- Question ID
-
2023_6772
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Liquidity risk
- Article
-
415
- Paragraph
-
2
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
- Article/Paragraph
-
28(4) and 32(3)(e) / ITS Outflows 8, Inflows 9 Collateral swaps 7
- Type of submitter
-
Other
- Subject matter
-
Collateral swaps where the borrowed and lent collaterals are in different currencies
- Question
-
For a collateral swap where borrowed and lent securities are subject to the separate reporting as referred to in Article 415(2) of Regulation (EU) 575/2013, we wonder how the transaction must be reported in the c75 , or eventually in 2 different transactions in c73 and c74 but in this case we don't know in which cells and with which weight.
For example, for a settled collateral swap where level 2B USD – market value of 150m is lent and level 2A EUR – market value of 120m is borrowed. The amounts are already converted into the reporting currency.
And we raise the same question if the transaction is forward starting in the LCR window and maturing outside.
- Background on the question
-
In the ITS for collateral swap C75 report, in paragraph 7, we're not sure to understand the meaning of this sentence: "this may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value." Moreover, we can't report the collateral swap legs as 2 separate transactions because only inflows or outflows and not both can be reported in c75: the second cell is greyed.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the issue it deals with is already explained or addressed in ANNEX XXV (LCR) of Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61.
The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.
For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.
- Status
-
Rejected question