Question ID:
2017_3399
Legal Act:
Directive 2013/36/EU (CRD)
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
ALMM reporting Annex XXI
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Article/Paragraph:
Annex XXI - C71 col 070 DPM 2.7.0
Disclose name of institution / entity:
No
Type of submitter:
Consultancy firm
Subject Matter:
Reporting of credit quality step where no rating is present
Question:

If no rating is present for counterparties reported in C71, step 'non-rated' or "CQS other" should be reported?

Background on the question:

According to Annex XXI to consultation paper on draft amending implementation of regulation 680/2014 with regard to Additional Monitoring Metrics for Liquidity Reporting for Column 70 specifies "Counterparties recorded in column 010 shall be assigned the appropriate credit quality step on accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where they have no rating, they shall be assigned the step of ‘non-rated’. According to DPM 2.7.0 the possible values for report C71 column 070 are: CQS 1, CQS 2, CQS 3, CQS 4, CQS 5, CQS 6, CQS 7, CQS 8, CQS 9, CQS 10, CQS 11, CQS other.

Date of submission:
18/07/2017
Published as Final Q&A:
05/03/2021
Final Answer:

According to the specific instructions for column c070 in C 71.00 contained in Annex XXI, where there is no rating, the credit quality step ‘non-rated’ shall be assigned. However, DPM 2.7 does not foresee such a possibility, as possible values for column c070 go from CQS1 to CQS11 plus the residual value ‘CQS other’. In this respect no change was introduced with DPM 2.8.

Therefore, annex XXI will be amended specifying that "Counterparties recorded in column c010 shall be assigned the appropriate credit quality step in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where they have no rating, they shall be assigned 'CQS other'”.

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