The below (linked) validation errors were received on the funding plan reporting:
V08993_M: (P 01.02, r145, c010) = xsum((F 08.01.a, (r070, r080, r090, c010, c020, c030, c034, c035))) => The vaildation rules compare the outstanding amount under central bank deposits in the FP template (P 01.02) to the carrying amount of central bank deposits in the FINREP template (F08.01.a
V08988_M: (P 01.02, r010, c010) = xsum((F 08.01.a, (r100, r150, r200, r250, r300, r350, c010, c020, c030, c034, c035))) => This vaildation rule compare the outstanding amount under repurchase amounts in the FP template (P 01.02) to the carrying amount of repurchase agreements in the FINREP template (F08.01.a)
The Funding Plan instructions specifically mention that the ECB TLTRO should be reported in row 010 of template P 02.02 (Guideline EBA/GL/2019/05). Funding received through central bank funding programmes such as the ECB TLTRO shall be reported in this row independent from the legal form of this transaction, i.e. whether conducted as repo transaction or otherwise. Following validation rule v4135_m, which connects the item in P 02.02, r010 to item P 01.02, r010 (Repurchase agreements), the TLTRO is reported as a repo transaction in row 010 of template P 01.02 in the Funding Plans.
The Finrep instructions (Annex V) define repurchase agreements as transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered repurchase agreements. Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under repurchase agreements where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral, and amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement. In our case the TLTRO is performed using the securities of the banks as collateral. However, the banks does not sell securities to the central bank with an agreement to buy them at a later date. As a collateralization technique the central bank uses a pool of assets. A counterparty includes eligible marketable assets in the pool of assets at the central bank by ensuring the maximum pledge on such assets in favour of the central bank. Individual assets are therefore not linked to specific credit operations. Such credit operations are therefore reported in Finrep as Deposits with agreed maturity.
Following the above TLTRO is reported differently in Finrep (as a deposit with agreed maturity) as in Funding plans (as a repurchase agreement).
Do we have to report the TLTRO operations in Finrep as repurchase operations?
- Legal act: Regulation (EU) No 575/2013 (CRR)
- COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/05 – Guidelines on harmonised definitions and templates for funding plans of credit institutions under Recommendation A4 of ESRB/2012/2 - repealing EBA/GL/2014/04
