EBA · 2019_4818 Final Q&A

Clarification regarding reporting of Central Bank deposits in column 90 (collateral value CB-eligible) of row 120 in C71.00 Concentration of Counterbalancing Capacity by issuer/counterparty

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 1
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Individual
Submitted
2019-07-05
Answered
2020-09-11
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

We have got clarification regarding reporting of central bank deposits in row 120 of C71.00 with reference to Q&A 4217. But further clarification would be needed that the same central bank deposits can also be reported in column 090 as collateral value CB-eligible. As no specific product are mentioned to be eligible for column 90 so can this be interpreted that all products reporting in C71 are eligible to be reported in column 90 if it meets the below condition. "The collateral value according to the central bank rules for standing facilities for the specific assets "

Background

Followup to Q&A 4217 .

Answer

In accordance with paragraph 6 of Annex XXI of Regulation (EU) 2021/451 - ITS on supervisory reporting institutions amended Regulation (EU) No 680/2014 and as confirmed in EBA Q&A 4217, institutions shall include under row 120 of supervisory reporting template C 71.00, concentrations of counterbalancing capacity with a central bank as counterparty, which also includes central bank deposits / reserves.    Provided that institutions are permitted to withdraw the such (sight) deposits / reserves at any time during stress periods, and, in the case of central bank term deposits, provided they are reported as counterbalancing capacity in C 66.01, the full amount of such deposits / reserves shall may be reported under column 0 8 9 0 of this template (“MTM Value/Nominal”) .  Under column 080 (“Collateral value CB-eligible”) , such deposits/reserves are to be reported only in the case where they are also accepted as collateral by the central bank, as reflected in the instructions .

Original source: European Banking Authority, Q&A ID 2019_4818

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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