EBA · 2023_6755 Final Q&A

Clarification of scope of population for Corporate Bonds

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Investment firm
Submitted
2023-03-21
Answered
2023-10-06
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In accordance with the instructions for row 0060 of template C 34.08 in Annex II of Commission Implementing Regulation (EU) 2021/451, there is no specific definition of what the scope of corporate bonds should include. Could you, therefore, please confirm if this should include all bonds issued by Institutions and Corporate entities and if it would also include securitisation bonds issued by these entities as well or not or, alternatively, would only non-securitisation instruments issued by entities which would qualify for the corporates credit risk exposure class under Article 112(g) of the CRR be included? We would also request clarification on securitisation bonds, whether those issued by government agencies e.g., Fannie Mae should be reported in row 0050.

Background

There is no definition of corporate bonds to clarify the exact scope of this row and therefore by extension what should be reported in row 0080 "Other collateral". There is also no clarity on whether securitisation bonds should be separated as "Other collateral" or included as debt securities/bonds in rows 0050 and 0060.

Answer

In accordance with Annex II of Commission Implementing Regulation (EU) 2021/451, institutions shall report in template C 34.08 fair values of collateral (posted or received) used in CCR exposures. In particular, collaterals shall be classified following a standard breakdown defined in the template.   In accordance with data point model, in row 0060 of template C 34.08 institutions shall report debt securities which have been issued by corporates. Therefore, every security which is considered a debt instrument shall be reported in that row provided its issuer is a corporate according to the definition of Art. 112(g) of the CRR, bonds issued by institutions according to Article 112(f) of the CRR and covered bonds according to Art. 112(l) of the CRR. Moreover, debt securities which have been issued by general governments and government agencies shall be reported in rows 0030-0050. Finally, “Other collateral” category shall exclusively include collaterals whose combination of type of product and issuer is not covered by previous categories.

Original source: European Banking Authority, Q&A ID 2023_6755

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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