Question ID:
2020_5248
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex V Reporting on Financial information, Part 2, 350
Disclose name of institution / entity:
No
Type of submitter:
Competent authority
Subject Matter:
Number of Collateral obtained by taking possession, F 25.02.b - Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)
Question:

How to calculate the number of collaterals obtained in case of securities?
Should it be the number of issues or the number of securities within the issue?

Background on the question:

According to the instructions, Annex V, Part 2, 350
... the template provides information on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date.
The definition given in Annex V does not indicate how to calculate the number of collaterals obtained in case of securities.
To clarify our question, please see an example :
One hundred 5-year bonds (from a single issue/with one ISIN) were used as a collateral.
Should 'the number of collaterals' equal 1 (ISIN) or 100 (bonds)?

Date of submission:
13/05/2020
Published as Final Q&A:
19/03/2021
EBA Answer:

In row 120 of template F 25.2 of Annex III to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date shall be reported. The figure in row 120 shall be equal to the number of instruments obtained by taking possession. By following this approach, the number of instruments multiplied by the instrument value will be equal to the total amount; therefore, the figure in row 120 will be consistent with the total amount as reported in the previous rows.

 

In the abovementioned example, the user shall report the number of bonds issued (100).

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