EBA · 2013_160 Archive

Treatment of Deliverable FX for single Currency Returns under 422 (6) and 425 (3)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 2
Topic
Liquidity risk
Submitted by
Credit institution
Submitted
2013-08-14
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

When completing single currency returns can all deliverable FX flows occuring withing 30 days in that currency be netted down to one single FX flow reported as either an inflow 425 (3) or an outflow 422 (6), otherwise the 75% inflow cap will apply to FX activity under single currency reports, but will not apply under the all currency combined reports.

Background

When reporting all currency combined the two sides of any FX are with the same counterpart and can be netted under 422 (6) and 425 (3), the text says 'on a net basis across counterparties) and this ensures that FX flows do not impact the 75% inflow cap. However when producing single currency LCR reports the two legs are in different currencies It would seem appropriate to report the net FX flow in single currency, otherwise the 75% inflow cap will be impacted by FX flows under the single currency reports, but not the all currency combined.

Answer

According to Article 415(1) of Regulation (EU) No. 575/2013 (CRR), institutions shall provide their liquidity reporting in single currency, regardless of the actual denomination of the items reported. If aggregate liabilities in a currency different from the reporting currency exceed 5% of total liabilities, or if an institution has a significant branch in a host Member state using a currency different from the reporting currency, the institution shall, according to Article 415 (2), report separately in this currency. When reporting by significant currency according to the rules of Article 415 (2) of the CRR, expected outflows and inflows from contracts listed in Annex II, including deliverable FX-flows should be reported on a net basis across counterparties and reported in the relevant currency of that net flow.

Original source: European Banking Authority, Q&A ID 2013_160

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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