We have noted some discrepencies between the information we can find in the instructions and in the DPM. For instance, for the row 090 "220.127.116.11.1 Level 1 central bank ", the instructions for the COREP ALMM Maturity Ladder report C66.01 stipulate "The amount of cash outflows reported in item 18.104.22.168 which is collateralised by assets representing claims on or guaranteed by central banks. ", while in the sheet C66.01.a of the "Annotated Table Layout 281-COREP 22.214.171.124-Errata.xlsx" file it is specified that the central bank test must be done on the "counterparty sector" of the transaction, rather than on the "counterparty sector" of the collateral. An other example is the row 020 "1.1.1 Unsecured Bonds Due", for which the instructions do not require explicitely to exclude hybrid debt, while in the sheet C66.01.a of the "Annotated Table Layout 281-COREP 126.96.36.199-Errata.xlsx" file it is specified that the "Main Category" is "Debt securities issued. Other than Hybrid contracts". The general question is the following: when there is a discrepency between the instructions and what we can find in the DPM, is it correct to assume that the instructions do contain the correct requireement ? If not, what are the correct requirements for the above two cases?
Discrepencies between the "instructions" and the Data Point Model for the Maturity Ladder C66.01 COREP report
According to Annex II, Part II of Regulation (EU) No 680/2014 (ITS on supervisory reporting) amended by Regulation (EU) No 2018/1627, instructions of template C.66.01, row 0090 state: “Level 1 central bank. The amount of cash outflows reported in item 188.8.131.52 which is collateralised by assets representing claims on or guaranteed by central banks.”. Row 0090 is a breakdown of items row 0070, of which the instructions state: “The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Regulation (EU) 2015/61 if they were not securing the particular transaction.”
With reference to Article 10 (b)(i)(ii) and (d) of Regulation (EU) 2015/61, the counterparty sector of the collateral shall be considered since it must be an asset representing claims on or guaranteed by a central bank.
Regarding row 0020 of template C.66.01:
“The amount of cash outflows resulting from securities issued reported in line 1.1, which is unsecured debt issued by the reporting institution to third parties.”
Hence, hybrid debt shall not be reported in this row, as its characteristics are different from unsecured debt features (e.g. hybrid debt ranks below unsecured debt with respect to claims on assets or earnings). Consequently, outflows from hybrid debt shall be reported in row 0050, which is dedicated to securities issued reported in line 1.1, other than those reported in the above subcategories.