In accordance with IT solutions t(paragraph 102 in Part 2 of Annex V to Regulation (EU) 2024/3117), the off-balance sheet items listed in Annex I to CRR shall be reported in template F 09.02.  

In this template, the scope of ‘financial guarantees received'  includes those contracts that meet the definition of financial guarantee under IFRS 9 (IT solutions-par. 114, Part 2 of Annex V) and these financial guarantees received shall be reported by counterparty sector of the issuer of the guarantee (IT solutions- par. 44 (h), Part 1 of Annex V). 

For templates F. 13.01, F. 18.00 and F. 18.02 the definition of ‘financial guarantees’ is the same as that of template F 9.2. However, there are the following differences in terms of reporting in these templates:  

• In template F13.01, only financial guarantees received to secure loans and advances shall be reported, whereas template F 09.02 requires to report all the financial guarantees received, regardless of the type of the asset to which they are related. 
• In template F 09.02, the 'maximum amount of guarantee that can be considered' is the maximum amount that the counterparty could have to pay if the guarantee is called on (IT solutions- par. 119, Part 2 of Annex V), while in templates F 13.01, F18.00 and F 18.02, this amount shall not exceed the carrying amount of the related exposure (par. 172, Part 2 of Annex V).
• In template F 09.02, the breakdown by counterparty, is based on the issuer of the guarantee, while in templates F 13.01, F. 18.00 and F 18.02, the counterparties are identified with reference to the underlying financial instrument.

Considering above, the following reporting should apply:  

• In templates F 9.02, F 13.01, F 18.00 and F. 18. 02, the amount of financial guarantees that are received in the context of synthetic securitisation transactions of loans and advances and that meet the definition of financial guarantee contracts in IFRS 9 should be reported.
• In templates F 18.00 and F 18.02, the segment of credit risk that is contractually covered through the tranched securitisation mechanism in relation to an exposure or a pool of exposures should also be reported.  This treatment applies even where, in a synthetic securitisation, there is no one‑to‑one relationship between individual underlying exposures and the securitisation guarantee, as the guarantee operates at tranche level to mitigate credit risk. The amount of guarantee reflects the credit risk mitigation through tranching and is not dependent on the existence of a one‑to‑one correspondence between the underlying exposures and the guarantees. 

Furthermore, in template F 09.02, when a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in those templates, and the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk (IT solutions- par. 119, Part 2 of Annex V).

This answer is consistent with the guidance provided in Q&A 2023_6773, which clarifies the determination of the amount of financial guarantees to be reported in templates F 09.02 and F 13.01.