EBA · 2018_3943 Final Q&A

Report gross or netted cash flows in the row 360 of C66 (maturity ladder) of non-forex and non-option-like derivatives under a valid netting agreement but without collateral agreement

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 3
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Other
Submitted
2018-05-29
Answered
2019-06-07
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

« In the Annex XXIII (Maturity Ladder Instructions), for the row 360 ("1.5 Derivatives amount payables other than those reported in 1.4") , paragraph 2(b), it is stated that "flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 ‘derivatives cash- outflows’ and 2.4 ‘derivatives cash-inflows...’". Suppose that there is a group of derivatives (non-forex, non-option-like transactions) traded with the same counterparty under a valid bilateral netting agreement but without a collateral agreement in place, should netted cash flows per counterparty or gross cash flows be reported in row 360? If the netted cash flows should be reported in row 360, should the netted amount be calculated per day, or per time bucket defined for C66 report? For example, in C66, there is a time bucket 'Greater than 7 days up to 2 weeks', can we net an inflow of day 8 with an outflow of day 9 and then report only the net amount in row 360 (if negative) or row 670 (if positive)?”

Background

The instruction mentions 'gross' cash flows, but trades under netting agreement are settled with netted amount.

Answer

According to paragraph 8 of the general instructions Part I of Annex XXIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), for the purpose of completing the maturity ladder template in Annex XXII of the same regulation, outflows and inflows in the respective sections shall be reported on a gross basis with a positive sign and amounts due to be paid and received shall be reported respectively in the outflow and inflow sections. Against this background, outflows and inflows related to non-FX-related derivative transactions are to be reported without considering netting agreements but in accordance with the specific instructions for the rows 360 (ID 1.5) and 670 (ID 2.4).

Original source: European Banking Authority, Q&A ID 2018_3943

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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