Single Rulebook Q&A

Question ID: 2015_2538
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 415
Article/Paragraph : Template C 69.00
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Name of institution / submitter: Association for Financial Markets in Europe
Country of incorporation / residence: Europe
Type of submitter: Industry association
Subject matter : Prices for Various Lengths of Funding-currency spreads

We would like to seek further guidance on whether the EBA expects firms to calculate spreads for all currencies, which would then be used to calculate the total, or if the EBA would accept reporting for material funding only?

Background on the question:

By way of background, firms could source liabilities in multiple currencies with only a small percentage of funding in minor currencies which have no appropriate market benchmark. As there is no clear benchmark, the exercise to calculate the spread on these transactions could be cumbersome, especially for just a small proportion of funding. Therefore, we do not believe this would add value to the reporting, unless the funding in those currencies is material.

Date of submission: 22/12/2015
Published as Final Q&A: 12/01/2018
EBA answer:

Spreads for funding in all currencies shall be calculated on the basis of the corresponding benchmark for each respective currency. The instructions set out in chapter 1.4 (Prices for Various Lengths of Funding (C 69.00)) of Annex XIX to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), do not provide a materiality threshold.

Status: Final Q&A
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