What is the correct treatment of gold positions for the purpose of reporting the currency breakdown in COREP template C 22.00?
The COREP instructions for reporting template C 22.00 (Regulation (EU) 2021/451, Part II, Section 5.5) indicate the following in paragraph 172: 'In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.'
Based on these instructions, it is not clear how gold positions should be reported in the currency breakdowns. There are multiple options:
(a) it is clarified that gold should be reported in the row 0470 (other) (converted to the reporting currency)
(b) it is clarified that gold should be reported in the row of a specific currency and how such currency should be determined,
(c) a new row is added (gold) where gold positions should be reported (converted to the reporting currency).
In the latter case, validation rule v4907_m should be adjusted to incorporate the new row on the right-hand side.
In either of the options an amendment to the instructions to explicitly clarify how gold should be reported in the currency breakdowns would be useful.
In accordance with Article 352(4) of Regulation 575/2013 (CRR), net long or short position in gold shall be converted at spot rates into the reporting currency.
Annex II to Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS) states that, columns 0020-0030 of the template C 22.00 shall be filled in in accordance with Article 352(1) CRR. Nevertheless, this reference should be understood as including Article 352(3) and (4) as well (see Q&A 4167).
Gold shall be converted following the instructions quoted, as the aim of the template is not to report physical units. Lastly, instructions related to columns 0040-0050 are aligned with previously mentioned articles as well.
The prudential treatment of ‘true’ positions in the reporting currency of the institutions and ‘converted to the reporting currency’-positions in gold is entirely different.
Although it is not the main purpose of rows 0130 to 0480 of C 22.00 to capture the prudential treatment, positions in gold and ‘true’ positions in the reporting currency should be kept separate. Consequently, as far as rows 0130 to 0480 of C 22.00 are concerned, gold shall be reported in row 0470 (‘other’), converted using spot rates.
Validation rule v4907_m will remain unchanged.