Question ID
2014_717
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
416
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
416/1
Type of submitter
Credit institution
Subject matter
Collateral Swaps Scope
Question

C54 of the LCR covers the collateral swaps. Should this template should only include transactions undertaken by the liquidity management function that are reported in the assets template.

Background on the question

No clear guidance exists on whether the collateral Swaps template (C54) should be all collateral swaps or only those undertaken by the liquidity management function

Submission date
Final publishing date
Final answer

With reference to Art. 415(1) second paragraph of the Regulation (EU) No 575/2013 (CRR), EBA is authorized to obtain information on collateral swap transactions in general. There is no restriction to transactions undertaken by the liquidity management function only.

 

Rather, all collateral swap transactions have to be taken into account where collateral qualifying as liquid assets under points (a), (b) or (c) of Article 416(1) of the CRR are exchanged against collateral that do not qualify as liquid assets under points (a), (b) or (c) of Article 416-1 CRR .

 

According to Art. 417(c) of the CRR, in the context of operational requirements, liquid assets have to be controlled by a liquidity management function. This requirement formulates a condition for assets to be reported as liquid assets rather than a condition for transactions conducted with those liquid assets.

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

Disclaimer

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