annex XIX to the ITS on Supervisory Reporting as amended by Regulation (EU) 2017/2114, which will be applicable from of 1 March 2018 onwards).

In the case that the receipt of collateral creates a liability on the balance sheet of the institution, which is not regarded as a derivative position, this should be treated as a funding liability and categorised in the most relevant product type(s) listed in the instructions for C 67.00 in Annex XIX to the ITS on Supervisory reporting.