EBA · 2022_6370 Final Q&A

Reporting of physically settled derivatives in C 66.01 Maturity ladder

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Consultancy firm
Submitted
2022-02-14
Answered
2023-02-17
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In which sheet should we report the commodity flows in the C 66.01 Counterbalancing section - only in the TOTAL sheet (for all currencies combined) or also in the corresponding significant currency sheet? Does reporting depend on the type of commodity - metals, energy, agriculture, etc.?

Background

Looking at Example 3 from ITS on Supervisory Reporting regarding COREP, AE, ALMM and GSIIs which concerns the reporting of physically settled derivatives in C 66.01 Maturity ladder, it's not clear for us in which sheet we should report the commodity flows in the Counterbalancing section. If we consider that the gold has its own specific currency 'XAU', then the CBC flows at maturity of physically settled derivative should be reported only in the TOTAL sheet (for all currencies combined). On the other hand, if we consider that the gold is equivalent to an amount in EUR for example, then the CBC flows at maturity of physically settled derivative should be reported also in the significant currency sheet for EUR. Additionally, does reporting depend on the type of commodity - metals, energy, agriculture, etc.?

Answer

Institutions which comply with the criteria of Article 415(2), point (a), of Regulation (EU) No 575/2013 should report separately those items denominated in a currency other than the reporting currency and the reporting shall be done in the currency of denomination. For the purpose of liquidity reporting, according to Regulation (EU) 2021/451 and Part Six, Title II of Regulation (EU) No 575/2013, commodities including gold are not considered as a single currency and thus should not be reported separately.  Therefore, counterbalancing capacity (CBC) flows of physically settled commodities including gold should be reported according to Article 415(1) of Regulation (EU) No 575/2013 with the total reporting requirement, comprising all items and all currencies in the reporting currency.

Original source: European Banking Authority, Q&A ID 2022_6370

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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