Question ID
2022_6630
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
272
Paragraph
12
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
ANNEX II part II article 3.9.3.2
Type of submitter
Credit institution
Subject matter
Applicability of notional and CMV concepts to SFT for the purpose of template C 34.02
Question

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting).

The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT.

A repo transaction is composed by only 2 parameters, the security posted and the cash received.

In case of a repurchase agreement transaction under the Financial Collateral Comprehensive Method, please precisely answer the following questions:

What is the notional amount of the repo to be reported in column 0030 ?

  • The security value posted (or the security nominal ?)
  • The Cash nominal received
  • The security value posted - the cash received
  • Not relevant, do not populate
  • Other, please indicate

What is the current market value of the repo to be reported in column 0040/0050 ?

  • The security value posted
  • The Cash nominal received
  • The security value posted - the cash received
  • The security value posted as a negative position (column 0050)
  • Not relevant, do not populate
  • Other, please indicate

What is the exposure value pre-crm to be reported in column 0150 ?

  • The security value posted
  • The security value posted - cash received
  • Other, please indicate
Background on the question

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02.

The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT.

A repo transaction is composed by only 2 parameters, the security posted and the cash received.

We understand that the notional amount (column 0030) is “before any netting and without any adjustments” so the security value posted (or the security nominal) is expected for a repo transaction.

The CMV is “gross of any collateral held or posted” and “where positive and negative market values are netted”. We understand that the CMV is the security value posted for a repo transaction.

For the exposure pre-crm, it says “ collateralised business shall be handled as uncollateralised, i.e. no margining effects apply”. We understand that it is the security value posted that is expected.

The security value posted is “expected” to be reported 3 times in the columns 0030, 0040/0050 and 0150 as we understand the ITS instructions.

Submission date
Final publishing date
Final answer

 

In accordance with Annex II to the Commission Implementing Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS) securities financing transaction may be reported in template C 34.02 following article 223 of Regulation 575/2013 (CRR) (i.e. applying Financial Collateral Comprehensive method). Regarding reporting of specific columns, institutions shall report in column 0030 the notional value of the asset. Columns 0040 and 0050 shall be populated with the net market value of a transactions within a netting set gross on any collateral held or posted (i.e. market value of the whole netting set made by SFTs). Finally, for transactions under Financial Collateral Comprehensive, column 0150 shall be reported following article 223 of the CRR. Nevertheless, received collateral shall not decrease the exposure value and collateral posted shall be considered in the determination of the exposure value pre-CRM as it is stated in the template C 34.02 instructions.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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