Question ID: 2577
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: N/A
Template: S.02.01, S.06.02
Status: Final
Date of submission: 08 Feb 2023
Question
We have an additional question regarding the 2015-2450 Q&A No. 2225 and the change in validation for XT79 assets.
Through the Credit Support Annex, we have provided and received cash collateral and government bonds (counterparties are mainly financial institutions).
2 questions:
- S.06.02: The classification with CIC code XT79 in S.06.02 seems to be incorrect and is also not valid anymore in version 2.7.0_hotfix? Also, since it is not allowed to include collateral assets with a negative value in the List of Assets, should (cash) collateral not be included at all in the List of Assets?
- S.02.01: We are still not sure which line items to use for the various types of collateral [R380/420/310]?
EIOPA answer
When cash is posted as collateral it is derecognised and a deposit is recognised, therefore only the deposit should appear in S.02.01 and S.06.02. The deposit that is recognised after the cash is posted as collateral should appear in S.02.01 in “Any other assets, not elsewhere shown" (R0420). In S.06.02 the deposit should receive a CIC ##79 and it should be identified as pledged as collateral in C0100. The deposit should also be reported in S.03.01. Please also see Q&A 2211.
When cash is held as collateral, is should be recognised in the balance sheet along with a corresponding liability. Cash held as collateral should receive the same CIC than any other cash, i.e., CIC ##71, appear in R0410 of S.02.01 and appear in S.06.02 without specifically flagging it in any cell. Cash held as collateral should also be reported in S.03.01 and S.11.01.
In case of government bonds pledged as collateral, undertakings usually retain the risks and benefits of collaterals pledged and, therefore, remain in the Balance Sheet of the undertaking without changing the CIC code. In such a case, government bonds pledged as collateral appear in R0140 of S.02.01 and in S.06.02 identified as pledged as collateral in C0100. Government bonds pledged as collateral should also be reported in S.03.01.
Consistently, undertakings usually do not recognise government bonds held as collateral, which should therefore neither appear in S.02.01 nor in S.06.02. Government bonds held as collateral should be reported in S.03.01 and S.11.01.