Question ID
2014_872
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
422
Paragraph
2
Subparagraph
(a) and (b)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XIII, part 2 outflows and part 3 inflows, C52 and C53
Type of submitter
Consultancy firm
Subject matter
Where and how much to report forward starting repo or reverse repo ?
Question

Should article 422.2 and 425.2(d) in CRR be applicable on the initial disbursement flow of forward starting repo or reverse repo for purpose of LCR ? Where to report initial disbursement flows and maturing flows (if within 30 days) of forward starting repo or reverse repo in report C52 and C53?

Background on the question

Article 422.2 and 425.2 define the general rule for outflows/inflows resulted from secured funding and capital market driven transactions : only amount due over the value of liquid assets after haircut can be counted by 100% in LCR calculation. As to initial disbursement flow of forward starting repo/reverse repo, should we apply the same rule as maturing flows within 30 days? Our understanding is that Article 422.2 and 425.2 define the run-off and roll-over behavior at maturity date, and therefore we cannot apply them on initial disbursement flows and then we should count by 100% for the purpose of LCR. As to reporting, if we report forward starting reverse repo, for example, in 1.6 row 120-930 for C53, then there will be no distinction on whether forward starting or not. Other possible ways, it shall be in row 010-080 according to counterparty (financial customer or not), or 1.9 row 980 'other inflows'.

Submission date
Final publishing date
Final answer
As according to Art. 420(1)(b) CRR, institutions shall only report "the current amount outstanding of their liabilities [...] as set out in Article 422", inflows and outflows stemming from forward starting repos and reverse repos shall be reported respectively in row 980 'other inflows' of C 53.00 and in row 1130 'all other liabilities' of C 52.00 of Annex XII of Regulation (EU) No 680/2014 - ITS on Supervisory Reporting. In detail, the following treatment shall apply for forward starting repos and reverse repos that start within the 30 day horizon and mature beyond the 30 day horizon: a) Forward starting repos:
  • The asset to be pledged as collateral shall be reported in C 51.00 if the institution holds the asset in its book at the reference date and it fulfils the related conditions.
  • The inflow to be received shall be reported in row 980 of C 53.00 net of the market value of the asset to be delivered to the counterparty after the application of the related haircut. If the asset is not a "liquid asset", the inflow to be received shall be reported in full.
 b) Forward starting reverse repos
  • The amount to be lent to the counterparty shall be considered as an outflow and reported in row 1130 of C 52.00, net of the market value of the asset to be received as collateral and after the application of the related haircut, if the asset qualifies as liquid asset. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full.
Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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