EBA · 2023_6772 Rejected question

Collateral swaps where the borrowed and lent collaterals are in different currencies

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. 2
Topic
Liquidity risk
Submitted by
Other
Submitted
2023-04-06
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Question

For a collateral swap where borrowed and lent securities are subject to the separate reporting  as referred to in Article 415(2) of Regulation (EU) 575/2013, we wonder how the transaction must be reported in the c75 , or eventually in 2 different transactions in c73 and c74 but in this case we don't know in which cells and with which weight.  For example, for a settled collateral swap where level 2B USD – market value of 150m is lent and level 2A EUR – market value of 120m is borrowed.  The amounts are already converted into the reporting currency. And we raise the same question if the transaction is forward starting in the LCR window and maturing outside.

Background

In the ITS  for collateral swap C75 report, in paragraph 7, we're not sure to understand the meaning of this sentence: "this may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value. " Moreover, we can't report the collateral swap legs as 2 separate transactions because only inflows or outflows and not both can be reported in c75: the second cell is greyed.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6772

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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