Question
Should contractual arrangements that meet all of the conditions set out in Article 5, points (10)(a) to (e) of the CRR, be reported in the row 0800 of the template C 07.00?
Background on the question
Instructions for reporting on own funds and own funds requirements, Annex II, Part II, Credit risk templates, Section 3.2.5. Instructions concerning specific positions for COREP template C 07.00, specifically for row 0080 "Off balance sheet exposures subject to credit risk" specify that in the scope of that row are "Off-balance sheet positions comprise the items listed in Annex I of Regulation (EU) No 575/2013.". Based on that it is not clear should contractual arrangements that meet the conditions set out in Article 5, points (10)(a) to (e) of the CRR, be reported in row 0800 of the template C 07.00. It seems that such contractual arrangements should also be reported in row 0800 of the template 07.00 and in column 0160. This seems to be the case as Article 111(4) of the CRR in second subparagraph requires that: "For contractual arrangements that meet the conditions set out in Article 5, points (10)(a) to (e), the applicable percentage shall be 0%.". To support this understanding, instructions for columns 0160-0195, and 0200 refer to Article 111 as a hole thus including provisions of Article 111(4) second subparagraph. For avoidance of doubt it would be useful if the EBA would amend the respective instructions.
Answer
The change introduced in Article 111 of CRR by the CRR3 was not reflected in the instructions of row 0080 of template C 07.00 of Implementing regulation 2024/3117. The instructions will be amended in the next Corep own funds release to refer not only to Annex I of CRR, but also to amounts that shall be reported in accordance with Article 111, paragraphs 2 to 4 of CRR. Indeed, all non-derivative off-balance sheet exposures shall be reported in row 0080 (i.e. not only those falling under Annex I via 111(2) but also those receiving a conversion factor via Article 111(3) or Article 111(4) CRR).