- Question ID
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2013_412
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Large Exposures
- Article
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99
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
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99
- Type of submitter
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Credit institution
- Subject matter
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COREP LE template
- Question
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1.On the LE template what is “Code” – the guidance notes seem to suggest that the code will depend upon the national reporting system, unless a uniform codification is available in the EU. We dont believe there is a uniform codification - What should firms do with this box? 2.On LE what is sector of counterparty – It refers to FINREP economic sector but as we do not implement FINREP we are not sure what this is? And how should non FINREP firms report? 3.On LE what exposure should advanced firms be reporting? sEEPE or EEPE. This could vary from submission so do PRA want LE exposure reported in line with capital requirements or just in one way? 4.On LE what does expected maturity mean? Is it the residual maturity? 5.On LE where do we report other receivables and cash at bank? 6. How are firms that have core Uk group and non core LE groups supposed to report on the COREP LE template – do we report as if we have the waivers under the LE COREP template or not?
- Background on the question
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Having reviewed the LE template we have the following questions. We need answers to these asap as we will not be able to implement the coding before implementation
- Submission date
- Final publishing date
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- Final answer
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Ad 1).-The global LEI system is not yet fully operational. However, as an interim solution, a system of pre-LEI codes has been introduced. Pre-LEI codes may be assigned to counterparties by any pre-LOU (pre-Local Operational Unit) that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org). When a pre-LEI code (which is assigned by a recognised pre-LOU) exists for a given counterparty, it should be used in {C 27.00, c030} to identify that counterparty. This would prepare for the full implementation of the LEI system since the pre-LEI codes, as long as they are assigned by a recognised pre-LOU, will become LEI codes.
Meanwhile, when the LEI (or pre-LEI) code of the counterparty is missing, {C 27.00, c030} will be left empty but the institutions should report in column 010 of that template the code of the group of connected clients or of the individual counterparties according to the national reporting system as decided and implemented by the competent authority.
The same applies to {C 06.00, c025} and to {F 40.01, c010} regarding entities within the consolidated group.
Ad 2).-A firm shall allocate one of the following sectors to every counterparty reported: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households (see Annex IX Instructions Large Exposures, 5.1. Instructions concerning specific columns, 050 Sector of the counterparty of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsITS on Supervisory reporting). This requirement is irrelevant of whether the firm implements FINREP.
Ad 3).-The exposure value which is relevant for large exposure purposes, and therefore needs to be reported, follows the exposure value according to the Standardized Approach for Credit Risk without applying the risk weights or degrees of risk (see Article 389 Regulation (EU) No. 575/2013 (CRR)). Where an institution is permitted to use the Internal Model Method to calculate the counterparty credit risk for the transactions mentioned in Article 390(2) CRR, the exposure value shall be calculated according to Article 284 CRR and, if the case may be, reported accordingly for large exposures purposes.
Ad 4).-The "expected run-off" of an exposure in certain periods needs to be reported (see Article 394(2)(e) CRR). This is to be understood as the expected residual maturity. This means that the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity.
Ad 5).- "Cash" positions do not fall under the scope of the large exposures regime and do not need to be reported. Receivables fall under the scope of the large exposures regime and need to be reported within the information required by the different templates.
Ad 6).-If an exposure is treated according to Article 400 CRR, this amount is reported in C 28.00 (LE 2) and C 29.00 (LE 3). In particular, this amount is included in columns 320 of LE 2 and 330 of LE 3 (stand-alone). Accordingly, it will be also included in columns from 040 to 310 of LE2 and in columns from 050 to 320 of LE3.
In particular, the core UK group waiver and non-core waivers are equivalent to the exemptions set out in articles 400(1)(f) and 400(2) or 493(3)(c) CRR. Under the UK LE regime, firms which hold both a Core UK group waiver and a Non-Core LE group waiver will be required to submit FSA018 to report the level of exposures between these two groups (the PRA Consultation Paper CP05/13 stated the proposed approach to the reporting of exposures between the Core UK group and Non-Core LE group).On an individual firm basis, the LE 2 template column 320 and LE 3 template column 330 require individual firms to report exposures exempted from the large exposures regime set out in Article 400 CRR.
On an individual firm basis, the values for exposures subject to the exemptions in articles 400(1)(f) and 400(2) or 493(3)(c) should be reported in LE 2 template column 320 and LE 3 template 330.
*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.
- Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.
Disclaimer
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