EBA · 2013_548 Final Q&A

Article 415 and the treatment of forward starting collateral swaps.

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 1
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2013-11-21
Answered
2014-04-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Article 415 states "The reporting formats shall include all the necessary information and shall allow EBA to assess whether secured lending and collateral swap transactions where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1) have been properly unwound." I assume "collateral swaps" referred to above does not include forward starting collateral swaps. I.e. collateral swaps that have not yet had an initial exchange of paper.

Background

An answer on this question is required for clarification on the population of Section C 54 under the EBA LCR template.

Answer

Article 415(1) second paragraph of the Regulation (EU) No. 575/2013 (CRR) states that "The reporting formats shall include all the necessary information and shall allow EBA to assess whether secured lending and collateral swap transactions where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1) have been properly unwound." Article 415(1) of the CRR does not explicitly differentiate between forward and spot contracts. Regarding the legal text, the assets must have already been obtained by the institution, which means not only that a contract has been entered into but also that the collateral must have effectively been changed.

Original source: European Banking Authority, Q&A ID 2013_548

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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