Question ID
2020_5155
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
415
Paragraph
3
Subparagraph
b
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
16b(2)
Name of institution / submitter
European Central Bank
Country of incorporation / residence
Germany
Type of submitter
Competent authority
Subject matter
Netting of cash flows in the C 66.00 maturity ladder template
Question
Can institutions report cash flows on a net basis in the C 66.00 maturity ladder template, in particular where such netting of cash flows is explicitly allowed for the purpose of the calculation of the Liquidity Coverage Ratio (LCR)?
Background on the question
Despite the clear provisions of the instructions for completing the C 66.00 maturity ladder template in relation to the treatment of netting, it has been found that institutions do not interpret these provisions in a consistent manner. For instance, some institutions seem to apply netting in the C 66.00 maturity ladder to the instruments for which netting is explicitly allowed in the (amended) Delegated Regulation (EU) 2015/61 for the purpose of the calculation of the LCR (e.g., FX swaps, derivative transactions subject to a master-netting agreement, and outflows with interdependent inflows in accordance with Article 26 of amended Delegated Regulation (EU) 2015/61).
Submission date
Final publishing date
Final answer

In accordance with paragraph 8 of Part I of Annex XXIII of amended Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), for the purpose of completing the C 66.00 maturity ladder template in Annex XXII of the same regulation, outflows and inflows in the respective sections shall be reported on a gross basis with a positive sign and amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.

On this basis, the regulation generally does not leave flexibility for institutions to consider flows on a net basis, even in case such flows were allowed to be treated on a net basis for the purpose of the calculation of the Liquidity Coverage Ratio (LCR) (e.g., FX swaps, other derivative transactions subject to a master netting agreement, outflows with interdependent inflows pursuant to Article 26 of amended Delegated Regulation (EU) 2015/61).

By derogation from the above, for the purpose of determining cash outflows and cash inflows stemming from non-FX-related derivative transactions, institutions
should follow the specific instructions for completing the rows 360 (under ID 1.5) and 670 (under ID 2.4) (see also EBA Q&A 3943).

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

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