Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Annex I, Annex II
Disclose name of institution / entity:
Name of institution / submitter:
Wolters Kluwer Financial Services
Country of incorporation / residence:
Type of submitter:
Subject Matter:
Amount of holdings to be reported (CA4)

Regarding the reporting of Direct indirect and synthetic holdings by the institution of Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments of financial sector entities in template C 04.00 (CA4), it is not clear whether the full holding amount is to be reported in template C 04.00 (CA4), rows 0230 to 0643, or only the deduction amount.  

This question applies both where the reporting institution's holdings are above the threshold limit and where they are within threshold limit: Is full holding amount to be reported?

Background on the question:

Template C 04.00 (CA4) of DPM 3.0, rows 0230 to 0643, show direct, indirect and synthetic holdings of CET1, AT1 and T2 instruments where the reporting institution has invested in other financial sector entities whether it has a significant investment or does not have a significant investment.

Thus, an institution may have a significant investment or may have a not significant investment.

Where the institution's investments exceed the threshold limits specified in Article 45 and 48 of Regulation (EU), the amount above the threshold is to be deducted from own funds and the amount below the threshold is treated as risk weighted asset.

For example:

Main position value = 100 (Gross amount); presuming 45 to be deducted from own funds and 55 to be treated as risk weighted asset (RWA)

Where the institution does not have more investments than the threshold limits specified above, the full amount will be treated as RWA = 100.

What should be reported in CA4, rows 0230 to 0643, where the institution has holdings exceeding the threshold limit? The gross amount (100) or the deduction (45) amount?

Are the same rules applicable for the institution which does not have holdings more than threshold limits? In the example above, would the gross amount (100) have to be reported?

The instructions in Annex II for the related rows refer to Articles 44, 45, 47 of Regulation (EU) No 575/2013 (CRR) for CET1 etc (row 0460), which refer to the deduction of holdings. The same applies for other rows.

For example, if an institution has holdings of CET1 instruments and does not exceed threshold limit, then, provided the full gross amount is to be reported in row 0460, the same amount is also to be reported in row 0504 as they get a risk weight of 250%. Thus, in this case, the same amount is reported in two rows.

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because the issue it deals with is already explained or addressed in the instructions on rows 0230 to 0503 of template C 04.00 of Annex I to Regulation (EU) 2021/451, as presented in Annex II thereto, and, among others, in particular in the instructions on rows 0250 and 0260 of that template.

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Rejected question