Single Rulebook Q&A

Question ID: 2018_4164
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Supervisory reporting
Article: 99
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annex I, C 33.00
Name of institution / submitter: National bank of Slovakia
Country of incorporation / residence: Slovak Republic
Type of submitter: Competent authority
Subject matter : Breakdown of exposures by residual maturity
Question:

In the template C 33.00 breakdown of total exposures by residual maturity is required (rows 170 - 230). However from instructions it is not clear into which time bucket following exposures should be classified: - exposures at default - exposures without residual maturity - past due exposures.

Background on the question:

Without a guidance above mentioned exposures will be reported differently by every institution.

Date of submission: 25/07/2018
Published as Final Q&A: 10/05/2019
EBA answer:

The template C 33.00 requires information on the residual maturity of exposures to counterparty ‘General governments’ as defined in paragraph 42 (b) of Annex V to be computed in days between the contractual date of maturity and the reporting reference date for all positions. As the template C 33.00 does not distinguish between sound (performing), defaulted or past due exposures, this classification has no impact for the allocation to the time-buckets. It is always the contractual date of maturity that matters to assign exposures to maturity buckets.

When the reporting reference date is before the contractual date of maturity (including cases where the original schedule of payment has been modified, but still provide a clear calendar of expected payments), the exposure shall be allocated to the respective bucket accordingly.

When the reporting reference date is after the contractual date of maturity (i.e. the difference between reporting reference date and maturity date is a negative value), the exposure shall be allocated to the bucket [0 – 3M].

Exposures without residual maturity (e.g. perpetuals) shall be allocated to the residual maturity bucket following its period of notice or other contractual indication about maturity.  In case there is no predefined period of notice, exposures shall be allocated to the residual maturity bucket [10Y – more].

Instructions (Annex II, Section 7 of Commission Implementing Regulation (EU) No 680/2014 in its latest version) will be amended at the earliest possible date to reflect this approach.

Status: Final Q&A
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