Question ID:
2019_4616
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
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:
ANNEX XVIII - C 69.00
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Benchmark Rates of other currencies than EUR, USD, GBP
Question:

Can you kindly confirm: - Currencies other than the three currencies mentioned in Point 3(b) namely EUR, USD and GBP must be compared to the benchmark in the same currency - For currencies that are not captured by LIBOR (e.g. CAD, RON), we should apply the benchmark rates set by the respective organisation (e.g. Romania Three Month Interbank Rate for RON).

Background on the question:

From point 3 of Section 1.4 of Annex 19 (C69 - AMM), we understand that the spread must be calculated with reference to the difference between the interest rate paid on deposits and the benchmark for 'appropriate currency.' However, point 3(b) states that the ''relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD'. This point seems to mention only EUR, USD and GBP, which is confusing.

Date of submission:
21/03/2019
Published as Final Q&A:
08/05/2020
EBA Answer:

According to Annex XVIII (template) and Annex XIX (instructions) of Regulation (EU) No 680/2014 as amended by Implementing Regulation (EU) 2017/2114, institutions are required to report in supervisory reporting template C 69.00 the transaction volume and prices paid for funding obtained during the reporting period and still present at the end of the reporting period, in accordance with pre-defined time buckets.
In accordance with paragraph 1.4.3 of Annex XIX, the spread to be reported in the left hand column of each time bucket refers to the spread payable by the institution if liabilities were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction.
Against this background, for currencies other than EUR, USD or GBP, institutions shall refer to other common benchmark indices available for such currencies. This is implicitly confirmed in EBA Q&A 2015 2538 which specifies that spreads are to “be calculated on the basis of the corresponding benchmark for each respective currency”.

Status:
Final Q&A