- Question ID
-
2013_381
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting
- Article
-
415
- Paragraph
-
1
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
N/a
- Name of institution / submitter
-
Association for FInancial Markets in Europe
- Country of incorporation / residence
-
Europe
- Type of submitter
-
Industry association
- Subject matter
-
Netting Methodologies
- Question
-
Does the EBA intend to issue guidance on the appropriate netting methodologies to be applied. For example, should netting take into account criteria such as currency, cash flow date, product etc. or should a more simplistic approach be used, e.g. adding all the inflows and outflows occurring within the 30 day timeframe to produce a net figure to be reported either as payable to receivable.
- Background on the question
-
We have applied different netting criteria on the example trades below to obtain very different results: Trade 1: - Cash Inflow $100m - USD day 1 Trade 2: - Cash Outflow ($100m) - USD day 1 Trade 3: - Cash Inflow $100m - GBP day 1 Trade 4: - Cash Inflow $100m - USD day 2 Trade 5: - Cash Outflow ($100m) - GBP day 3 Trade 6: - Cash Inflow $100m - EUR day 3 Trade 7: - Cash Outflow ($100M) - USD day 3 Simple Methodology (total inflows less total outflows) = Inflows $100m and Outflows $0m Netting by day = Inflows $200m & Outflows $100m: Net Day 1 = Inflow $100m, Net Day 2 = Inflow $100m Net Day 3 = Outflow ($100m) Netting by day and currency = Inflows $300m & Outflows $200m Net USD Day 1 = Inflow $0m Net GBP Day 1 = Inflow $100m Net USD Day 2= Inflow $100m Net GBP Day 3 = Outflow ($100m) Net EUR Day 3 = Inflow $100m Net USD Day 3 = Outflow ($100m)
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.
If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.
For further information please refer to the press release and the updated Q&A page.
- Status
-
Rejected question