EBA · 2024_7081 Rejected question

RSF from contributions to CCP default fund in C80.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
428, para. ag
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2024-05-07
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Question

Should the "Unfunded default funds contributions to CCP" reported in rows 0100 and 0200 of C34.10 be reported in C 80.00 row 0960_"1.8 RSF from contributions to CCP default fund"?

Background

In Article 428ag (b) of the Regulation (EU) 2019/876 (CRR II) it is stated that: "The following assets and off-balance-sheet items shall be subject to a 85 % required stable funding factor: (b) any assets and off-balance-sheet items, including cash, posted as contribution to the default fund of a CCP, (...);".  Additionally in the Regulation (EU) 2024/451-ITS for row 0960 it is stated that: "Institutions shall report here items posted as contribution to the default fund of a CCP".  Finally, there is a subparagraph specifically for off-balance assets (rows 1040-1090_"RSF from OBS items"). On the other hand the Unfunded default fund contribution is a commitment (off-balance item) and therefore has not been paid/posted. However is not clear whether it should be reported on row 0960 with the Prefunded default contribution (on-balance item) which has been paid/posted.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7081

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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