EBA · 2024_7032 Rejected question

Disclosure of cash collateral received on derivative transactions in C40 template

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
451, para. LV40, row 0210 col 0020
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2024-03-06
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Question

Whether the cash collateral received in an account with other institutions should be excluded from disclosure in C40, {0210;0020}

Background

The template C40 requires accounting balance sheet value of derivative cash collateral received and posted to be reported in row 210 and row 220 as part of the disclosures. Per Annex XI, the cash collateral received in derivative transaction is defined as the total amount of cash including coins, banknotes/currency and deposits held with central banks. It further states that the institutions shall not report cash on deposit with other institutions in this data point. This is specific to collateral received and there are such specifications provided for collateral posted.   The cash collateral receipts by a bank (central bank or other institutions) are subject to contractual provisions and may vary depending on the region/currency involved. The segregation of receipts at transaction level is operationally quite burdensome. Moreover, the guidance is not consistent across received and posted to be disclosed in the template.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7032

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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