Question ID
2013_348
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XIII - stable funding and Annex XII, table C 60.00 and C 61.00
Name of institution / submitter
Swedish Bankers' Association
Country of incorporation / residence
Sweden
Type of submitter
Industry association
Subject matter
Derivatives reporting in stable funding
Question

On page 9 (2.1 - 6) it is stated that the derivatives payables and receivables is to be reported according to regulatory netting rules, not accounting rules, (applicable for both categories), which means that the summation of the categories are not going to be neither the same, nor add up to the total assets. Please clarify the amount to be reported for derivatives, and how the control for templates 60 and 61 will work.

Background on the question

In Annex XIII-Instructions on Stable Funding there is a discrepancy in regards to what is to be reported. On page 1 (1.1 - 2) it is stated that the amounts reported in the category "items providing stable funding" should reflect the size of the institutions' total assets, and on page 8 (2.1 - 2) it is similarly stated that the category "items requiring stable funding" should reflect the size of total own funds and liabilities together, hence these two categories should both add up to the same amount before weighting. However, on page 9 (2.1 - 6) it is stated that the derivatives payables and recievables is to be reported according to regulatory netting rules, not accounting rules, (applicable for both categories). which means that the summation of the categories are not going to be neither the same, nor add up to the total assets.

Submission date
Final publishing date
Final answer

 Referring to the instructions (Annex XIII, Part 5: Stable Funding of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsDraft ITS on Supervisory reporting), paragraph 1.1.2 states that the total amount of all own funds and liabilities reported on an institution's balance sheet shall reflect the size of the institution's total assets. At the same time, paragraph 2.1.2 stresses that the total amount of assets shall reflect the size of total own funds and liabilities together.

Without prejudice of the provision under Article 521(2)(b) of Regulation (EU) No. 575/2013 (CRR) according to which institution shall apply Article 413(1) from 1st January 2016, the objective of reporting on stable funding is to monitor both total Required Stable Funding (RSF) and total Available Stable Funding (ASF).

The treatment of derivatives payables and receivables under paragraph 2.1.6 refers clearly to balance sheet items ( "An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet "). Off-balance sheet items are not to be taken into account in the reporting templates C 60.00 and C 61.00. All net derivative positions should be calculated according to regulatory netting rules, not accounting rules. Consequently the divergence of total RSF and total ASF could be based predominantly on the difference in regulatory netting rules and accounting rules. It should be acceptable for total RSF to diverge slightly from total ASF.

 

*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

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

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