EBA · 2020_5153 Rejected question

Reporting of collateral posted / received in the C 66.00 maturity ladder template

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 3
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Competent authority
Submitted
2020-03-03
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Question

What are the specific conditions for the treatment of collateral posted and received in relation to FX swaps and non-FX-related derivative transactions under the C 66.00 maturity ladder template?

Background

With respect to the treatment of collateral posted or received in the context of FX swaps and non-FX-related derivative transactions, evidence was found that institutions apply divergent approaches with respect to the following aspects: (1) The treatment of collateral that has been received or that has been posted in relation to FX swap transactions. (2) The treatment of collateral that has been received or that has been posted in relation to non-FX-related derivative transactions. (3) The treatment of collateral that has been received or that has been posted in the form of a deposit.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2020_5153

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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