Single Rulebook Q&A

Question ID: 2018_4372
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Supervisory reporting
Article: 100
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 : 16a
Type of submitter: Competent authority
Subject matter : Reverse repos (Reverse Repurchase Agreements) in AE-Assets Encumbrance
Question:

RE 680/2014, Annex XVI, § 2.1.1.14 (b) deals with Repos / Matching (or Reverse) Repos in the AE-Assets Encumbrance reporting. Questions : 1)where must be reported in AE-ASS (F32.01) and by impact in AE-ADV1 (F36.01) the cash received by the reporting institution from its Reverse Repos ? because it should be registered among the Encumbered Assets whereas the (iv), taken over below in Background section doesn’t evoke the treatment for the carrying amount, contrary of Repos in the paragraph (iii). 2) the paragraph (iv) of the mentioned article indicates that the fair value of the collateral of reverse repurchase is reported including AE-SOU (F32.04), r050, c030 and 040 : is c030 provided for Reverse Repos and c040 for Reverse Repos regiven in Repos ?

Background on the question:

The RE 680/2014, Annex XVI, § 2.1.1.14 (b), following paragraphs indicates : (i)the carrying amount of the repos is reported as a source of encumbrance in AE-SOU (Template F32.04), r050, c010 : So, this seems available under the assumption of Repos only, as r050/c010 deals with cash liabilities, and r050/c030 with assets received in guarantee. …/… (iii) where the collateral is an asset of the reporting institution, its carrying amount is reported in AE-ASS (F32.01), row *, c010, and AE-SOU (F32.04), r050, c030, and its fair value in AE-ASS (F32.01), row *, c040 : So, this is under the assumption of Repos only. (iv) where the collateral has been received by the reporting institution through a previous reverse repurchase, its fair value is reported in AE-COL (F32.02), row *, c010, and AE-SOU (F32.04), r050, c030 and 040 : So, this is under the assumption of Reverse Repos, or matching repos as called in the RE 680/2014, but the implementation in AE-ASS (F32.01) and by impact in the AE-ADV1 (F36.01) is not evocated,contrary of paragraph (iii) just above for Repos.

Date of submission: 14/11/2018
Published as Final Q&A: 07/06/2019
EBA answer:

The section b of para 14 of annex XVII to the regulation 680/2014 is only about repos transactions, whatever it is ‘’simple’’ repos transactions or repos transactions associated with pre-existing reverse repos transactions; it does not refer to isolated reverse repos transactions.

Under IFRS, assets relating to repos transactions are maintained at the balance sheet and assets relating to reverse repos transactions do not enter the balance sheet.

Thus, and as the asset encumbrance reporting templates are based on balance sheets, there is no need to foresee a specific treatment for reverse repos transactions, except in the case they are associated with repos transactions. In this latter case, the treatment set out in the reporting instructions has to be followed :

     (i)        the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010} and in {AE-ADV-1; row 070-080};

    (ii)        the collateral of the repo should be reported for its fair value in {AE-COL; *; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040} and in {AE-ADV-2; row 070-080}.

Isolated reverse repos transactions treatment under asset encumbrance reporting is set out addressed under Q&A 2014_718.

Status: Final Q&A
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