EBA · 2016_2609 Final Q&A

Reporting of currency for undrawn committed facilities in Concentration of Counterbalancing Capacity template C 71.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 3
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Other
Submitted
2016-02-08
Answered
2018-01-12
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

What currency identifier should be reported on template C 71.00 for an undrawn committed facility that is available to draw in multiple currencies and how should it be reported on significant currency returns?

Background

Template C 71.00 is required to be reported on a total and significant currency basis. In the event that an institution has access to an undrawn committed facility that can be drawn in any currency we would like to clarification as to the currency identifier (column 060) that should be used for total currency basis reporting. The rules state that the code used must be ‘corresponding to the denomination of the asset received or the undrawn committed liquidity lines granted to the institution’ – therefore it seems that in the case of a multiple currency facility no single currency code is applicable. Furthermore, if an institution meets the threshold requirements to report AMM on a significant currency basis, we would like guidance on how to report for each significant currency. For example a multi-currency facility available to the equivalent of £100m, if the significant currencies to be reported were GBP & EURO, should £100m be reported in the GBP significant currency version of the return, and the equivalent of £100m reported in the EURO version of the return?

Answer

According to Annex XX (template) and Annex XXI (instructions) of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) institutions shall report their concentration of counterbalancing capacity by issuer/counterparty as one of the additional monitoring metrics. In template C 71.00, the institutions shall report both the ten most important issuers/counterparties and all other items used as counterbalancing capacity. As specified in Annex XX and Annex XXI, counterparties recorded in column 010 of template C 71.00 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. Institutions shall report the three-letter currency unit code according to ISO 4217. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency (in line with the instructions for the separate reporting of significant currencies in the LCR, see Commission Implementing Regulation (EU) 2016/322).

Original source: European Banking Authority, Q&A ID 2016_2609

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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