Skip to main content
European Insurance and Occupational Pensions Authority

838

Q&A

Question ID: 838

Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities

Article: 35

Template: S.10.01

Status: Final

Date of submission: 19 Oct 2016

Question

This question relates to repos reported on S.10.01.

The instructions for C0130 (Near leg amount) state:
“- Buyer in a repo: amount received at the contract inception
- Seller in a repo: amount ceded at the contract inception”

The instructions for C0140 (Far leg amount) state:
“- Buyer in a repo: amount ceded at the contract maturity
- Seller in a repo: amount received at the contract maturity”

The normal market convention for repos is:
> for the buyer to cede cash (and receive assets) at the start of the transaction and receive cash (and cede assets) at the end of the transaction
> for the seller to receive cash (and cede assets) at the start of the transaction and cede cash (and receive assets) at the end of the transaction

Please would EIOPA confirm if the instructions have been stated the wrong way around?

Note - the general comments in the ITS state:
“A repurchase agreement (repo) is defined as the sale of securities together with an agreement for the seller to buy back the securities at a later date.”
This implies the seller will cede cash at the end of the transaction, which aligns with our understanding of repos.

EIOPA answer

The LOG is correct, the amount being requested is the value of the assets underlying the repo contract, not the cash.

Near leg – Seller repo – Sells securities (LOG: "amount ceded at the contract inception")
Near leg – Buyer repo – Buys securities (LOG: "amount received at the contract inception")
Requests reporting of the amount of the securities in both situations.

Far leg – Seller repo – Buys securities (LOG: "amount received at the contract maturity")
Far leg – Buyer repo – Sells securities (LOG: "amount ceded at the contract maturity")
Requests reporting of the amount of the securities in both situations.