Question ID
2015_2538
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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
Template C 69.00
Name of institution / submitter
Association for Financial Markets in Europe
Country of incorporation / residence
Europe
Type of submitter
Industry association
Subject matter
Prices for Various Lengths of Funding-currency spreads
Question

We would like to seek further guidance on whether the EBA expects firms to calculate spreads for all currencies, which would then be used to calculate the total, or if the EBA would accept reporting for material funding only?

Background on the question

By way of background, firms could source liabilities in multiple currencies with only a small percentage of funding in minor currencies which have no appropriate market benchmark. As there is no clear benchmark, the exercise to calculate the spread on these transactions could be cumbersome, especially for just a small proportion of funding. Therefore, we do not believe this would add value to the reporting, unless the funding in those currencies is material.

Submission date
Final publishing date
Final answer

Spreads for funding in all currencies shall be calculated on the basis of the corresponding benchmark for each respective currency. The instructions set out in chapter 1.4 (Prices for Various Lengths of Funding (C 69.00)) of Annex XIX to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), do not provide a materiality threshold.

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

Disclaimer

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