EBA · 2021_6121 Final Q&A

C34.08 report - define the collaterals considering the both legs of the securities financing transactions (SFTs)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2021-07-28
Answered
2022-02-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Column 0130 and column 0180 from C34.08 report Composition of collaterals for CCR exposures highlights the information related to the SFT security. In accordance with the requirements provided in Annex II Reporting on own funds and own funds requirements, the institution shall report the fair values of collateral appearing as security in SFTs ( e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). In this context, considering that the SFTs involve two legs for each transaction and taking into account also the ITS requirements applied for the C34.08 report Composition of collaterals for CCR exposures, how the reporting institutions should treat the cash leg of the transaction? In which column the reporting institutions should populate the cash leg of the transaction?

Background

In accordance with the requirements presented in Annex II Reporting on own funds and own funds requirements,  the C34.08 report Composition of collaterals for CCR exposures shall be populated with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transactions or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.  Column 0130 and column 0180 SFT security provides evidence for the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130 or posted for column 0180).  Any additional information for C34.08 reporting purposes which is related to the cash leg of the transaction will be useful for the reporting institutions.

Answer

In accordance with Implementing Regulation (EU) 2021/451, Annex II, institutions shall report in the template C 34.08 collaterals used as initial margin, variation margin or appearing as security leg in SFT transactions. As outlined, columns 0130 and 0180 include fair values of the security leg of the SFTs only (distinguishing between received and posted securities).

Original source: European Banking Authority, Q&A ID 2021_6121

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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