Inclusion of repurchase transactions in financial assets and exposure value/risk-weighted assets (COREP C33).

What is the method to be followed concerning the inclusion of repurchase transactions in financial assets and exposure value/risk-weighted assets in COREP template C 33.00?

In the COREP instructions for the COREP table C33 is indicated that “all exposures to General governments” need to be reported as referred to in point (b) of paragraph 42 of Annex V. Where the exposures to ‘general governments’ are subject to own funds requirements in accordance with Title II of Part Three CRR and should be included in different exposure classes in accordance with Article 112 and Article 147 CRR. The scope of the GOV template should cover on-balance sheet, off-balance sheet and derivatives direct exposures to “General governments” in the banking and trading book.   The columns 0010-0140 of the template should include direct on-balance sheet exposure to general governments with references to IFRS regulation. The columns 0290 and 0300 (exposure value and risk weighted exposure amount) however are subject to the credit risk framework with references to the CRR. It is not clear in which columns repurchase transactions with general governments need to be reported. As repurchase transactions with general governments are not reported on the asset side of the balance according to IFRS regulation, these should not be included in the columns 0010-0140 related to the on-balance sheet non-derivative financial assets by accounting portfolios. However, in view of the credit risk calculation these transactions should be included as they trigger counterparty risk & should be reported in the last columns (0290 and 0300) related to the exposure value and risk weighted assets.