Question ID:
2018_4209
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
415
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex XVIII, template C67.00 and C68.00
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Calculating the threshold of 1% of total liabilities in significative currencies.
Question:

Should the institution report the section 2 of C 67.00 the total liabilities considering the complete scope of currencies in the bank or should be restricted to the total of the relevant significative currency. Moreover, this would have impact in the 1% threshold calculation.

Background on the question:

The institution has reviewed Question ID 2015_1952 which is considered provisional till ITS release. ITS for C 67.00 and C68.00 templates try to clarify this point but for our perspective is still ambiguous as we cannot understand the reasoning behind a triple threshold, first for calculating significative currencies, second using a TOP 10 and then an 1% not over that currency but over the total liabilities of the entity. Once determined that a currency is relevant in the bank’s structure we assume that the template seeks to determine the concentration on that relevant currencies and the rest of assets in that currency. Consider the total liabilities as threshold lead to a lack of completeness in the information reported.

Date of submission:
21/08/2018
Published as Final Q&A:
17/07/2020
EBA Answer:

According to paragraph 1.1.9 of Annex XIX to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), for calculating the threshold according to reporting templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.
Reporting of C 67.00 by significant currency principally follows a two- step approach:
Step 1: Check significance according to Article 415 (2)(a) of Regulation (EU) No 575/2013 (CRR)
FX ≥ 5 % of total liabilities


Step 2: Reporting of C 67.00 in significant currency, according to the following:
• the Top Ten counterparties in FX which are above the threshold (1 % of total liabilities in all currencies) shall be reported in section 1. This means that the counterparty reported in FX-item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients in that significant currency which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest in that significant currency above the 1 % threshold; and similarly with the remaining items.
• All other remaining funding in that currency shall be reported in section 2.

The totals of section 1 and section 2 shall equal an institution's total funding in that significant currency.

The below example illustrates the issue:
Entity A C.67 total sheet in all currencies:
1.01 Counterparty 1: 20.000 EUR (various currencies including 1.000 yen).
1.02 Counterparty 2: 15.000 EUR (various currencies including 1.500 yen).
Total Liabilities 1.000.000 EUR (threshold 10.000 EUR)

According to the process as described above, the institution shall follow a two-step approach:

Step 1: institution shall check the significance of yen. Let assume that yen is a significant currency (i.e. total funding in yen is higher than 5% of total liabilities), thus implying that separate yen reporting for C 67.00 is needed.

Step 2: Entity A shall split total yen funding in sections 1 and 2 of C 67.00. In this specific case both amounts (1.000 yen and 1.500 yen) are below the threshold of 10.000 EUR (i.e. 1% of total liabilities in all currencies), therefore they both shall be reported in section 2 of C 67.00.

Status:
Final Q&A