Question ID
2023_6689
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Leverage ratio
Article
429b
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
ANNEX XI - PART II: TEMPLATE RELATED INSTRUCTIONS - paragraph 30
Type of submitter
Credit institution
Subject matter
SFTs exposure value on template C 48.02
Question

What exposure value should be reported for a repurchase transaction on template C48.02 where the provided security is retained on the  balance sheet?

Background on the question

In accordance with the instruction for row 0020 of template C48.02, institutions shall report the daily values of the reporting quarter of the SFT exposure value as refer to in rows 0010 of template C47.00. According to the instruction for template C47.00 cash received or any security that is provided to a counterparty and that is retained on the balance sheet (i.e. the accounting derecognition criteria are not met) should not be included in row 0010 of template C47.00. Instead, these items should be included in row 0190 of template C47.00. 

Example
The Bank has entered into a repurchase transaction on day X. A security of EUR 100.000 is provided to the counterparty and EUR 95.000 cash is received. The security is retained on the balance sheet of the Bank. What exposure value should the Bank report in row 0020 of template of C48.02 for day X:

A.    The accounting value of the security which is EUR 100.000; or
B.    No amount is reported since in accordance with the leverage ratio instruction, securities retained on the balance sheet are not included in row 0010 of template C47.00.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question