Question ID
2014_725
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
422
Paragraph
2
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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, C.52.00
Type of submitter
Credit institution
Subject matter
Reporting Market Value in liabilities resulting from secured lending and capital market driven transactions as defined in Article 192 (C 52.00 template)
Question

What is the difference between Market Value in column 010 and values in columns 030, 050, 080 and 100?

Background on the question

In "Annex XIII Instructions outflows" doesn´t describe data to fulfil in column 010 "Market Value" for rows 120-950. On the other hand columns 030, 050, 080 and 100 are described as the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction. We have three options: - Column 010 is the sum of Columns 030, 050, 080 and 100 - Column 010 is total Market value before appling haircuts according to Article 418 - Column 010 is total Market Value and Columns 030, 050, 080 and 100 are outflows from liabilities resulting from secured lending

Submission date
Final publishing date
Final answer

The "market value" to be reported in column 010 of C 52.00 template for rows 120 to 950 refers to the market value of the collateral securing the transaction, as observed at the reporting reference date by the reporting institution.

The "value according to Art. 418 CRR" to be reported in column 030, 050, 080 or 100 of C 52.00 template for rows 120 to 950 is the market value of the collateral securing the transactions according to article 418 of the Regulation (EU) No 575/2013 (CRR), where it is defined as "its market value, subject to appropriate haircuts that reflect at least the duration, the credit and liquidity risk and typical repo haircuts in periods of general market stress. The haircuts shall not be less than 15% for the assets referred to in point (d) of Article 416(1)."

 

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

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