- Question ID
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2016_2817
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Liquidity (LCR, NSFR, AMM)
- Article
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415
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
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Annex XXV, Part 2 (1.2) and Part 3 (1.3)
- Type of submitter
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Credit institution
- Subject matter
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Further clarification required on the inclusion of transactions between trade and settlement date
- Question
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We would welcome further clarification on the reporting of transactions between trade and settlement dates (unsettled trades). Q&A 2013_378 implies that unsettled trades should be treated on a gross basis. However, it does make reference to underlying HQLA or non HQLA, Annex XXV (Part 2, Outflows and Part 3, Inflows) of the EBA-ITS-2015-04 on reporting for the LCR, provide specific remarks regarding forward starting transactions. In particular, the ITS provides guidance for inflows/outflows stemming from forward starting repos, reverse repos and collateral swaps, whereby, the inflow/outflow to be received/delivered shall be reported net of the market value of the asset to be delivered/received after the application of the related LCR haircut. This guidance is included in Commission Implementing Regulation (EU 2016/322 of 10 February 2016. However, there is no guidance on the treatment of unsettled outright purchases/sales of liquid assets.
- Background on the question
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Background is provided above
- Submission date
- Final publishing date
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- Final answer
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The instructions in Annex XXV of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), paragraph 12 of Part 2 on outflows, and item 2.3 of Part 3 on inflows, refer to specific remarks regarding settlement and forward starting transactions with particular view on secured transactions as repos, reverse repos and collateral swaps.
In addition, EBA QA_2014_784 prescribes that forward starting transactions are relevant for the LCR only to the extent that they:
- are contractually fixed, but not yet settled at reporting date; and
- imply an in- and/or outflow of cash and/or liquid assets in the next 30 days.
For unsettled (forward) outright sales/purchases, the instructions in Part 1 (liquid assets), paragraph 12 of Annex XXV to ITS on Supervisory Reporting apply together with the treatment for forward starting repos, reverse repos and collateral swaps with respect to the potential inflows/outflows arising. Accordingly:
- In the case of unsettled (forward) outright sales of eligible HQLA meeting the requirements of Articles 7, 8 and 9 of Regulation (EU) 2015/61 (LCR DA), these assets should be reported as liquid assets in the relevant row in template C 72.00 of Annex XXV to the ITS on Supervisory Reporting. An inflow should be reported as the positive difference between the sale price of the asset to be received and its liquidity value according to Article 9 of the LCR DA. If such a difference is negative then an outflow should be reported.
- In the case of unsettled (forward) outright purchases of eligible HQLA meeting the requirements of Articles 7, 8 and 9 of the LCR DA, these assets should not be reported as liquid assets in template C 72.00. An outflow should be reported as the positive difference between the purchase price of the asset to be delivered and its liquidity value according to Article 9 of the LCR DA. If such a difference is negative then an inflow should be reported.
Accordingly, the sale/purchase price should be reported in full in case of outright forward sale/purchase of non-liquid assets.
- Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.
Disclaimer
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