Question ID
2022_6370
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Example 3
Type of submitter
Consultancy firm
Subject matter
Reporting of physically settled derivatives in C 66.01 Maturity ladder
Question

 

In which sheet should we report the commodity flows in the C 66.01 Counterbalancing section - only in the TOTAL sheet (for all currencies combined) or also in the corresponding significant currency sheet? Does reporting depend on the type of commodity - metals, energy, agriculture, etc.? 

Background on the question

Looking at Example 3 from ITS on Supervisory Reporting regarding COREP, AE, ALMM and GSIIs which concerns the reporting of physically settled derivatives in C 66.01 Maturity ladder, it's not clear for us in which sheet we should report the commodity flows in the Counterbalancing section. If we consider that the gold has its own specific currency 'XAU', then the CBC flows at maturity of physically settled derivative should be reported only in the TOTAL sheet (for all currencies combined). On the other hand, if we consider that the gold is equivalent to an amount in EUR for example, then the CBC flows at maturity of physically settled derivative should be reported also in the significant currency sheet for EUR. Additionally, does reporting depend on the type of commodity - metals, energy, agriculture, etc.? 

Submission date
Final publishing date
Final answer

Institutions which comply with the criteria of Article 415(2), point (a), of Regulation (EU) No 575/2013 should report separately those items denominated in a currency other than the reporting currency and the reporting shall be done in the currency of denomination.

For the purpose of liquidity reporting, according to Regulation (EU) 2021/451 and Part Six, Title II of Regulation (EU) No 575/2013, commodities including gold are not considered as a single currency and thus should not be reported separately. 

Therefore, counterbalancing capacity (CBC) flows of physically settled commodities including gold should be reported according to Article 415(1) of Regulation (EU) No 575/2013 with the total reporting requirement, comprising all items and all currencies in the reporting currency. 

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

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