Coins and banknotes in counterbalancing capacity ALMM

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, institutions shall report both the ten most important issuers/counterparties and all other items used as counterbalancing capacity. Generally, counterbalancing capacity shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential funding gaps. As such, coins and banknotes may qualify as counterbalancing capacity. From 1 March 2018 onwards, Regulation (EU) 2017/2114 amending the ITS on Supervisory Reporting will apply. Paragraph 6 of Annex XXI to this amended ITS on Supervisory Reporting defines that, except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. This applies to coins and banknotes given the role of a central bank as an issuer. To the extent that coins and banknotes fall under the ten largest holdings of assets, and up to 1 March 2018, they shall be reported in template C 71.00. For coins and banknotes, institutions do not have to provide information on the issuer/counterparty name (column 010), LEI code (column 020), residence of the issuer/counterparty (column 040) and the credit quality step (column 070). As for the product type to be reported in column 050, institutions shall report ‘OPT’ (Other product type).