Question ID
2020_5508
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Annex 2 Part II C34.02, r0010, c0060-c0090 and C34.08
Type of submitter
Other
Subject matter
Reporting of margins in C34.02 and in C34.08 under OEM and simplified SA-CCR methods
Question
According to dpm3.0 in the current version, collateral that was taken into account in the calculation of the CCR exposure, must be shown in form C34.02 in columns 0060-0090. The columns 0060-0090 are grayed out for OEM. These margins are to be shown in more detail in form C34.08. The question: within the scope of the calculations according to Art. 282 (OEM) and Art. 281 (simplified SA-CCR), the margins are covered in the formula of replacement costs (RC = TH + MTA). The margins therefore generally have no direct impact on the calculated assessment basis. That is why the margins are not to be reported: - in columns 0060-0090 of form 34.02 for simpl. SA-CCR analogous to OEM and - in form 34.08 for both methods (simplified SA-CCR and OEM). Is this assumption correct?
Background on the question
Software development in regulatory reporting context needs information on how to proceed with the margins under OEM and simplified SA-CCR methods of calculation of the EAD for counterparts credit risks.
Submission date
Final publishing date
Final answer

Template C.34.02 gives information about all the variables needed in the calculation of RWA for Counterparty credit risk.

Columns 0060-0070 give information about the VM, the volatility-adjusted value of the net variation margin received or posted, and columns 0080-0090 give information about NICA, the sum of the volatility-adjusted value of net collateral received or posted, other than variation margin. Both values are calculated according to article 276 of Regulation (EU) 575/2013 (CRR). VM and NICA are needed for the calculation of the Replacement cost (RC) using the Standardised approach for CCR according to art. 275 of CRR.

 

According to art. 281 of CRR, Simplified standardised approach for CCR uses neither VM nor NICA for calculation of RC, so columns 0060-0090 of C.34.02 can be greyed out for this method.

 

On the other hand, in template C.34.08 institutions have to report the fair value of all collateral received or posted regardless the method used for the calculation of RWA.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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