- Question ID
-
2015_2204
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Liquidity (LCR, NSFR, AMM)
- Article
-
415
- Paragraph
-
3
- Subparagraph
-
(b)
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Draft ITS on Supervisory Reporting of Institutions
- Article/Paragraph
-
Background and rationale
- Type of submitter
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Credit institution
- Subject matter
-
Reporting of prices for various lengths of funding
- Question
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Should Reporting of Prices for Various Lenghts of Funding include only those transactions originally in Euro currency, excluding all other different currencies?
- Background on the question
-
According to the CRR art. 415 (1): “Institutions shall report in a single currency, regardless of their actual denomination, to the competent authorities the items referred to in Titles II and III and their components, including the composition of their liquid assets in accordance with Article 416”. Additionally, institution shall report in a relevant currency as defined in art. 415 (2) of CRR: “An institution shall report separately to the competent authorities of the home Member State the items referred to in paragraph 1 in the currency below when it has: (a) aggregate liabilities in a currency different from the reporting currency under paragraph 1 amounting to or exceeding 5 % of the institution's or the single liquidity sub-group's total liabilities” In light of such assumptions, it is worth mentioning that the Template shall be filled in with the average spread for each bucket of “Original Maturity” and for each category of funding products; consequently, when different currencies are converted into EURO, the Report could require to perform an average calculation on spreads referred to different interest rate curves. The outlined approach leads to compare spreads with a different order of magnitude (e.g. Spread on Euro and Spread on Rouble) and probably result in a distortion of the meaning of the figures.
- Submission date
- Final publishing date
-
- Final answer
-
According to Art 415(1) of Regulation (EU) No 575/2013 (CRR), using the reporting currency institutions shall report both the volume of as well as average spread relating to all new transactions (for all currencies) that the institution has entered into during the reporting period. Where relevant according to Article 415 (2) CRR, separate reporting for each significant currency is additionally required.
DISCLAIMER:
The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.
- Status
-
Final Q&A
- Answer prepared by
-
Answer prepared by the EBA.