- Question ID
-
2023_6956
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Liquidity (LCR, NSFR, AMM)
- Article
-
415
- Paragraph
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3
- Subparagraph
-
b
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
- Article/Paragraph
-
Annex XIX, Paragraph 1.2(5)
- Type of submitter
-
Credit institution
- Subject matter
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Alignment of total funding between FINREP F01.02 and COREP C67.00
- Question
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What is the correct approach regarding the alignment between the FINREP F01.02 and COREP C67.00 templates as required by the AMM ITS since (1) the scope of consolidation might be different between the two reports and (2) different netting rules can apply between the two reports?
- Background on the question
-
Following paragraph 1.2 (5) of Annex XIX of Commission Implementing Regulation 2021/451 (amended by Commission Implementing Regulation 2022/185 and Commission Implementing Regulation 2022/1994) it is expected that the sum of section 1 of C67.00 (Top ten counterparties) and section 2 of C67.00 (All other funding) shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP). However, this seems inconsistent with the EBA’s response to EBA Q&A 2015_2365 where the response includes “Note that differences in the scope of consolidation as per Article 18 of Regulation (EU) No 575/2013 may hamper the possibility to ensure reconciliation of data sources”. Moreover, the FINREP report requires to present the total funding on a net basis whereas applying the general principles for liquidity reporting towards C67.00 template leads to presenting certain positions of the total funding on a gross basis (mostly repurchase and reverse repurchase agreements). Therefore, the reconciliation of the figures between the two reports is not possible and thus is not in line with the AMM ITS. Therefore, we would appreciate receiving guidance whether C67.00 and F01.02 figures must align and which netting principles need to be applied on the C67.00.
- Submission date
- Final publishing date
-
- Final answer
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n line with the answer provided in Q&A 2365, figures between C 67.00 and F 01.02 should be consistent. Divergent figures between the institution’s total financial liabilities other than derivatives and short positions as reported in FINREP may however emerge in case of impossibility to ensure the reconciliation of data sources with the actual figures reported as is requested in Annex XIX of Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions.
This could be the case of differences in the scope of consolidation as per Article 18 of Regulation (EU) No 575/2013, different netting rules or reporting having different submission deadlines.
The need for further clarification of Section 1.2, point 5 from Annex XIX with regard to the reconciliation of data sources has been identified and will be considered for a forthcoming version of the Reporting framework / release of the respective validation rules.
- Status
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Final Q&A
Disclaimer
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