There appear to be differing interpretations within the industry on how to disclose the Original Exposure value in column 040 of template C 28.00. Some firms are reporting the fully adjusted exposure value as calculated under Article 220 of the CRR (E*). Other firms are including the gross asset value in Column 040 and making an adjustment for the associated collateral in column 300, thereby splitting the SFT transaction into its constituent parts. Can the EBA advise which is the correct treatment?
A divergence of opinion within the industry
According to Annex IX (Large Exposures) of Implementing Regulation (EU) No 680/2014 on Supervisory Reporting, C 28.00 column 040 shall contain “the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets.” In addition, this column “shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions”. Following the DPM data point definitions, the same concept is reported in C 07.00.a column 010 (metric “mi180”, original exposure pre conversion factors). According to paragraph 3.2.5 of Annex II (Solvency) of the ITS on Supervisory Reporting, referring to C 07.00.a column 010, “in case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under articles 220 and 221 of CRR shall be reported in this column”. Therefore, the fully adjusted exposure E* should be reported in C 28.00 column 040, without splitting the instrument into columns 040 and 300.