Question ID
2024_7034
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
Draft ITS on supervisory reporting requirements for institutions under Regulation EU No 575/2013 Annex XIII
Paragraph
6
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Annex XIII, paragraph 6
Type of submitter
Other
Subject matter
What amount to be reported for repos and reverse repos in NSFR?
Question

What’s the appropriate definition of 'accounting value' of repos and reverse repos in UK, for NSFR reporting purposes?  We have identified several potential interpretations, which include:

1) The cash nominal at the value date of the transaction (referred to as 'outstanding').
2) The cash nominal at the value date, plus the accrued interests.
3) The outstanding value (as defined in point 1), plus all interests flows (both accrued and non-accrued).
4) The outstanding value (as defined in point 1) multiplied by a discount factor, plus the interests flows multiplied by a discount factor. This could be considered a form of cash fair value.

When netting repos and reverse repos of the same counterparty together under the appropriate conditions, for NSFR purpose, should we use the same 'accounting value' to determine if the net position falls under a repo or a reverse? 

Any guidance you can provide on this matter would be greatly appreciated.

Background on the question

NSFR reporting instruction (Annex XIII) specifies the use of 'accounting value' as the reporting amount, except for derivative contracts which require fair value (according to Article 428d(2) CRR). We are seeking some clarity on how to define the 'accounting value' in the context of repos and reverse repos, particularly when these have been netted together under the appropriate conditions.

Submission date
Final publishing date
Final answer

In accordance with Article 428c(2) of Regulation (EU) No 575/2013 as amended by Regulation (EU) No 2019/876 (CRR), for the purpose of calculating their net stable funding ratio (NSFR), institutions shall apply the appropriate stable funding factors set out in Chapters 3 and 4 to the accounting value of their assets, liabilities and off-balance-sheet items, unless otherwise specified in this Title. Consistent with Q&A 6026, unless otherwise specified in Part Six of Title IV of the CRR, for the purpose of the calculation of the NSFR, instruments should always be considered by the amount reported in the balance sheet under the applicable accounting standards.

For the reporting of repos and reverse repos undertaken with the same counterparty, credit institutions should additionally consider the guidance referred to in paragraph 8 of Part 1 of Annex XIII of Regulation (EU) 2021/451.

Status
Final Q&A

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.