Question ID
2023_6929
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
C34.10
Type of submitter
Investment firm
Subject matter
Exposures for trades at QCCPs (excluding initial margin and default fund contributions)
Question

Under CRR Article 306/307 only default fund contributions are seperately calculated as an exposure to a CCP. Initial margin would be recognised within the standard exposure calculation per Article 306(3) as such it is unclear how to populate rows 0020 and 0080 seperately particularly as c0010/r0010 is greyed out and therefore no overall accurate exposure value is populatable. The format of the template seems more aligned to the calculation of EAD by the CCP itself for the purposes of calculating KCCP under Article 50b of Regulation 648/2012. This is particularly the case given the expectations set by validation rule v09847_m.

Could you please clarify the correct reporting of these rows? Is it correct for example to report the value of initial margin (post any volatility adjustment and alpha) in row 0080/column 0010 and then just subtract the equivalent amount from the overall exposure to the CCP to report the remaining value in row 0020 such that the sum of the two will equal the total EAD to the CCP and maintain consistency with RWA for c0020? Alternatively should the template be resturctured to show only EAD and DFC rows and populate the full EAD as calculated under the CRR including initial margin in row 0020?

 

 

Background on the question

If the net CMV of the exposure to the CCP is negative but the firm has posted initial margin to the CCP this would change the multiplier applied to the PFE and hence it is not straightfward to break the EAD to the CCP into exposure without IM and IM seperately.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question