EBA · 2014_1084 Final Q&A

Implementing Technical Standards (ITS) on additional liquidity monitoring metrics

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 3
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Consultancy firm
Submitted
2014-04-18
Answered
2015-12-18
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Concerning the instructions for the counterbalancing capacity by issuer/counterparty (CCC). Can the same issuer/counterparty appear more than once in the top 10 in this CCC by issuer/counterparty report?

Background

The guidance for this AMM report can be found in ANNEX VI. to be compared with similar guidance for another concentration report: ANNEX IV on Concentration of funding by counterparty

Answer

According to the EBA final draft implementing technical standard (ITS) on additional liquidity monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013, Annex XXII (template) and Annex XXIII (instructions) institutions shall report their concentration of counterbalancing capacity by issuer/counterparty as one of the additional monitoring metrics. According to template C 71.00 the institutions shall report both the 10 most important issuers/counterparties and all other items used as counterbalancing capacity. If an issuer/ counterparty is assigned to more than one product type, the total amount should be reported and the product type reported shall be the product in which the largest proportion of assets/ liquidity was obtained. This is in line with the approach outlined in paragraph 4 of the instructions on C 67.00: Funding by counterparty.     DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.

Original source: European Banking Authority, Q&A ID 2014_1084

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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