What is reported upon COREP template C 09.04
COREP Template C 09.04 Countercyclical Capital Buffer (CCB)
In compliance with COREP reporting on own funds and own funds requirements, relevant firms must submit the COREP template that reports their relevant credit exposures for each applicable jurisdiction.
In March last year (2016) the European Banking Authority (EBA) issued new taxonomy for COREP reporting XBRL schema, referred to a Taxonomy version 2.5. This replaces version 2.4 for reporting periods ending 31st December 2016 onwards.
What’s new for COREP Reporting in 2017?
The new COREP Taxonomy 2.5 replaces template C 09.03 with a new template, COREP template C 09.04, that will gather much wider data for reporting the proportion of your firm’s exposures by jurisdiction.
*** Q1 2017 Update: COREP template C 09.04 replaces template sheet C 09.03 for reporting period ending 31 December 2016 onwards ***
Information on COREP template C 9.04
COREP Template C 9.04 has been implemented by the EBA in order that they may receive more information relating to the elements on the institution specific countercyclical capital buffer. The information that is asked for upon C 09.04 refers to the own funds requirements as determined in accordance with CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant to the calculation of the institution specific counter-
C 09.04 requests for the ‘Total’ of relevant credit exposures across all jurisdictions where the exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located.
What is the purpose of COREP template C 09.04?
Template C 09.04 requests a wider set of data related to the Countercyclical Buffer (CCB) Calculation.
Thus, template C 09.04 collects information upon the breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-
Firms will need to report amounts, percentages and qualitative information on the C 09.04 data sheet with regards to:
Where Amount is requested in column 010, this relates to the relevant credit exposures and their associated own-
On the other hand, where Qualitative Information is requested in column 030, this information shall only be reported for the country of residence of the firm (i.e. the country corresponding to the firm’s home Member State) and the ‘Total of all countries. Firms should look to report either ‘y’ for yes or ‘n’ for no in accordance with the instructions for the relevant row.
What is the 2% threshold?
The own funds requirement for foreign exchange risk shall only be calculated if the firm’s overall net foreign-
Firms will only have to calculate their own funds requirement for FX risk if their overall net foreign exchange position exceeds 2%.
Template C 09.04 now requests for Firms to detail whether they are making use of the 2% threshold rule or not for both general credit exposure and for trading book exposure.
Use of the 2% threshold for general credit exposure
Row 150 of COREP reporting sheet C 09.04 refers to the use of the 2% threshold for general credit exposure.
Here, foreign general credit risk exposures whose aggregate does not exceed 2% of the aggregate of the general credit, trading book and securitisation exposure of the Firm may be allocated to the firm’s home Member State (i.e. treated as domestic).
If the Firm makes use of this rule, then they must indicate ‘y’ for yes in the relevant column for the jurisdiction corresponding to its home Member State and for the ‘Total of all countries.
Conversely, if the Firm does not make use of this rule, then they should indicate no by entering ‘n’ in the respective reporting cell.
Use of the 2% threshold for trading book exposure
Row 160 of the new COREP reporting sheet C 09.04 refers to the use of the 2% threshold for trading book exposure.
To reiterate, firms may allocate trading book exposures to their home Member State if the total trading book exposures do not exceed 2% of their total general credit, trading book and securitisation exposures.
As with Row 150 above, if a Firm is making use of the 2% threshold for trading book exposures they must indicate this with a ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries, otherwise an ‘n’ should be detailed for no.
If you should require any assistance in completing your COREP reporting requirements, including template C 09.04, we would be happy to help, so please do get in touch.
COREP 09.04 is used for reporting the proportion of your firm’s exposures by jurisdiction.
If you should need any assistance in completing your firm’s COREP Returns, we can help. To find out more, click here.