EBA · 2015_2538 Final Q&A

Prices for Various Lengths of Funding-currency spreads

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Industry association
Submitted
2015-12-22
Answered
2018-01-12
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

We would like to seek further guidance on whether the EBA expects firms to calculate spreads for all currencies, which would then be used to calculate the total, or if the EBA would accept reporting for material funding only?

Background

By way of background, firms could source liabilities in multiple currencies with only a small percentage of funding in minor currencies which have no appropriate market benchmark. As there is no clear benchmark, the exercise to calculate the spread on these transactions could be cumbersome, especially for just a small proportion of funding. Therefore, we do not believe this would add value to the reporting, unless the funding in those currencies is material.

Answer

Spreads for funding in all currencies shall be calculated on the basis of the corresponding benchmark for each respective currency. The instructions set out in chapter 1.4 (Prices for Various Lengths of Funding (C 69.00)) of Annex XIX to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), do not provide a materiality threshold.

Original source: European Banking Authority, Q&A ID 2015_2538

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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