It is not clear from the instructions which value should be reported to indicate in a harmonised way whether an institution makes use of the derogation stated in Article 2(5), point (b) of Regulation (EU) 1152/2014.
According to the instructions for row 0150 of C 09.04 in Annex II to Regulation (EU) 2021/451 (ITS on Reporting), “if the institution makes use of this derogation, it shall indicate ‘y’ (or “1”) in the template for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ (or “0”) in the respective cell.”
The DPM also allows the choice to leave the data point blank. Is there a circumstance where it should be left blank?
In accordance with Article 2(5), point (b) and Article 3(3) of Regulation (EU) 1152/2014, the derogation of this provision is only applicable if an institution has foreign exposures. Bearing in mind the possibilities that an institution may have no foreign exposures or has a higher amount of foreign exposures, four different cases exist which could have to be represented by an entity in the reported information of template C 09.04 of Annex II to Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS) :
The instructions on rows 0150 and 0160 of template C 09.04 focus on the use of the 2 % threshold in accordance with Article 2(5), point (b) and Article 3(3) of Regulation (EU) 1152/2014. When information is reported in these rows, it is assumed that foreign exposures exist, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution:
If an institution does not fulfil the requirements of the derogation (either because foreign exposures do not exist or because the aggregate of foreign exposures exceeds 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution - cases 1 and 4), it does not report rows 150 and 160. In addition to the sheet ‘Total’ of all countries the institution reports as follows: