Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Funding Plans
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
Annex 1 - Table 2A2 - row 010
Disclose name of institution / entity:
Type of submitter:
Subject Matter:
Reporting of ECB LTRO in table 2A2 (P 02.02) and validation rule v4135_m

Should ECB LTRO transactions be strictly reported in table P 02.02 in row 010 as a repo transaction?

Background on the question:

In table P 02.02 (Public sector sources of funding), row 010, National and supra-national term (greater than one year) repo funding programmes - amount of funding outstanding should be reported. The definitional reference says:
‘Programmes that apply to many credit institutions within a EU member state as opposed to programmes that apply to single individual institutions. The form of support referred here is intended to capture wholesale term secured funding (via repo transaction). Term means that the initial maturity or first call date is greater than one year. Example: ECB LTRO.’

According to the definitional reference ECB LTRO as an important source of funding should be reported in the item in row 010 of P 02.02 of Funding plans. But if the validation rule v4135_m, which connects the item in P 02.02, r010 to item P 01.02, r010 (Repurchase agreements), is to be followed, the LTRO should be performed as a repo transaction.

In our opinion, the definition of LTRO as a strictly repo transaction is not accurate in all cases. In Slovenia LTRO is performed using the securities of the banks as collateral. However, the banks do 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. If the validation rule v4135_m would be enforced as a blocking rule, the banks would report LTRO differently in Finrep (as a deposit with agreed maturity) as in Funding plans (as a repurchase agreement).

We would also like to note that the central bank is not necessarily part of the public sector. Therefore the name of the table P 02.02 is not entirely correct, if the items reported include funding like ECB LTRO, which is performed through central banks.

Date of submission:
Published as Final Q&A:
Final Answer:

The instructions to the Funding Plan templates specifically mention that the ECB LTRO should be reported as in row 010 of template P 02.02 of Guideline EBA/GL/2014/04 (Funding Plans Guideline). Funding received through central bank funding programmes such as the ECB LTRO shall be reported in this row independent from the legal form of this transaction, i.e. whether conducted as repo transaction or otherwise.

The form of support referred in row 010 of P 02.02 is intended to capture wholesale term secured funding (via repo transaction, with the exception above). Term means that the initial maturity or first call date is greater than one year, which shall also apply for the LTRO transactions.

The considerations above apply equally to Targeted Long Term Refinancing Transactions (TLTROs).

Validation rule v4135_m will be amended.

Table P 02.02 is named ‘Public sector sources of funding’ and this is intended to also include funding from central banks. For clarity, the title will be changed in a revised version of the Funding Plans Guideline.  

Final Q&A
Answer prepared by:
Answer prepared by the EBA.