Question ID
2018_3744
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
422 e 425
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Article/Paragraph
Article 23 and 32 par 7
Type of submitter
Other
Subject matter
Reporting of forward starting transactions
Question

Annex XXV Reporting on Liquidity Coverage Ratio defines remarks regarding settlement and forward starting transactions. The only forward starting transactions taken into consideration are forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30 day horizon and that are entered into subsequent before the reporting date. The Q&A 2014_784 published in 2014 seemed to identify a wider definition of relevant forward transactions for the LCR than the Annex XXV does some time after.  Should we limit our definition to Annex XXV one, or other forward start transactions are relevant for LCR if these two conditions are valid: •         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? In this case, how should we report forward starting purchase or own issuance? If contractually fixed, forward starting transactions generating inflows or outflows are treated symmetrically for LCR or Article 32 par 7 introduces asymmetry?

Background on the question

A strict definition of forward starting transactions is provided in Annex XXV. CRR and Q&A 2014_784 define a wider range of possible relevant forward starting transactions for LCR.

Submission date
Final publishing date
Final answer

In terms of the calculation of the LCR, forward starting transactions shall according to Q&A 2014_784, fulfil the following two conditions:

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.

The treatment should be equal for forward starting inflows and outflows that are contractually fixed, but not yet settled at reporting date. Article 32 par. 7 of Delegated Regulation (EU) 2015/61 is not applicable to contractually fixed inflows.

Annex XXV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) does only specify  the calculation of outflows and inflows stemming from forward starting repo, reverse repo and collateral swap transactions, but does not exclude contractually fixed cash flows of other transactions from the LCR. Hence, expected cash flows from forward starting unsecured transactions such as forward starting purchases and sales of assets and from own issuances, that have been subscribed and allotted at reporting date, may be considered in the LCR.

All forward starting transactions that fulfil the conditions laid down in Q&A 2014_784 shall be reported in relevant items of template C73 and C74 of Annex XXV to ITS on Supervisory Reporting, namely in row 918 of C.73 (‘others’) in case of outflows and in row 260 of C.74 (‘other inflows’) in case of inflows.

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

Disclaimer

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