Question ID:
2020_5152
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 (as amended)
Article/Paragraph:
16b(2)
Disclose name of institution / entity:
Yes
Name of institution / submitter:
European Central Bank
Country of incorporation / residence:
Germany
Type of submitter:
Competent authority
Subject Matter:
Reporting of interest-related cash flows in the C 66.00 maturity ladder template
Question:

What are the exact requirements for the reporting of interest-related flows in the C 66.00 maturity ladder template?

Background on the question:

It was discovered that institutions would benefit from further clarification in relation to the reporting of the following aspects:

(1) The treatment of interest-related flows arising from floating rate notes.

(2) The treatment of interest-related flows for institutions with deficiencies in IT systems, where institutions are unable to properly calculate interest-related flows under all the relevant items of the “outflows” and “inflows” sections in a granular manner.

Date of submission:
03/03/2020
Published as Final Q&A:
04/12/2020
EBA Answer:

In accordance w ith paragraph 2 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, the contractual flow s resulting from legally binding agreements and the residual
maturity from the reporting date shall be reported according to the provisions of those legal agreements.

In accordance w ith Part I, paragraph 13 of the instructions for completing the C 66.00 maturity ladder template, interest outflows and inflows from all on and off
balance sheet instruments shall be included in all relevant items of the “outflows” and “inflows” sections.

With respect to interest-related flow s arising from floating rate notes, the cash flow s should be approximated by taking into account the current market-implied
forward rates applicable on the reporting date w here the amounts are not yet fixed.

With regard to interest-related flow s for institutions with deficiencies in IT systems, these institutions shall follow instructions of template C 66.00 in order to report it
as accurately as possible. In cooperation with the competent supervisory authority, the institution has to develop an adequate way forward to solve the IT
deficiencies. For the interim period, the institution should inform the supervisory authority and find an agreement to ensure appropriate reporting.

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