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
Disclose name of institution / entity:
No
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.

Date of submission:
22/09/2020
Published as Final Q&A:
19/03/2021
EBA 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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