EBA · 2014_717 Final Q&A

Collateral Swaps Scope

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
416
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2014-01-08
Answered
2014-06-27
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

C54 of the LCR covers the collateral swaps. Should this template should only include transactions undertaken by the liquidity management function that are reported in the assets template.

Background

No clear guidance exists on whether the collateral Swaps template (C54) should be all collateral swaps or only those undertaken by the liquidity management function

Answer

With reference to Art. 415(1) second paragraph of the Regulation (EU) No 575/2013 (CRR), EBA is authorized to obtain information on collateral swap transactions in general. There is no restriction to transactions undertaken by the liquidity management function only.   Rather, all collateral swap transactions have to be taken into account where collateral qualifying as liquid assets under points (a), (b) or (c) of Article 416(1) of the CRR are exchanged against collateral that do not qualify as liquid assets under points (a), (b) or (c) of Article 416-1 CRR .   According to Art. 417(c) of the CRR, in the context of operational requirements, liquid assets have to be controlled by a liquidity management function. This requirement formulates a condition for assets to be reported as liquid assets rather than a condition for transactions conducted with those liquid assets.

Original source: European Banking Authority, Q&A ID 2014_717

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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