Single Rulebook Q&A

Question ID: 2017_3437
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 99
Article/Paragraph : Annex II, C 22.00, chapter 5.5.2.
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Type of submitter: Individual
Subject matter : Foreign Exchange Risk– Off-balance sheet items in C 22.00

What should be included in row 110 “Off-balance sheet items” of template C 22.00 (MKR SA FX)?

Background on the question:

Article 352(1) CRR lists the elements to be taken into account to calculate the institution’s net open foreign exchange positions but does not clearly indicate that off-balance sheet items should be taken into account. Only irrevocable guarantees and similar instruments that are certain to be called and likely to be irrecoverable are listed. Hence, what should be included in the row 110 “Off-balance sheet items” of template C 22.00 for it to be in line with Article 352(1) CRR?

Date of submission: 07/08/2017
Published as Final Q&A: 17/11/2017
EBA answer:

Only positions within the scope of Article 352 of Regulation (EU) No 575/2013 (CRR) – whether denominated in the reporting currency of the institution or a foreign currency – that are off-balance sheet items and treated according to the standardised approach for foreign exchange risk shall be reported in row 110 of template C 22.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting). As stated in the instructions on row 110 of C 22.00 provided in Annex II to the ITS on Supervisory Reporting, this excludes securities financing transactions and long settlement transactions as well as positions subject to contractual cross product netting.

Status: Final Q&A
Permanent link: link