Single Rulebook Q&A

Question ID: 2017_3466
Legal act : Regulation (EU) No 575/2013 (CRR)
Topic : Supervisory reporting
Article: 99
Article/Paragraph : Annexes I and II, C 07.00
COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Subject matter : Validation rule e4901_n

Validation rule e4901_n (active as from DPM 2.6.0) states the following: 
[C 07.00.a (r140-170;190;210;220;250-280, c010-040;150-240, s014)] {C 07.00.a} = empty.

We have values reported in C 07.00, s014, r140 relating to unsettled securities trades for which the contractual settlement date has not yet passed. As far as we are aware these trades do not attract a capital charge and we are reporting in on this line so as to show the exposure. Should these fields be left empty?

Background on the question:

This validation rule defines cells in template C 07.00 which are expected to be empty.

We act as a broker for our private clients in securities transactions through either a regulated exchange or an executing broker. These are DVP balances for which the agreed settlement date has not yet passed. In our interpretation these balances do not attract a capital charge (based on article 378 and 379). However we believe that we should report the exposure to give an indication of the total size and to enable us to reconcile the reported exposures to our balance sheet total. Should these balances be reported here or should these fields be left empty?

Date of submission: 11/08/2017
Published as Final Q&A: 17/11/2017
EBA answer:

On the basis of information provided, the question relates to institutions that act as brokers for their private clients in Delivery Versus Payment (DVP) securities transactions. Since brokers do not retain any credit risk regarding to their clients’ trades, they do not enter any figure representing these trades in template C 07.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting).

Status: Final Q&A
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