EBA · 2013_380 Final Q&A

Reporting treatment of forward starting trades

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 1
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Industry association
Submitted
2013-10-10
Answered
2014-03-28
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Further clarification on the reporting treatment of forward starting trades would be appreciated. A forward starting trade will have two cash flows, one at the start and one at the maturity of the trade. For example, a forward starting deposit will have an inflow at the start to reflect the deposit being received, while an outflow at maturity to reflect the repayment of the deposit. It is not clear, however, how the flows should be reported.

Background

Please refer to the background provided in the question.

Answer

In deciding about in- and outflow rates the type of the forward starting financial product is crucial. Derivatives captured in Annex II of Regulation 575/2013/EU (CRR) are treated according to Articles 422(6) and 423(1) to (3) of the CRR. All in- and outflows expected over the 30 day horizon are taken into account on a net basis and an eventual net outflow shall be multiplied by 100%. If the financial products are not included in Annex II, their in- and outflows have to be reported separately and the inflows are subject to the 75% cap. The inflows should be reported only if they are not past due and the institution has no reason to expect a non-performance within the 30-day time horizon according to Article 425(2) of the CRR.

Original source: European Banking Authority, Q&A ID 2013_380

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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