EBA · 2017_3361 Final Q&A

C 69.00 – Spread calculation

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2017-06-19
Answered
2019-12-13
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is the spread calculated from a daily rate or a month-end rate?

Background

The ITS states that the spread should be calculated “no later than close of business on the day of the transaction”. For new sight deposits the spread shall be that of the end of the period.

Answer

Section 1.4 point 11 of Annex XVIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) states that the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period. For the spread calculation of deposits, which are not sight deposits, the rules in section 1.4. points 3 to 5 shall apply.

Original source: European Banking Authority, Q&A ID 2017_3361

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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