Single Rulebook Q&A

Question ID: 2018_3820
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 415
Paragraph: 3
Subparagraph: b
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annex XXI
Type of submitter: Other
Subject matter : Follow-up to Q&A 2016_2609 - Template C 71.00
Question:

With reference to 2016_2609, please can you confirm whether the predominant currency in the rest of line means a) the predominant currency in the rest of the line provided by the counterparty providing the multi-currency facility or b) the predominant currency in the rest of the line provided by all counterparties?

Background on the question:

The answer to question 2016_2609 is unsatisfactory because either it can be interpreted to mean the rest of the line provided by a single counterparty, or the rest of the line provided by all counterparties. This interpretation changes which currency multi-currency lines are reported as in template 71. For example, Bank A provides £100m multi-currency line, and £1m HUF denominated line. Bank B provides £50m EUR denominated line. If the predominant currency in the rest of line relates only to Bank A, then the multi-currency line provided by Bank A would be flagged as HUF. If the predominant currency in the rest of the line relates to all counterparties then the multi-currency line provided by Bank A would be flagged as EUR. A further complication is added if the multi-currency line received is provided by a syndicate of counterparties. For example, if Bank A and Bank B participate in providing a syndicated multi-currency line totalling £100m (split 50/50). In addition, Bank A provides a £1m HUF denominated line, Bank B provides a £1m EUR denominated line, while Bank C does not participate in the syndicated facility but it provides a £100m GBP denominated line. In the case where the currency is determined by the predominant currency of the line provided by a single counterparty, then the capacity with Bank A would be flagged as HUF and Bank B would be flagged as EUR. While in the case that the currency is determined by the predominant currency of the line provided by all counterparties, the capacity provided by both Bank A and B would be considered GBP. In addition, the rules do not make clear what the treatment should be in cases where there is no predominant currency in the rest of the line.

Date of submission: 25/04/2018
Published as Final Q&A: 05/10/2018
EBA answer:

Applying the currency of the rest of the line provided by all counterparties would be a better fit. It is more likely to give a representative impression of the currency of the credit lines available to the institution i.e. as per the examples explored above; this would reduce the likelihood that a multi-currency credit line be reported as a currency that formed a less significant portion of the capacity available to the institution as a whole. However, it might be helpful to allow the field to be left blank in cases where the multi-currency line is the predominant amount versus the rest of the line provided by a single counterparty. Again, applying the first example above, this would mean the credit line with Bank A of £101m would be reported without a currency in the Total C71 template. Whereas if it was the case that Bank A provided a £50m HUF denominated credit line and £49m multi-currency line, then the line provided by Bank A would be flagged as HUF in the Total C71 template.

According to Annex XX (template) and Annex XXI (instructions) to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), when reporting their concentration of counterbalancing capacity by issuer/counterparty, institutions shall assign to  counterparties recorded in column 010 of template C 71.00 a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution.

Q&A 2016_2609 clarifies that where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration.

Since template C 71.00 aims at monitoring the concentration by counterparty, Q&A 2016_2609 is to be read as the currency to be reported is the one predominant in the rest of the concentration by that specific counterparty.

Status: Final Q&A
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